Stochastic Mortality, Macroeconomic Risks and Life Insurer Solvency
نویسندگان
چکیده
منابع مشابه
securitization of mortality risks in life annuities
insurers have in the past few decades faced longevity risks - the risk that annuitants survive more than expected - and therefore need a new approach to manage this new risk. in this dissertation we survey methods that hedge longevity risks. these methods use securitization to manage risk, so using modern financial and insurance pricing models, especially wang transform and actuarial concepts, ...
15 صفحه اولFiscal Solvency and Macroeconomic Uncertainty in Emerging Markets: The Tale of the Tormented Insurer
Governments in emerging markets often behave like a “tormented insurer,” who would like to smooth government outlays given the randomness of public revenues in an imperfect world where the only public debt instrument is a non-state-contingent bond denominated in units of tradable goods. How can a fiscal authority tell if the stock of public debt is consistent with fiscal solvency in this enviro...
متن کاملStochastic Life Contingencies with Solvency Considerations
The extension of the theory of life contingencies to a stochastic interest environment and its application to solvency valuation are discussed. Although life contingencies are widely used in traditional actuarial valuations of life insurance contracts, certain complications arise in a stochastic interest environment that are not evident when using traditional deterministic interest assumptions....
متن کاملSecuritization of Mortality Risks in Life Annuities
The purpose of this paper is to study mortality-based securities, such as mortality bonds and swaps, and to price the proposed mortality securities. We focus on individual annuity data, although some of the modeling techniques could be applied to other lines of annuity or life insurance. Date: March 30, 2004. A very early version was presented at a seminar at the University of Waterloo, Departm...
متن کاملDetecting Fuzzy Predictor Variables: The Case of Insurer Solvency Surveillance in Germany
1 Terry College of Business, University of Georgia, 206 Brooks Hall, Athens, GA 30602, Tel.: +1 706 542 5160, Fax: +1 706 542 4295, [email protected]. 2 Department of Mathematics, Western Illinois University, 1 University Circle, Macomb, IL 61455 , Tel. +1 309 298 2358, [email protected]. 3 Smeal College of Business, Penn State University, University Park, PA 16802, Tel.: +1 814 865 3961, Fax: +1 ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Geneva Papers on Risk and Insurance - Issues and Practice
سال: 2011
ISSN: 1018-5895,1468-0440
DOI: 10.1057/gpp.2011.14