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Solvency Capital, Pricing and Capitalization Strategies of Life Annuity Providers
Nirmalendran, Maathumai - 2012
This paper provides a detailed quantitative assessment of the impact of solvency capital requirements on product pricing and shareholder value for a life insurer. A multi-period firm value maximization model for a life annuity provider, allowing for stochastic mortality and asset returns,...
Persistent link: https://www.econbiz.de/10013105955
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House Price Risk Models for Banking and Insurance Applications
Hanewald, Katja - 2012
residential property for applications in banking and insurance including pricing, risk management, and portfolio management. Risk …
Persistent link: https://www.econbiz.de/10013113505
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Product Pricing and Solvency Capital Requirements for Long-Term Care Insurance
Shao, Adam Wenqiang; Sherris, Michael; Fong, Joelle H. - 2015
-term care (LTC) insurance policies using Activities of Daily Living (ADLs) and U.S. data. We compare stand-alone policies, rider … benefit policies (LTC insurance combined with whole life insurance), life care annuities (LTC insurance combined with … annuities), and shared LTC insurance in terms of premium cost and solvency capital requirements. Premiums and best …
Persistent link: https://www.econbiz.de/10014036307
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Solvency Capital, Pricing and Capitalization Strategies of Life Annuity Providers
Nirmalendran, Maathumai; Sherris, Michael; Hanewald, Katja - ARC Centre of Excellence in Population Ageing Research … - 2012
This paper provides a detailed quantitative assessment of the impact of solvency capital requirements on product pricing and shareholder value for a life insurer. A multi-period firm value maximization model for a life annuity provider, allowing for stochastic mortality and asset returns,...
Persistent link: https://www.econbiz.de/10010551690
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On Sustainable Aged Care Financing in Australia
Sherris, Michael - 2021
actuarially based contributory social insurance scheme for aged care. Sustainable financing of aged care requires a balance … private market insurance and financing to supplement government financed aged care support …
Persistent link: https://www.econbiz.de/10013220902
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Longevity risk, cost of capital and hedging for life insurers under Solvency II
Meyricke, Ramona; Sherris, Michael - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 147-155
The cost of capital is an important factor determining the premiums charged by life insurers issuing life annuities. This capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of longevity risk management using indemnity based...
Persistent link: https://www.econbiz.de/10010753215
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Portfolio Selection for Insurance Linked Securities: An Application of Multiple Criteria Decision Making
Ho, Dominic; Sherris, Michael - ARC Centre of Excellence in Population Ageing Research … - 2012
The insurance linked securities (ILS) market is an increasingly important alternative asset class for which risk and …
Persistent link: https://www.econbiz.de/10010551698
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House Price Risk Models for Banking and Insurance Applications
Hanewald, Katja; Sherris, Michael - ARC Centre of Excellence in Population Ageing Research … - 2011
residential property for applications in banking and insurance including pricing, risk management, and portfolio management. Risk …
Persistent link: https://www.econbiz.de/10010551699
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An Analysis of Reinsurance Optimisation in Life
Veprauskaite, Elena; Sherris, Michael - ARC Centre of Excellence in Population Ageing Research … - 2012
This paper considers optimal reinsurance based on an assessment of the reinsurance arrangements for a large life insurer. The objective is to determine the reinsurance structure, based on actual insurer data, using a modified mean-variance criteria that maximises the retained premiums and...
Persistent link: https://www.econbiz.de/10010551701
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Lifetime Dependence Modelling using the Truncated Multivariate Gamma Distribution
Alai, Daniel; Landsman, Zinoviy; Sherris, Michael - ARC Centre of Excellence in Population Ageing Research … - 2012
also undermines the law of large numbers; a law that is relied on in the risk management of life insurance and annuity …
Persistent link: https://www.econbiz.de/10010551710