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The objective of risk management is not to prohibit or prevent risk taking activity, but to ensure that the risks are consciously taken with full knowledge, clear purpose and thorough understanding so that it can be measured and mitigated. It also prevents an institution from suffering...
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We discuss the optimal withdrawal rate in the existence of longevity risks. The longevity is realized as the factor of conditional survival rate in the model. We solve a optimal consumption problem under longevity risks, while managing the assets. The objective of the current work is giving a...
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In a shadow insurance transaction, a life insurer purchases reinsurance from an affiliated company that is licensed as a captive insurer or Special Purpose Vehicle and is not an “authorized” reinsurer. Such transactions have been scrutinized in recent years by the Federal Insurance Office,...
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Life insurance, a risk management tool, generally provides ways to protect against the financial loss due to an individual's death. This study investigates risk tolerance profile of cash-value life insurance owners and attempts to investigate the association between life insurance ownership and...
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Life insurance often embeds a surrender option that gives the policyholders a right to exchange an existing contract … for its cash surrender value. Similar to mortgage prepayment option that imposes a cash-flow risk to MBS investors, this … surrender option is a source of concern for life insurers. While prior studies have attempted to quantify this surrender risk by …
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