Related papers: Quantifying mortality risk in small defined-benefi…
Under Solvency II, the Value-at-Risk (VaR) is applied, although there is broad consensus that the Expected Shortfall (ES) constitutes a more appropriate risk measure. Moving towards ES would necessitate specifying the corresponding ES…
There is little disagreement among insurance actuaries and financial economists about the societal benefits of longevity-risk pooling in the form of life annuities, defined benefit pensions, self-annuitization funds, and even tontine…
Recently, we have shown that the age-specific prevalence of a disease can be related to the transition rates in the illness-death model via a partial differential equation (PDE). In case of a chronic disease, we show that the PDE can be…
In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned with abnormal cohort effects such as those for generations 1919…
We develop a theory for pricing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified…
Death benefits are generally the largest cash flow item that affects financial statements of life insurers where some still do not have a systematic process to track and monitor death claims experience. In this article, we explore data…
Demographic changes increase the necessity to base the pension system more and more on the second and the third pillar, namely the occupational and private pension plans; this paper deals with Target Date Funds (TDFs), which are a typical…
The UK Biobank is a large-scale health resource comprising genetic, environmental and medical information on approximately 500,000 volunteer participants in the UK, recruited at ages 40--69 during the years 2006--2010. The project monitors…
We construct a binomial model for a guaranteed minimum withdrawal benefit (GMWB) rider to a variable annuity (VA) under optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded…
We study a fully funded, collective defined-contribution (DC) pension system with multiple overlapping generations. We investigate whether the welfare of participants can be improved by intergenerational risk sharing (IRS) implemented with…
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of…
Human mortality data sets can be expressed as multiway data arrays, the dimensions of which correspond to categories by which mortality rates are reported, such as age, sex, country and year. Regression models for such data typically assume…
We discuss the role of integrated chance constraints (ICC) as quantitative risk constraints in asset and liability management (ALM) for pension funds. We define two types of ICC: the one period integrated chance constraint (OICC) and the…
In this paper, we adopted a net liability model which assesses both market risk on the liability side and revenue risk on the asset side for a Guaranteed Minimum Maturity Benefit (GMMB) embedded in variable annuity (VA) contracts. Numeric…
We extend the lifecycle model (LCM) of consumption over a random horizon (a.k.a. the Yaari model) to a world in which (i.) the force of mortality obeys a diffusion process as opposed to being deterministic, and (ii.) a consumer can adapt…
We present a design and financial analysis of a health insurance based on an SIH-type epidemic model. Specifically, we first construct the model in a continuous form, study its dynamical properties, and formulate the financial quantities…
The basic principle of any version of insurance is the paradigm that exchanging risk by sharing it in a pool is beneficial for the participants. In case of independent risks with a finite mean this is the case for risk averse decision…
We consider computation of market values of bonus payments in multi-state with-profit life insurance. The bonus scheme consists of additional benefits bought according to a dividend strategy that depends on the past realization of financial…
The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The…
A clinician desires to use a risk-stratification method that achieves confident risk-stratification - the risk estimates of the different patients reflect the true risks with a high probability. This allows him/her to use these risks to…