Insurance companies issue guarantees that need to be valued according to the market expectations. By calibrating option pricing models to the available implied volatility surfaces, one deals with the so-called risk-neutral measure Q, which can be used to generate market consistent values for...

The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as determined using Solvency II Standard Formula. In particular,...

As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on the appropriate mortality model and premium principle to...

The aim of the paper that treats the actuarial model of insurance in case of survival or early death is to show the actuarial methods and methodology for creating a model and an appropriate number of sub-models of the most popular form of life insurance in the world. The paper applies the...

The purpose of this article is to value some life insurance contracts in a stochastic interest rate environment taking into account the default risk of the underlying insurance company. The participating life insurance contracts considered here can be expressed as portfolios of barrier options...

This paper introduces a target benefit pension (TBP) model that incorporates longevity risk and stochastic interest rate. Previous models have not considered the dynamic nature of remaining lifetime, and this paper proposes an Ornstein-Uhlenbeck (OU) process to simulate average remaining...