The prototypical Lee-Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are designed to influence the age groups...

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...

The Lloyd's 2007 Survey of Underwriters states that "for the third year running, managing the cycle emerged as the most important challenge for the industry, by some margin"". The contention is of course that underwriting cycles exist in property and casualty insurance and are economically...

This paper examines uberrimae fidei (utmost good faith) with adverse selection in an insurance market. If consumers know their risk type (they know their expected loss), and if they understand the concept of uberrimae fidei, adverse selection is completely eliminated. However, if uberrimae fidei...

The main objective of this paper is to survey and evaluate the performance of the most popular univariate VaR methodologies, paying particular attention to their underlying assumptions and to their logical flaws. In the process, we show that the Historical Simulation method and its variants can...

The prototypical Lee-Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are designed to influence the age groups...

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...

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints. Moment constraints are often used to identify and estimate the mean and variance parameters and are however discarded when estimating error quantiles. In order to prevent...