In this short note we discuss duration effects on the consistency of mean parameter and dispersion parameter estimators in exponential dispersion families (EDFs). Particular focus is on the situation corresponding to the standard generalised linear model assumptions where both the mean and...

We apply generalized linear models to evaluate disability transitions for individuals in old age based on a large sample of U.S. elderly. We estimate a multi-state model for long-term care insurance applications, and find significant differences in disability rate patterns and levels from the...

We extend the financial guarantee insurance literature by modeling, under stochastic interest rates, private financial guarantees when the guarantor potentially defaults. By performing numerical simulations under plausible parameters values, we characterize the differential impact of the...

We discuss the risk-based valuation model for deposit insurance. We establish models of determining the premium rate of deposit insurance considering the deductibles, the investment activities of the deposit insurer, and the requirements of capital regulation. Based on the criterion of safety...

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework...