In recent years, industry loss warranties (ILWs) have become increasingly popular in the reinsurance market. The defining feature of ILW contracts is their dependence on an industry loss index. The use of an index reduces moral hazard and generally results in lower prices compared to...

Die Risikowahrnehmung von Bürgern und Verbrauchern weicht aufgrund von psychologischen Verzerrungseffekten in vielen Fällen deutlich von den realen Risiken ab, was zu "irrationalen" Entscheidungen und ungeeignetem Vorsorgen und Versichern führen kann. Ziel der Studie ist es, solche...

Systematic mortality risk, i.e. the risk of unexpected changes in mortality and survival rates, can substantially impact a life insurers' risk and solvency situation. By using the “natural hedge” between life insurance and annuities, insurance companies have an effective tool for reducing...

In this paper, we investigate the impact of different asset management and surplus distribution strategies in life insurance on risk-neutral pricing and shortfall risk. In general, these feedback mechanisms affect the contract's payoff and hence directly influence pricing and risk measurement....

The purchase of index-linked alternative risk transfer instruments can lead to basis risk, if the insurer's loss is not fully dependent on the index. One way to reduce basis risk is to additionally purchase gap insurance, which fills the gap between an insurer's actual loss and the index-linked...