This paper uses a novel numerical optimization technique – robust optimization – that is well suited to solving the asset-liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach...

An optimal Bonus-Malus System (BMS) based on both the number of accidents and the severity of each accident was developed by Frangos and Vrontos (2001). In this paper we extend the work of Frangos and Vrontos (2001), Lemaire (1995) and Dionne and Vannasse (1989, 1992) using finite mixture...

Nash (1951) claimed that every game must have a solution, even if it means a mixed strategy. His method is to find a probability that equalizes the two expected payoffs. Though simple, the calculation can be tedious. To avoid unnecessary mistake, this paper works out an algorithm to do the...

Decision-makers who usually face model/parameter risk may prefer to act prudently by identifying optimal contracts that are robust to such sources of uncertainty. In this paper, we tackle this issue under a finite uncertainty set that contains a number of probability models that are candidates...

Capital efficiency and asset/liability management are part of the Enterprise Risk Management Process of any insurance/reinsurance conglomerate and serve as quantitative methods to fulfill the strategic planning within an insurance organisation. There has been a considerable amount of work in...

Calculation of an optimal tariff is a principal challenge for pricing actuaries. In this contribution we are concerned with the renewal insurance business discussing various mathematical aspects of calculation of an optimal renewal tariff. Our motivation comes from two important actuarial tasks,...

We study a portfolio optimization problem involving the rational policyholder of a variable annuity with a guaranteed minimum maturity benefit. This financial guarantee is fi nanced via a fee withdrawn directly from the investment account, which impacts the net investment return. We propose a...

The insurance linked securities (ILS) market is an increasingly important alternative asset class for which risk and return analysis differs from other asset classes. Measures of portfolio risk and return for an ILS portfolio are based on the expected losses and expected excess returns over the...

Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance liabilities as closely as possible. We minimize the L1 error...