Insurance companies use conservative first order valuation bases to calculate insurance premiums and reserves. These valuation bases have a significant impact on the insurer's solvency and on the premiums of the insurance products. Safety margins for systematic biometric and financial risk are...

In a shadow insurance transaction, a life insurer purchases reinsurance from an affiliated company that is licensed as a captive insurer or Special Purpose Vehicle and is not an “authorized” reinsurer. Such transactions have been scrutinized in recent years by the Federal Insurance Office,...

We provide an economic valuation of the riskiness of risk models. We estimate the impact of model risks (estimation and specification) on VaR estimates. We find that integrating the model risk into the VaR computations implies a substantial correction, of order of 20-40% of VaR levels in...