Purpose – The purpose of this paper is to provide a detailed analysis of industry loss warranties (ILWs), an alternative risk transfer instrument which has become increasingly popular throughout the last few years. Design/methodology/approach – The authors first point out key characteristics...

Purpose – The purpose of this paper is to study the risk of misspecifying solvency models for insurance companies. Design/methodology/approach – Based on a basic solvency model, the authors examine the sensitivity of different risk measures with respect to model misspecification. An analysis...

Purpose – Definitions of pooling effects in insurance companies may convey the impression that the achieved risk reduction effect will be beneficial for policyholders, since typically lower premiums are paid for the same safety level with an increasing number of insureds, or a higher safety...

Purpose – The purpose of this paper is to review research on lapse in life insurance and to outline potential new areas of research in this field. Design/methodology/approach – The authors consider theoretical lapse rate models as well as empirical research on life insurance lapse and...

Purpose – The purpose of this paper is to transfer the concept of market-consistent embedded value (MCEV) from life to non-life insurance. This is an important undertaking since differences in management techniques between life and non-life insurance make management at the group level very...

Purpose – The purpose of this paper is to present a simulation-based approach for modeling multi-year non-life insurance risk in internal risk models. Strategic management in an insurance company requires a multi-year time horizon for economic decision making, for example, in the context of...

Purpose – The purpose of this paper is to review research on lapse in life insurance and to outline potential new areas of research in this field. Design/methodology/approach – The authors consider theoretical lapse rate models as well as empirical research on life insurance lapse and...

Purpose – The purpose of this paper is to illustrate the importance of modeling parameter risk in premium risk, especially when data are scarce and a multi-year projection horizon is considered. Internal risk models often integrate both process and parameter risks in modeling reserve risk,...

Purpose – The purpose of this paper is to illustrate the importance of modeling parameter risk in premium risk, especially when data are scarce and a multi-year projection horizon is considered. Internal risk models often integrate both process and parameter risks in modeling reserve risk,...

Purpose – The purpose of this paper is to present a simulation-based approach for modeling multi-year non-life insurance risk in internal risk models. Strategic management in an insurance company requires a multi-year time horizon for economic decision making, for example, in the context of...