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Life insurance cash flows with policyholder behavior
Buchardt, Kristian; Møller, Thomas - In: Risks : open access journal 3 (2015) 3, pp. 290-317
The problem of the valuation of life insurance payments with policyholder behavior is studied. First, a simple survival …
Persistent link: https://www.econbiz.de/10011300310
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Participating life insurance products with alternative guarantees : reconciling policyholders' and insurers' interests
Reuß, Andreas; Ruß, Jochen; Wieland, Jochen - In: Risks : open access journal 4 (2016) 2, pp. 1-18
Traditional participating life insurance contracts with year-to-year (cliquet-style) guarantees have come under …
Persistent link: https://www.econbiz.de/10011507240
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A bridge between local GAAP and Solvency II frameworks to quantify capital requirement for demographic risk
Clemente, Gian Paolo; Della Corte, Francesco; Savelli, Nino - In: Risks : open access journal 9 (2021) 10, pp. 1-19
-participating life insurance contracts and we prove analytically that the valuation of demographic profit can be significantly affected …-free rates. A case study has also been developed considering a portfolio of life insurance contracts. Results prove the …
Persistent link: https://www.econbiz.de/10012632194
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Maximum market price of longevity risk under solvency regimes : the case of Solvency II
Levantesi, Susanna; Menzietti, Massimiliano - In: Risks : open access journal 5 (2017) 2, pp. 1-21
Longevity risk constitutes an important risk factor for life insurance companies, and it can be managed through …
Persistent link: https://www.econbiz.de/10011687316
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Revisiting calibration of the solvency II standard formula for mortality risk : does the standard stress scenario provide an adequate approximation of value-at-risk?
Gylys, Rokas; Šiaulys, Jonas - In: Risks : open access journal 7 (2019) 2/58, pp. 1-24
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,...
Persistent link: https://www.econbiz.de/10012019003
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Multi-objective stochastic optimization programs for a non-life insurance company under solvency constraints
Kaucic, Massimiliano; Daris, Roberto - In: Risks : open access journal 3 (2015) 3, pp. 390-419
experiments are carried out on a set of portfolios to be optimized for an EU-based non-life insurance company. Both performance …
Persistent link: https://www.econbiz.de/10011402555
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Estimating the volatility of non-life premium risk under Solvency II : discussion of Danish fire insurance data
Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks : open access journal 8 (2020) 3/74, pp. 1-19
empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared … to the present literature, this paper innovates the fitting of Danish fire insurance data using a composite model with a … random threshold. Secondly we prove, by fitting the Danish fire insurance data, that for large insurance companies the …
Persistent link: https://www.econbiz.de/10012293140
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The impact of reinsurance strategies on capital requirements for premium risk in insurance
Clemente, Gian Paolo; Savelli, Nino; Zappa, Diego - In: Risks : open access journal 3 (2015) 2, pp. 164-182
New risk-based solvency requirements for insurance companies across European markets have been introduced by Solvency …
Persistent link: https://www.econbiz.de/10011300336
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Pricing of longevity derivatives and cost of capital
Zeddouk, Fadoua; Devolder, Pierre - In: Risks : open access journal 7 (2019) 2/41, pp. 1-29
Annuities providers become more and more exposed to longevity risk due to the increase in life expectancy. To hedge this risk, new longevity derivatives have been proposed (longevity bonds, q-forwards, S-swaps…). Although academic researchers, policy makers and practitioners have talked about...
Persistent link: https://www.econbiz.de/10012019297
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The effect of non-proportional reinsurance : a revision of Solvency II Standard Formula
Clemente, Gian Paolo - In: Risks : open access journal 6 (2018) 2, pp. 1-13
Solvency II Standard Formula provides a methodology to recognise the risk-mitigating impact of excess of loss reinsurance treaties in premium risk modelling. We analyse the proposals of both Quantitative Impact Study 5 and Commission Delegated Regulation highlighting some inconsistencies. This...
Persistent link: https://www.econbiz.de/10011866519