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Longevity Risk and Capital Markets : The 2019-20 Update

Blake, David P.; Cairns, Andrew - 2021

dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity 15: The Fifteenth … International Longevity Risk and Capital Markets Solutions Conference that was held in Washington DC on 12-13 September 2019. It was … hosted by the Pensions Institute at City, University of London.Longevity risk and related capital market solutions have grown …

Persistent link: https://www.econbiz.de/10013234834

Optimal dividend policies for compound Poisson processes: The case of bounded dividend rates

Azcue, Pablo; Muler, Nora - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 26-42

We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cramér–Lundberg model with arbitrary claim-size distribution. Our objective is to find the dividend payment policy which maximizes the cumulative expected...

Persistent link: https://www.econbiz.de/10010576735

On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency

Avanzi, Benjamin; Cheung, Eric C.K.; Wong, Bernard; … - In: Insurance: Mathematics and Economics 52 (2013) 1, pp. 98-113

We consider the dual model, which is appropriate for modeling the surplus of companies with deterministic expenses and stochastic gains, such as pharmaceutical, petroleum or commission-based companies. Dividend strategies for this model that can be found in the literature include the barrier...

Persistent link: https://www.econbiz.de/10011046572

On optimal periodic dividend strategies in the dual model with diffusion

Avanzi, Benjamin; Tu, Vincent; Wong, Bernard - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 210-224

The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include research-based or commission-based companies. In this context, Bayraktar et al. (2013a) show that a dividend barrier strategy is optimal when...

Persistent link: https://www.econbiz.de/10011046573

Optimal dividends in the dual model under transaction costs

Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi - In: Insurance: Mathematics and Economics 54 (2014) C, pp. 133-143

We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive Lévy process, an optimal strategy is given by a (c1,c2)-policy that brings the surplus process down to c1 whenever it reaches or exceeds c2 for some...

Persistent link: https://www.econbiz.de/10011046622

On a mean reverting dividend strategy with Brownian motion

Avanzi, Benjamin; Wong, Bernard - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 229-238

In actuarial risk theory, the introduction of dividend pay-outs in surplus models goes back to de Finetti (1957 …

Persistent link: https://www.econbiz.de/10010594502

Dividend optimization for regime-switching general diffusions

Zhu, Jinxia; Chen, Feng - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 439-456

We consider the optimal dividend distribution problem of a financial corporation whose surplus is modeled by a general diffusion process with both the drift and diffusion coefficients depending on the external economic regime as well as the surplus itself through general functions. The aim is to...

Persistent link: https://www.econbiz.de/10010702910

Optimal dividends and ALM under unhedgeable risk

Pelsser, Antoon A.J.; Laeven, Roger J.A. - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 515-523

(partially) unhedgeable risk. The perspective that we choose is from an insurance company that maximises the stream of dividends …. Using stochastic control theory, we derive simultaneously the optimal investment policy and the optimal dividend policy … diversified portfolio. We show next how the pricing of unhedgeable risk can also be embedded in our framework. Finally, we derive …

Persistent link: https://www.econbiz.de/10010719091

Efficient Versus Inefficient Hedging Strategies in the Presence of Financial and Longevity (Value at) Risk

Luciano, Elisa - 2014

This paper provides a closed-form Value-at-Risk (VaR) for the net exposure of an annuity provider, taking into account … 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 …

Persistent link: https://www.econbiz.de/10013046884

Are quantile risk measures suitable for risk-transfer decisions?

Guerra, Manuel; Centeno, M.L. - In: Insurance: Mathematics and Economics 50 (2012) 3, pp. 446-461

Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and …

Persistent link: https://www.econbiz.de/10010572712