Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the … valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance … liabilities as closely as possible. We minimize the L1 error between the discounted life insurance liability cash flows and the …

Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is … environment of insurers and consider capital costs and capital constraints at the level of individual insurance companies. We …

This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2017. That event gathered … experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss past and current … developments as well as future perspectives in dealing with asset-liability management for long-term insurance business. Topics …

We document a strong effect of pension and insurance company (P&I) assets on the long end of the yield curve. Using … ratio of pension assets (in funded and private pension and life insurance arrangements) to GDP, suggesting that preferred …

This article summarizes the main topics and findings from the Swiss Risk and Insurance Forum 2018. That event gathered … experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss the challenges arising from … the impact of data science and, more generally, of digitalization to the insurance sector. …