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Solvency II's market risk standard formula : how credible is the proclaimed ruin probability?

Braun, Alexander; Schmeiser, Hato; Schreiber, Florian - In: The journal of insurance issues : official journal of … 38 (2015) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10011380743

Modeling and Management of Longevity Risk

Cairns, Andrew J. G. - 2020

In this article we review the state of play in the use of stochastic models for the measurement and management of longevity risk. A focus of the discussion concerns how robust these models are relative to a variety of inputs: something that is particularly important in formulating a risk...

Persistent link: https://www.econbiz.de/10012856918

Time-consistent and market-consistent actuarial valuation of the participating pension contract

Salahnejhad Ghalehjooghi, Ahmad; Pelsser, Antoon André Jean - In: Scandinavian actuarial journal 2021 (2021) 4, pp. 266-294

Persistent link: https://www.econbiz.de/10012515734

Time restrictions on life annuity benefits : portfolio risk profiles

Olivieri, Annamaria; Pitacco, Ermanno - In: Risks : open access journal 10 (2022) 8, pp. 1-18

Due to the increasing interest in several markets in life annuity products with a guaranteed periodic benefit, the back-side effects of some features that may prove to be critical either for the provider or the customer should be better understood. In this research, we focus on the time frames...

Persistent link: https://www.econbiz.de/10013365604

Assessing public pensions using ruin probability : pay-as-you-go versus mixed schemes

Alonso-García, Jennifer; Boado-Penas, María del Carmen; … - 2024

Persistent link: https://www.econbiz.de/10014631072

A parametric model to price a portfolio of single-premium life insurance policies and to decompose its longevity risk

Ferrentino, Rosa; Vota, Luca - In: International journal of economics and business … 23 (2022) 3, pp. 368-388

Persistent link: https://www.econbiz.de/10013253505

Volterra Mortality Model : Actuarial Valuation and Risk Management with Long-Range Dependence

Wang, Ling - 2020

impact of LRD within mortality rates on various insurance products and the hedging efficiency …

Persistent link: https://www.econbiz.de/10012826539

Optimal dynamic reinsurance policies for large insurance portfolios

Taksar, Michael I.; Markussen, Charlotte - In: Finance and stochastics 7 (2003) 1, pp. 97-121

Persistent link: https://www.econbiz.de/10001724646

Reinsurance Optimal Design with Distortion Risk Measures and Risk Premiums

Assa, Hirbod - 2015

In this paper we consider the problem of optimal reinsurance design for general distortion risk measures and premiums …. In the first part of the paper, we find the Lagrangian dual of the primal optimal reinsurance problem and show the strong … duality holds. Therefore we characterize the optimal reinsurance policies by solving the dual problem and we will see that the …

Persistent link: https://www.econbiz.de/10013021609

Catastrophe reinsurance pricing-modification of dynamic asset-liability management

Kang, Han-Bin; Chang, Hsuling; Chang, Tsangyao - In: Romanian journal of economic forecasting 25 (2022) 4, pp. 5-20

Persistent link: https://www.econbiz.de/10013530987