This paper proposes a stochastic model, which captures mortality correlations across countries and common mortality shocks, for analyzing catastrophe mortality contingent claims. To estimate our model, we apply particle filtering, a general technique that has wide applications in non-Gaussian...

Given the rising cost of maintaining defined benefit (DB) pensions, there has been a surge of activities in recent years by DB plan sponsors to transfer their pension risk through strategies such as buy-ins and buy-outs. As buy-in and buy-out transaction pipelines grow, insurers actively...

In this paper, we investigate the role of pension obligations, the most significant off-balance-sheet item, in determining corporate debt maturity and spreads. We begin by showing a significant and robust positive relationship between pension liabilities and corporate short-term debt ratio. We...

This study investigates the asset-liability management (ALM) of life insurers in the markets with negative interest rates. Using a sample of Japanese life insurers between 1999 and 2018, we provide initial evidence that the negative interest rate environment produces a much more serious...