In this paper, we investigate the dynamics of age-cohort survival curves under the assumption that the instantaneous mortality intensity is driven by an affine jump-diffusion (AJD) process. Advantages of an AJD specification of mortality dynamics include the availability of closed-form...

The purpose of the present paper has been to test whether loss reserving models that rely on claim count data can produce better forecasts than the chain ladder model (which does not rely on counts); better in the sense of being subject to a lesser prediction error.The question at issue has been...

Cohort effects have been identified in many countries. However, some mortality models only consider the modelling and projection of age-period effects. Others, that incorporate cohort effects, do not consider cohort specific survival curves that are important for pricing and hedging purposes. In...

Pension funds and life insurers offering annuities hold long term liabilities linked to longevity. Risk management of life annuity portfolios aims to immunize or hedge both interest rate and mortality risks. Standard fixed interest duration-convexity hedging must be adapted to allow for both...

Developing a liquid longevity market requires reliable and well-designed financial instruments. An index-based longevity swap and a cap are analyzed in this paper under a tractable stochastic mortality model. The model is calibrated using Australian mortality data and analytical formulas for...

Existing longevity indices commonly use age-based mortality rates or period life expectancy. We propose an alternative cohort-based value index for insurers and pension funds to manage longevity risk. This index is an expected present value of a longevity linked cash flow valued using a...

Introducing common shocks is a popular dependence modelling approach, with some recent applications in loss reserving. The main advantage of this approach is the ability to capture structural dependence coming from known relationships. In addition, it helps with the parsimonious construction of...

When calculating the risk margins of a company with multiple Lines of Business–typically, a quantile in the right tail of an aggregate loss, assumptions about the dependence structure between the different Lines are crucial. Many current multivariate reserving methodologies focus on aggregated...

While the fairness and accountability in machine learning tasks have attracted attention from practitioners, regulators, and academicians for many applications, their consequence in terms of stakeholders' welfare is under-explored, especially via empirical studies and in the context of insurance...

The pricing of longevity-linked securities depends not only on the stochastic uncertainty of the underlying risk factors, but also the attitude of investors towards those factors. In this research, we investigate how to estimate the market risk premium of longevity risk using investable...