This paper assesses and compares multi-factor continuous time affine mortality models applied to age-cohort mortality curves that are well suited for theoretical and practical application in finance and insurance. Models based on Gaussian distributed mortality rates, as well as the...

This study explores the nexus between insurance penetration and economic development in Vietnam during the period 1996-2020. By utilising the Autoregressive Lagging Distribution Model - ARDL, we find uni-directional causality and positive impacts of insurance market development on economic...

Affine mortality models are well suited for theoretical and practical application in pricing and risk management of mortality risk. They produce consistent, closed-form stochastic survival curves allowing for the efficient valuation of mortality-linked claims. We model USA age-cohort mortality...

One of the most important risks in the actuarial industry is the longevity risk. The accurate prediction of mortality rates plays a crucial role in the management of the aforementioned risk. Such predictions are performed by modelling the mortality rates using mortality models. Aiming at...

Continuous-time affine mortality models are useful in the analysis of age-cohort mortality rates as they yield a closed-form expression for survival curves which are consistent with the dynamics of latent factors driving mortality and are well-suited for finance and insurance applications. We...

The impact of natural disasters on the Australian equity market is examined. The data set employed consists of daily price and accumulation returns over the period 31 December 1982-1 January 2002 for the All Ordinaries Index (AOI) and a record of 42 severe storms, floods, cyclones, earthquakes...

This report analyzes the difference between mergers and acquisitions (M&As) of target insurers in the US life and non-life insurance sectors. We first document M&A transactions in the US insurance market between 1990 and 2022 and select the M&A transactions related to US target insurers. We then...

This contribution starts out by noting a conflict of interest between consumers and insurers. Consumers face positive correlation in their assets (health, wealth, wisdom, i.e. skills), causing them to demand a great deal of insurance coverage. Insurers on the other hand eschew positively...

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...

We study optimal investment in self-protection of insured individuals when they face interdependencies in the form of potential contamination from others. If individuals cannot coordinate their actions, then the positive externality of investing in self-protection implies that, in equilibrium,...