We study how risk management through hedging impacts firms and competition among firms in the life insurance industry … face costly external finance increase hedging after staggered state-level financial reform that reduces the costs of … hedging. Post reform impacted firms have lower risk and fewer negative income shocks. Product market competition is also …

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is …. We also show that the induced hedging strategies indeed produce a dynamic superhedge and subhedge under the statistical … by finite difference methods. For our contracts and choice of parameters the pricing and hedging is fairly robust with …

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is …. We also show that the induced hedging strategies indeed produce a dynamic superhedge and subhedge under the statistical … by finite difference methods. For our contracts and choice of parameters the pricing and hedging is fairly robust with …

capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of … reasonable market price of longevity risk, the market cost of hedging longevity risk for earlier ages is lower than the cost of … capital required under Solvency II. Longevity swaps covering higher ages, around 90 and above, have higher market hedging …

capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of … reasonable market price of longevity risk, the market cost of hedging longevity risk for earlier ages is lower than the cost of … capital required under Solvency II. Longevity swaps covering higher ages, around 90 and above, have higher market hedging …

convex hedging approach proposed in Dhaene et al. (2017) to a multi-period framework and investigate the realization of fair …