The regulatory regime in Europe is undergoing a fundamental change that will serve as a benchmark for the regulators of other countries. This paper analyzes the influence of regulation imposed by Solvency II on life catastrophe risk management activities. The interplay of extreme mortality risks...

This paper assesses the risk of a mass lapse event in life insurance. The rarity of the event and the complexity of policyholder behavior, make the risk assessment of such a scenario difficult. Using a simulation study, we evaluate how different estimation methods can assess the scenario when...

Financial intermediaries often provide guarantees that resemble out-of-the-money put options, exposing them to tail risk. We present a model in the context of the U.S. life insurance industry in which variable annuity (VA) guarantees and associated hedging operate within the regulatory capital...

Financial intermediaries often provide guarantees that resemble out-of-the-money put options, exposing them to tail risk. Using the U.S. life insurance industry as a laboratory, we present a model in which variable annuity (VA) guarantees and associated hedging operate within the regulatory...

Retirement outcomes would be improved if retirees had access to insurance products that linked guaranteed, inflation-adjusted income to life cycle investment portfolio strategies. Suitable retirement planning for individual, defined contribution plans must concurrently account for trade-offs...

I examine competition in the sector of mortgage life insurance, in particular the Periodic Switching Right (PSR), by which the borrower can change his insurer once every period (say, every year). The PSR is likely to have pro competitive effects (lower premium), but by the same move, to lead to...

This article deals with the impact of the global financial crisis on the scale and structure of investment portfolios of insurance companies, with respect to their difference compared to other types of financial institution, which derives from the specific nature of insurance activities. The...

During the financial crisis, life insurers sold long-term policies at deep discounts relative to actuarial value. The average markup was as low as −19 percent for annuities and −57 percent for life insurance. This extraordinary pricing behavior was due to financial and product market...

The interaction of worsening fundamentals and strategic complementarities among investors renders identification of self-fulfilling runs challenging. We propose a dynamic model to show how exogenous variation in firms' liability structures can be exploited to obtain variation in the strength of...

Life insurers' odds of being placed under regulatory control (for example, conservatorship or receivership) during the financial crisis years of 2008 and 2009 increased with deteriorating fundamentals at a much higher rate than during normal times or during the previous recession. However, no...