Premium settlement and calculation of reserves and capital requirements are typically based on worst or just bad case assumptions on interest rates, mortality rates, and other transition rates. If interest and transition rates are chosen independently from each other, the worst, i.e. the reserve...

We derive worst-case scenarios in the case where the interest rate and the various transition intensities in a life insurance model are mutually dependent. Examples of this dependence are that surrender intensities and interest rates are high at the same time, that mortality intensities of a...