CAT bonds are of significant importance in the field of alternative risk transfer. Since the market of CAT bonds is not complete, the application of an appropriate pricing model is of high relevance. We apply different premium calculation models in order to compare them with regard to their...

This paper analyzes how capital-related frictional costs (e.g., corporate or personal taxes) influence insurers' optimal pricing and safety level decisions. Frictional costs are modeled with an innovative generic approach that is compatible with many realistic forms of taxation. I show that in...

For life insurance companies and pension funds, it is always the case in practice that not all of the risks in their books can be hedged. Hence, the standard Black-Scholes methodology cannot be applied in this situation. This paper discusses and compares several methods that have been proposed...

A simple formula for non-discriminatory insurance pricing is introduced. This formula is based on the assumption that certain individual (discriminatory) policyholder information is not allowed to be used for insurance pricing. The suggested procedure can be summarized as follows: First, we...

There are large, upfront, fixed costs to writing a life insurance policy. Both agent commission and direct underwriting costs (e.g., fees for physicals and blood tests) are fully paid a few years into contracts that can last 10-30 years. Because of these upfront costs, insurers can actually lose...

This paper studies a one-period stochastic game to determine the optimal premium strategies of non-life insurers in a competitive market. Specifically, the optimal premium strategy is determined by the Nash equilibrium of an n-player game, in which each player is assumed to maximise the expected...

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,...

In this paper, we propose a model for the optimal premium pricing policy of an insurance company into a competitive environment using Dynamic Programming into a stochastic, discrete-time framework when the company is expected to lose part of the market. In our approach, the volume of business...

Poor households in developing countries face large and varied risks, but often have inadequate informal tools to manage them. Microinsurance is being developed to create a better alternative, and it should in theory be in high demand. Yet take-up of microinsurance remains low. I study the impact...

The objective of this paper is twofold. On the one hand, the optimal combination of reinsurance and financial investment is studied under a general framework, since there is no specific type of reinsurance contract, there is no specific dynamics of the financial instruments, the financial market...