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A stochastic forward-looking model to assess the profitability and solvency of European insurers
Berdin, Elia; Pancaro, Cosimo; Kok Sørensen, Christoffer - 2016
solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and … non-life business and we calibrate it using country level data to make it representative of the major euro area insurance …
Persistent link: https://www.econbiz.de/10011480226
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How Not to Regulate Insurance Markets : The Risks and Dangers of Solvency II
Persaud, Avinash - 2015
With more than $50 trillion in assets worldwide, investment funds run by the insurance industry and pension system are … harmonizes insurance regulations in Europe, in order to reduce the risk of an insurer defaulting on its obligations and producing …
Persistent link: https://www.econbiz.de/10013017611
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A stochastic forward-looking model to assess the profitability and solvency of European insurers
Berdin, Elia; Pancaro, Cosimo; Kok Sørensen, Christoffer - 2016
solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and … non-life business and we calibrate it using country level data to make it representative of the major euro area insurance …
Persistent link: https://www.econbiz.de/10012061973
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A stochastic forward-looking model to assess the profitability and solvency of European insurers
Berdin, Elia; Kok Sørensen, Christoffer; Pancaro, Cosimo - 2017
solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and … non-life business and we calibrate it using country level data to make it representative of the major euro area insurance …
Persistent link: https://www.econbiz.de/10011637362
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A stochastic forward-looking model to assess the profitability and solvency of European insurers
Berdin, Elia; Pancaro, Cosimo; Kok Sørensen, Christoffer - 2016
solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and … non-life business and we calibrate it using country level data to make it representative of the major euro area insurance …
Persistent link: https://www.econbiz.de/10011473563
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Mortality-Indexed Annuities. Managing Longevity Risk via Product Design
Richter, Andreas; Weber, Frederik - 2009
accumulative losses for insurers. As obvious risk management tools such as (re)insurance or hedging are less suited to manage an … cost experience is found in German private health insurance so that the idea is not novel in general, but it is in the …
Persistent link: https://www.econbiz.de/10010427774
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Mortality-indexed annuities : managing longevity risk via product design
Richter, Andreas; Weber, Frederik - 2009
accumulative losses for insurers. As obvious risk management tools such as (re)insurance or hedging are less suited to manage an … cost experience is found in German private health insurance so that the idea is not novel in general, but it is in the …
Persistent link: https://www.econbiz.de/10003922710
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Interest rate risk, longevity risk and the solvency of life insurers
Berdin, Elia - 2016 - This version: September 2016
In this paper I assess the effect of interest rate risk and longevity risk on the solvency position of a life insurer selling policies with minimum guaranteed rate of return, profit participation and annuitization option at maturity. The life insurer is assumed to be based in Germany and...
Persistent link: https://www.econbiz.de/10011535876
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Longevity Risk and Natural Hedge Potential in Portfolios of Life Insurance Products : The Effect of Investment Risk
Stevens, Ralph - 2011
Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This … insurance products. It also significantly affects the hedge potential that arises from combining life insurance products, or …
Persistent link: https://www.econbiz.de/10013127855
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One-Year Value-at-Risk for Longevity and Mortality
Plat, Richard - 2011
concepts to apply the stochastic mortality rates to specific insurance portfolios …
Persistent link: https://www.econbiz.de/10013132618