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Longevity Risk Management for Life and Variable Annuities : Effectiveness of Static Hedging Using Longevity Bonds and Derivatives

Sherris, Michael - 2012

population mortality was based on UK experience. Results show that static hedging using q-forwards or longevity bonds reduce … product providers of annuities and pensions. This paper investigates the effectiveness of static hedging strategies for … life annuity, indexed life annuity and variable annuity with guaranteed lifetime benefits. Improved market and mortality …

Persistent link: https://www.econbiz.de/10013116210

Geographical Diversification and Longevity Risk Mitigation in Annuity Portfolios

De Rosa, Clemente - 2019

toward a foreign population. The reduction in the risk margin, computed à la Solvency II, provides a regulation …-consistent measure of the benefit in the tail risk. The change in the volatility of the average mortality intensity of a portfolio …

Persistent link: https://www.econbiz.de/10012857938

Risk management and the global banking crisis : lessons for insurance solvency regulation

Ashby, Simon - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 3, pp. 330-347

Persistent link: https://www.econbiz.de/10009316266

The final Solvency II framework : will it be effective?

Doff, René - In: The Geneva papers on risk and insurance - issues and … 41 (2016) 4, pp. 587-607

Persistent link: https://www.econbiz.de/10011659305

Solvency II visuell : die Anforderungen von Solvency II in strukturierten Übersichten

Oppermann, Roland (ed.); Ostermeier, Stefan (ed.) - 2018

Persistent link: https://www.econbiz.de/10011651143

Finite Risk Konzepte als Beispiel hybrider Instrumente der Risikofinanzierung

Rücker, Uwe-Christian - In: Risk-Controlling in der Praxis : rechtliche …, (pp. 365-411). 1999

Persistent link: https://www.econbiz.de/10001448763

Risk modeling of multi-year, multi-line reinsurance using copulas

Wang, Ping - In: The journal of insurance issues : official journal of … 36 (2013) 1, pp. 58-81

Persistent link: https://www.econbiz.de/10009725276

A class of nonzero-sum investment and reinsurance games subject to systematic risks

Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707

Persistent link: https://www.econbiz.de/10011848596

Dynamic risk-sharing game and reinsurance contract design

Chen, Shumin; Liu, Yanchu; Weng, Chengguo - In: Insurance / Mathematics & economics 86 (2019), pp. 216-231

Persistent link: https://www.econbiz.de/10012058864

Risk management in life insurance - the context of EU solvency risk management models

Selimovi´c, Jasmina - In: Development and economic policy : ninth European …, (pp. 21-35). 2011

Persistent link: https://www.econbiz.de/10010221962