Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work …

both mortality and interest-rate risk, on both assets and liabilities. It builds a classical risk-return frontier and shows … that hedging strategies -- such as the transfer of longevity risk -- may increase the overall risk while decreasing …This paper provides a closed-form Value-at-Risk (VaR) for the net exposure of an annuity provider, taking into account …

In this paper, we explore the climate risk exposure of U.S. life insurers’ commercial mortgage loan portfolios …

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …