Mortality models used to assess longevity risk and retirement funding have been extended to stochastic models with … trends and systematic risk. Systematic risk cannot be readily diversified in an insurance pool or pension fund. It is an … important factor in assessing solvency and highlighting the tail risk in longevity insurance and pension products. Idiosyncratic …

. There is now a growing tendency for risk manager to bypass traditional insurance markets, and a variety of instruments … designed directly to transfer risk to the financial markets. After a couple of years of low catastrophe claims, 1998 claims are …

important novelty may be the incorporation of the background risk that the reinsurer uses in order to diversify (or hedge) the … risk ceded by the insurer. Accordingly, general methods to prevent the reinsurer moral hazard must be extended, and a new … constraint must be satisfied by the selected reinsurance contract, namely, "the reinsurer increment of risk must be lower than …

Historical evidence like the global financial crisis from 2007-09 highlights that sector concentration risk can play an … II consider only name concentration risk explicitly in their solvency capital requirements for asset concentration risk … and neglect sector concentration risk. We show by means of US insurers' asset holdings from 2009 to 2018 that substantial …

In this paper we consider an alternative dividend payment strategy in risk theory, where the dividend rate can never … dividend payment strategies of barrier and threshold type. We study the case where once during the lifetime of the risk process … payments until ruin. We first consider a general spectrally-negative Lévy risk model, and then re fine the analysis for a …

of business. The concern was apparently brevity risk, i.e., the risk of premature death. The brevity risk due to a … pandemic is similar to the property risk associated with catastrophic events such as earthquakes and hurricanes and the … security used to hedge the risk is similar to a CAT bond. This work looks at the incentives associated with insurance …

uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities … benefits or from investing in survivor swaps. The effect of financial risk on these hedge effects is typically ignored. The aim … of this paper is to quantify longevity risk in portfolios of mortality-linked assets and liabilities, taking into account …

Insurance companies can leverage the regulatory requirement of a "Risk Management Own Risk and Solvency Assessment …" (RMORSA) to improve risk-to-reward decision-making in general, and business planning in particular. This paper profiles …

Longevity basis risk arises because different populations, or subpopulations, will inevitably experience different … longevity outcomes. This is a significant issue for those wishing to hedge longevity risk using a published mortality index … cashflows, of the hedged portfolio will differ from those under the hedging instrument.In addition, longevity basis risk can …

This paper provides a simple model for basis risk in a longevity framework, by separating common and idiosyncratic risk … factors. Basis risk is captured by a single parameter, that measures the co-movement between the portfolio and the reference … rate risk …