This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the asset value. We first consider a vanilla insurance...

In the US, Defined Benefit Plans are insured by the Pension Benefit Guaranty Corporation (PBGC). Taking account of the facts that the PBGC covers only the residual deficits of the pension fund the sponsoring company is unable to cover and that the plans can be prematurely terminated, we consider...

The aim of this manuscript is to provide the mathematical and statistical foundations of actuarial learning. This is key to most actuarial tasks like insurance pricing, product development, claims reserving and risk management. The basic approach to these tasks is regression modeling. This...

Concerns have been raised about the implications of genetics for insurance and care costs, both from the public's and the insurance industry's points of view. Insurers worry that applicants might have increasingly precise knowledge of their own risks, which will lead to adverse selection. Public...

This concise introduction to life contingencies, the theory behind the actuarial work around life insurance and pension funds, will appeal to the reader who likes applied mathematics. In addition to model of life contingencies, the theory of compound interest is explained and it is shown how...

Financial Risk and Derivatives provides an excellent illustration of the links that have developed in recent years between the theory of finance on one hand and insurance economics and actuarial science on the other. Advances in contingent claims analysis and developments in the academic and...

This concise self-contained book on life contingencies is written for students, teachers, researchers and life insurance practitioners. The stochastic model, introduced by Professor De Vylder more than twenty years ago and now widely adopted, is used throughout the monograph. Beyond the...