Tail Mean-Variance (TMV) has emerged from the actuarial community as a criterion for risk management and portfolio selection, with a focus on extreme losses. The existing literature on portfolio optimization under the TMV criterion relies on the plug-in approach that substitutes the unknown mean...

A computationally appealing methodology for the valuation of large variable annuities portfolios is a metamodelling framework that evaluates a small set of representative contracts, fits a predictive model based on these computed values, and then extrapolates the model to estimate the values of...

A computationally appealing methodology for the valuation of large variable annuities portfolios is a metamodelling framework that evaluates a small set of representative contracts, fits a predictive model based on these computed values, and then extrapolates the model to estimate the values of...

Borrowing information from populations with similar structural mortality patterns and trajectories has been well recognized as a useful strategy for the mortality forecasting of a target population. This paper presents a flexible framework for the selection of populations from a given candidate...

In this article, we study the problem of optimal index insurance design under an expected utility maximization framework. For general utility functions, we formally prove the existence and uniqueness of optimal contract, and develop an effective numerical procedure to calculate the optimal...

This paper proposes an optimal dynamic strategy for hedging longevity risk in a discrete-time setting. Our proposed hedging strategy relies on standardized mortality-linked securities and minimizes the variance of the hedging error as induced by the population basis risk. While the formulation...

Value-at-Risk (VaR) and Conditional Tail Expectation (CTE) are the two most frequently applied risk measures in quantitative risk management. Recently, expectile has also attracted much attention as a risk measure due to its elicitability property. This paper establishes empirical likelihood...