Pandemic risks, such as Covid-19, are difficult to insure as they are characterized by multiple factor risks and losses and involve different types of businesses and people simultaneously. The scarcity of time series and statistical data prevents insurers from developing correct pricing. We...

We provide a novel benefit of Alternative Risk Transfer (ART) products with parametric or index triggers. When a reinsurer has private information about his client's risk, outside reinsurers will price their reinsurance offer less aggressively. Outsiders are subject to adverse selection as only...

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...

Longevity risk has become a major challenge for governments, individuals, and annuity providers in most countries, and especially its aggregate form, i.e. the risk of unsystematic changes to general mortality patterns, bears a large potential for accumulative losses for insurers. As obvious risk...

Aimed at protection of the market and consumers, the control of solvency is very important for insurer's business activities. Regarding the fact that insurer's insolvency causes a chain of problems, the state regulation is needed that forces insurers to keep their solvency at the necessary...

Catastrophe bonds (cat bonds) often use index triggers, such as, for instance, parametric descriptions of a catastrophe. This implies the problem of the so-called basis risk, resulting from the fact that, in contrast to traditional reinsurance, this kind of coverage cannot be a perfect hedge for...

In this paper, we develop an analytical framework for conducting forward-looking assessments of profitability and solvency of the main euro area insurance sectors. We model the balance sheet of an insurance company encompassing both life and non-life business and we calibrate it using country...

Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities can be substantial, and that there exists a (natural)...

In this paper we discuss the importance of liquidity risk when evaluating the risk of portfolios of financial assets that insurance companies hold. Until very recently and within the scope of Solvency II, liquidity risk was only considered under Pillar II, i.e. the proposal was that insurance...