insurance entities, and particularly in relation to valuation of insurance liabilities. Insurers will be required to valuate … their insurance liabilities on a risk-adjusted basis to allow for uncertainty inherent in cash flows that arise from the … liability of insurance contracts. Whilst most European-based insurers are expected to adopt the Cost of Capital (CoC) approach …

This paper studies the design of an optimal insurance contract with background risk from the perspective of an insured … with a general mean-variance preference, where admissible insurance policies satisfy an incentive compatible constraint …. This constraint ensures that both parties in an insurance contract would pay more for a larger realization of loss. As …

-known physical realities for insurance industry practitioners and academics. These realities create complex underlying risks for (re)insurance …', adapted to provide reinsurance cover for a property and business interruption insurance portfolio. We structure, price and … insurance portfolio risk transfer by extending the practice to second order of risk factors. This expansion will allow for …

to several block structures for the unspecified entries that arise in insurance and risk management, where an insurance … has attractive properties and we argue that it is suitable for use in the insurance application. Our explicit formulas …

primarily by insurance companies. Surprisingly, insurers use reinsurance to cover only a small fraction of these exposures, yet …

This paper examines the optimal design of insurance and reinsurance policies. We first consider reinsurance for … threaten the solvency of re- insurance such as a major earthquake, while others derive from common risks-changes in conditions …. Premium risk emerges as an important part of risk, which reinsurance and primary insurance markets do not adequately diversify.quot …