We propose a model for risk adjustment, in the context of IFRS 17, for surrender risk. Surrender rates are assumed to … approximations of risk measures, such as quantiles, for the total portfolio. These formulas are easy to program and enable an … insurance company to calculate its risk adjustment without time-consuming simulations. …

The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from … issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as … determined using Solvency II Standard Formula. In particular, two approaches to calculate Value-at-Risk are analyzed: one …

This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life …

margins for systematic biometric and financial risk are in practice typically chosen as time-constant percentages on top of … the best estimate transition intensities. We develop a risk-oriented method for the allocation of a total safety margin to …

. The immunization procedure is based on a targeted minimax strategy considering the M-Absolute as the interest rate risk …

risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities … with respect to model parameters for P&L distributions such as value-at-risk and expected shortfall. Numerous examples …

portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay … a range of assumptions for the longevity risk premium, the term to maturity of the hedging instruments, as well as the … size of the underlying annuity portfolio. The results compare the risk management benefits and costs of longevity …

The design and development of post-retirement income products require the assessment of longevity risk, as well as a … basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort …-based value index for life insurers and pension funds to manage longevity risk. There are two innovations in the development of …

then supposed to become larger and more heterogeneous. With respect to the insurer’s risk profile, there is a trade … more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are … model. We suggest adopting a frailty model for risk classification. We identify risk groups (or classes) within the …