We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...

The object of study of this paper is the analysis of the level of reserves in a non-life insurance portfolio. The approach to this tool as an indicator of the solvency of the portfolio poses an initial dilemma between the security necessary to be able to respond to the losses that have occurred...

We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...

Mortality dynamics are characterized by changes in mortality regimes. This paper describes a Markov regime switching model which incorporates mortality state switches into mortality dynamics. Using the 1901-2005 US population mortality data, we illustrate that regime switching models perform...

Systematic improvements in mortality increases dependence in the survival distributions of insured lives. This is not accounted for in standard life tables and actuarial models used for annuity pricing and reserving. Furthermore, systematic longevity risk undermines the law of large numbers; a...

Systematic improvements in mortality dependence in the survival distributions of insured lives, which is not accounted for in standard life tables and actuarial models used for annuity pricing and reserving. Systematic longevity risk also undermines the law of large numbers; a law that is relied...

In this study we propose a stochastic mortality forecast model that may be viewed as a Lévy process. First, age, period and cohort effects are objectively identified in a given matrix of historic mortality data. Next, these patterns are removed from the matrix of mortality improvement rates. We...

Any mortality analysis is faced with the difficulty of dealing with large quantities of noisy data. Pragmatic approaches have ever relied on graphical analysis of mortality contour maps in order to identify age, period and cohort effects. We adapt and apply suitable methods of image processing...

This paper studies bilateral risk-sharing with no aggregate uncertainty, when agents maximize rank-dependent utilities. We characterize the structure of Pareto optimal risk-sharing contracts in full generality. We then derive a necessary and sufficient condition for Pareto optima to be...