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Assessing the Solvency Risk of Insurance Portfolios via a Continuous Time Cohort Model

Jevtic, Petar - 2015

The paper describes a model that evaluates the solvency of a portfolio of assets and liabilities of an insurer subject to longevity risk and financial risks. Liabilities are evaluated at fair-value. Interest-rate risk can affect both assets and liabilities. Longevity risk is described via a...

Persistent link: https://www.econbiz.de/10013026606

Beyond the Pearson Correlation : Heavy-Tailed Risks, Weighted Gini Correlations, and a Gini-Type Weighted Insurance Pricing Model

Furman, Edward - 2016

economics, insurance and finance, where modelling with heavy-tailed distributions is of pivotal importance. In such situations … via certain regression-type equations. This, in turn, allows us to introduce a Gini-type Weighted Insurance Pricing Model …

Persistent link: https://www.econbiz.de/10012987222

The impact of MT strategies on risk and value distribution of unit-linked insurance portfolio

Homa, Magdalena - In: European research studies 25 (2022) 3, pp. 607-619

Persistent link: https://www.econbiz.de/10013532438

Insurance Portfolio Risk Aggregation - A Practitioner's View

Zvezdov, Ivelin - 2013

We examine:Portfolio structuring; risk factor category identification and mapping.Risk aggregation of single risk losses within each risk factor category.Methodology identification and brief technical review.SCR computation by risk factor category.The portfolio view and SCR.Conclusion:...

Persistent link: https://www.econbiz.de/10013074324