We examine the optimal saving decision of individuals who face a multiplicative risk. An individual is defined to be … multiplicative risk prudent if multiplying a pure risk to her future wealth raises her optimal savings. We show that an individual is … multiplicative risk prudent if and only if her relative risk prudence uniformly exceeds two. Our result suggests a more restrictive …

This paper proposes a unified framework for measuring and managing longevity risk. Specifically, we develop a flexible … framework is essentially independent of the assumed underlying dynamics and the choice of method for risk neutralization and … relies only on the ability to simulate from the risk neutral process. We provide an application to derivatives on the …

their insurance liabilities on a risk-adjusted basis to allow for uncertainty inherent in cash flows that arise from the … to calculating reserve risk margin - the risk adjustment method commonly agreed under Solvency II and IFRS 4 Phase II …, there is one additional requirement of IFRS to also disclose confidence level of the risk margin. Given there is no specific …

We extend the classical compound Poisson risk model to consider the distribution of the maximum surplus before ruin …

The optimal reinsurance contract is investigated from the perspective of an insurer who would like to minimise its risk … exposure under Solvency II. Under this regulatory framework, the insurer is exposed to the retained risk, reinsurance premium … and change in the risk margin requirement as a result of reinsurance. Depending on how the risk margin corresponding to …

years by DB plan sponsors to transfer their pension risk through strategies such as buy-ins and buy-outs. As buy-in and buy … risk embedded in pension schemes. In this paper, we investigate how to maximize a bulk annuity insurer's value with … risk. We apply duality and the martingale approach to derive an optimal longevity risk transfer strategy. Our results show …

of catastrophic insurance. Building on our estimation results, we discuss the scope for the risk transfer to the …