The aim of this paper is to study the influence of nonlinear dependencies on a nonlifeinsurers risk and return profile. To achieve this, we integrate several copulamodels in a dynamic financial analysis (DFA) framework and conduct numericaltests within a simulation study. We also test several...

In this paper we devise a general, stochastic asset-liability management model for life insurance companies, based on the work of Gerstner et al. (2008). While the basic concept and structure are similar, we expand their model and specify several aspects in greater detail. One of the main...

This paper presents a quantitative model designed to understand the sensitivity of variable annuity (VA) contracts to market and actuarial assumptions and how these sensitivities make them a potentially important source of risk to insurance companies during times of stress. VA contracts often...

Life annuities provide a guaranteed income for the remainder of the recipient's lifetime, and therefore, annuitization presents an important option when choosing an adequate investment strategy for the retirement ages. While there are numerous research articles studying annuities from a...

Life insurers typically grant policyholders a surrender option. We demonstrate that the resulting lapse risk could materialise in the form of a "policyholder run" if interest rates were to increase sharply. An inverse stress test based on a unique set of regulatory panel data suggests that...

This paper proposes and calibrates a consistent multi-factor affine term structure mortality model for longevity risk applications. We show that this model is appropriate for fitting historical mortality rates. Without traded mortality instruments the choice of risk-neutral measure is not unique...

The life insurance sector is exposed to systematic liquidity risk, because policyholders would have a common incentive to surrender their policies in the event of a severe macroeconomic shock. Life insurers would, then, have to sell assets, and these fire sales would amplify the original shock....

Life insurers typically grant policyholders a surrender option. We demonstrate that the resulting lapse risk could materialise in the form of a "policyholder run" if interest rates were to increase sharply. An inverse stress test based on a unique set of regulatory panel data suggests that...

The pricing of longevity-linked securities depends not only on the stochastic uncertainty of the underlying risk factors, but also the attitude of investors towards those factors. In this research, we investigate how to estimate the market risk premium of longevity risk using investable...

There has been some work, e.g.Carriere (1998), Valdez (2000b), and Valdez (2001), leading to the development of statistical models in understanding the mortality pattern of terminated policies. However, there is a scant literature on the empirical evidence of the true nature of the relationship...