Even though insurers predominantly invest in bonds, credit risk associated with government and corporate bonds has long not been a focus in their risk management. After the crisis of several European countries, however, credit risk has recently been paid greater attention. Nevertheless, the...

The advent of the Internal Model Approval Process within Solvency II and the desirability of many insurance companies to gain approval has increased the importance of some topics such as risk aggregation in determining overall economic capital level. The most widely used approach for aggregating...

Este trabajo se centra en la elaboración de un modelo interno para el riesgo de renta variable en Solvencia II. Para ello, se han utilizado datos mensuales de la serie de Ibex 35, Cac-40, Ftse-100 y Dax del periodo Enero de 1992 a Diciembre de 2008. Se han ajustado por máximo verosimilitud el...

The aim of the paper is twofold. Firstly, it develops a model for risk assessment in a portfolio of life annuities with long term care benefits. These products are usually represented by a Markovian Multi-State model and are affected by both longevity and disability risks. Here, a stochastic...

This paper looks at the development of dynamic hedging strategies for typical pension plan liabilities using longevity-linked hedging instruments. Progress in this area has been hindered by the lack of closed-form formulae for the valuation of mortality-linked liabilities and assets, and the...

The advent of the Internal Model Approval Process within Solvency II and the desirability of many insurance companies to gain approval has increased the importance of some topics such as risk aggregation in determining overall economic capital level. The most widely used approach for aggregating...

The essential indicator of the financial stability of the insurance companies: their solvency, determines the substantial amendment of the enforcement terms of the insurer’s bankruptcy procedure in reference to those imposed for the initiation of the bankruptcy procedure of the regular trading...

In this paper, we detail the main simulation methods used in practice to measure one-year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development Result (CDR) whose variance is identical to the closed-form expression of the prediction error...

The insurance penetration remained at its low level (5.3 percent) throughout 2013, the consequence of a decline in revenues from life insurance premium payments and below-average growth in the casualty and accident insurance business. With the first contracts falling due and new business moving...

There is a conflict between the philosophies of United States (US) style capital regulation and that of the European Union (EU). While the conflict looks like it will not evolve into a real trade issue, there is a potential for misunderstanding of the pros and cons of the two systems. This paper...