that Lévy process-based models provide a better fit to the US statutory accounting data, and identifies how parameter risk … insurance parameter risk. …

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal … with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them … all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how …

The aggregation of individual risks into total risk using a weighting variable multiplied by two ratio variables … representing incidence and intensity is an important task for risk professionals. For example, expected loss (EL) of a loan is the …

insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula … is a measure of positive dependence through variance of the aggregate risk. During gross loss accumulation, the marginals …

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 …

The aim of the article is to identify the risk factors affecting bancassurance development in Poland. The development … is understood here as a change of gross written premiums obtained through banks in Poland. The group of risk factors … importance of insurance distribution in banks. Significant risk factors (statistically significant) which determine gross …

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 …

proposed to split Nat Cat risk into idiosyncratic (and hence insurable) risk and systematic risk (carrying the correlated part …). It is explained that the systematic risk can be transferred to capital markets using a set of parametric CAT bonds …. Premium calculation is presented for insuring the decomposed risk. Portfolio risk-return trade-off measures for investing on …