We extend the classical compound Poisson risk model to consider the distribution of the maximum surplus before ruin …

result in a reduction in expected costs and equivalence premiums. However, due to the different impact of longevity risk on …, time restrictions reduce the duration of the provider’s liability, which should therefore be less exposed to financial risk … time frames for life annuity arrangements, first addressing longevity risk only, and then including also financial risk …

Mixed exponential distributions are frequently used in actuarial risk modeling. Distributions obtained through mixtures …

modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured … by risk measures. When only partial information on a loss variable is available, risk measures of the loss variable and …-case values of risk measures of a loss variable over an uncertainty set, describing all the possible distributions of the loss …

their insurance liabilities on a risk-adjusted basis to allow for uncertainty inherent in cash flows that arise from the … to calculating reserve risk margin - the risk adjustment method commonly agreed under Solvency II and IFRS 4 Phase II …, there is one additional requirement of IFRS to also disclose confidence level of the risk margin. Given there is no specific …

Road traffic injuries are a leading cause of death worldwide. Proper estimation of car accident risk is critical for … information substantially improves car accident risk prediction compared to the state-of-the-art risk model of the insurance …

Longevity risk has become a major challenge for governments, individuals, and annuity providers in most countries. In … its aggregate form, the systematic risk of changes to general mortality patterns, it has the potential for causing large … cumulative losses for insurers. Since obvious risk management tools, such as (re)insurance or hedging, are less suited for …

premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton … company can borrow and invest money at a constant real-valued risk-free interest rate r. Our model allows for stochastic risk …

on mortality securities are largely unknown due to the lack of appropriate tractable models for valuation and risk …