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Managing systematic mortality risk in life annuities : an application of longevity derivatives

Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - In: Risks : open access journal 7 (2019) 1/2, pp. 1-25

is calibrated using Australian mortality data. The hedging of the life annuity portfolio is comprehensively assessed for … portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay …-offs, such as longevity caps, provide more effective downside protection. A tractable stochastic mortality model with age …

Persistent link: https://www.econbiz.de/10012018726

Forward mortality rates in discrete time II, longevity risk and hedging strategies

Hunt, Andrew; Blake, David - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 1, pp. S508-S533

Persistent link: https://www.econbiz.de/10012440452

Insurance derivatives, tax policy, and the future of the insurance industry

Harrington, Scott E. - In: The journal of risk and insurance : the journal of the … 64 (1997) 4, pp. 719-725

Persistent link: https://www.econbiz.de/10001239119

Optimal equity protection of Solvency II regulated portfolios

Vaucher, Benoit - In: Journal of risk 20 (2017/2018) 3, pp. 69-81

Persistent link: https://www.econbiz.de/10011847474

Alternative capital requirement for insurers : possibilities and issues

Zariņa, Ilze; Voronova, Irina; Pettere, Gaida - In: International journal of economics and business … 21 (2021) 1, pp. 41-61

Persistent link: https://www.econbiz.de/10012508726

The effect of reinsurance on the degree of risk associated with an insurer's portfolio

Andreadakis, Maria; Waters, Howard - 1981

Persistent link: https://www.econbiz.de/10001831465

Actuarial pricing with financial methods

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Scandinavian actuarial journal 2023 (2023) 5, pp. 450-476

Persistent link: https://www.econbiz.de/10014336588

Survival probabilities in bivariate risk models, with application to reinsurance

Castañer, Anna; Claramunt, Maria Mercè; Lefevre, Claude - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 632-642

Persistent link: https://www.econbiz.de/10010227916

Characterizations of optimal reinsurance treaties : a cost-benefit approach

Cheung, Ka Chun; Lo, Ambrose - In: Scandinavian actuarial journal (2017) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011771935

Optimal investment and reinsurance for an insurer under Markov-modulated financial market

Xu, Lin; Zhang, Liming; Yao, Dingjun - In: Insurance / Mathematics & economics 74 (2017), pp. 7-19

Persistent link: https://www.econbiz.de/10011712331