Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multiperiod guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has is...

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance policies. This approach co...

Two non-exclusive hypotheses about what motivates remittances sent by Dominican migrants to their rural parents in the Sierra are tested: (a) an insurance contract taken by parents with their migrant children and (b) an investment by migrants in potential bequests. Results show that the relative importance of these two motives to remit is affected by destination (US vs. cities in the Dominican ...

Low levels of non-default decision-making among superannuation members in Australia are assumed to be evidence of a lack of interest and capability. Using member records and survey data from a large Australian superannuation fund, we test the relationship between attitudes towards retirement savings and observable levels of non-default activities (such as making voluntary contributions, choosin...

Consider the investment objectives, risks, charges and expenses carefully before investing. Please call 877 518-9161 or go to www.tiaa-cref.org/prospectus for a prospectus that contains this and other information. Read the prospectus carefully before investing. TIAA-CREF Individual & Institutional Services, LLC and Teachers Personal Investors Services, Inc., members FINRA, distribute securities...

The global insurance industry provides investment and supportive insurance services such as: motor/vehicle, fire, home, personal accident, product liability, public liability and professional indemnity. These services are very beneficial to private individuals and companies and critically depend on the actual factors and risks involved in the insurance policy. There are risks involved in taking...

C alls for deposit insurance reform regularly sound the refrain to make deposit insurance premiums more risk based.1 Those who support such a change believe that risk-based premiums will discourage insured banks from taking excessive risk because a bank facing higher premiums will think twice before undertaking a risky activity. This logic seems impeccable: Let banks face the true cost of risk ...

Insurance companies resort to investment and reinsurance, among other options, to manage their reseerves. This article addresses the problem of optimal investment and reinsurance when no short-selling and no borrowing allowed. More specifically, we assume that the risk process of the insurance company is a compound Poisson process perturbed by a standard Brownian motion and that the risk can be...

In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, representing the randomness from the financial market and the insurance claims, respectively. The random safety loading and stochastic interest rates are ...

The interdependent nature of security on the Internet causes a negative externality that results in under-investment in technologybased defences. Previous research suggests that, in such an environment, cyber-insurance may serve as an important tool not only to manage risks but also to improve the incentives for investment in security. This paper investigates how competitive cyber-insurers affe...