Life insurance products have profit sharing features in combination with guarantees. These so-called embedded options are often dependent on or approximated by forward swap rates. In practice, these kinds of options are mostly valued by Monte Carlo simulations. However, for risk management...

In the last decade a vast literature on stochastic mortality models has been developed. However, these models are often not directly applicable to insurance portfolios because: (a) For insurers and pension funds it is more relevant to model mortality rates measured in insured amounts instead of...

Upcoming new regulation on regulatory required solvency capital for insurers will be predominantly based on a one-year Value-at-Risk measure. This measure aims at covering the risk of the variation in the projection year as well as the risk of changes in the best estimate projection for future...

Guaranteed annuity options are options providing the right to convert a policyholder's accumulated funds to a life annuity at a fixed rate when the policy matures. These options were a common feature in UK retirement savings contracts issued in the 1970's and 1980's when interest rates were...