The risk profile of an insurance company involved in annuity business is heavily affected by the uncertainty in future mortality trends. It is problematic to capture accurately future survival patterns, in particular at retirement ages when the effects of the rectangularization phenomenon and...

Longevity risk threatens the financial stability of private and government sponsored defined benefit pension systems as well as social security schemes, in an environment already characterized by persistent low interest rates and heightened financial uncertainty. The mortality experience of...

In this paper we present a price model for the Guaranteed Lifelong Withdrawal Benefit, an option embedded in Variable Annuity policies, which gives the insured the possibility to withdraw from a fund a guaranteed amount annually, even if the account value has fallen below this amount. We...

Purpose – The determination of the capital requirements represents the first Pillar of Solvency II. The main purpose of the new solvency regulation is to obtain more realistic modelling and assessment of the different risks insurance companies are exposed to in a balance-sheet perspective. In...

We consider the issue of cross-sectional aggregation in nonstationary and heterogeneous panels where each unit cointegrates. We derive asymptotic properties of the aggregate estimate, and necessary and sufficient conditions for cointegration to hold in the aggregate relationship. We then analyze...

We contrast the forecasting performance of alternative panel estimators, divided into three main groups: homogeneous, heterogeneous and shrinkage/Bayesian. Via a series of Monte Carlo simulations, the comparison is performed using different levels of heterogeneity and cross sectional dependence,...

This paper develops a novel asymptotic theory for panel models with common shocks. We assume that contemporaneous correlation can be generated by both the presence of common regressors among units and weak spatial dependence among the error terms. Several characteristics of the panel are...