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• 14:21 Popular

  Value adjustments and dynamic hedging of reinsurance counter...

  by DAV_DGVFM Added 1 month ago 0 78 Views

  General insurers frequently cede parts of their insurance risk to reinsurers in order to protect themselves from intolerably large losses in their insurance portfolio. This gives rise to a new type of risk, so-called reinsurance counterparty credit risk o

• 13:09 Popular

  Measuring Profitability from a Shareholder Perspective

  by DAV_DGVFM Added 1 month ago 0 87 Views

  This paper deals with the measurement of profitability of a life insurance company from the shareholders' perspective under a Solvency II framework. Profitability and solvency capital requirement of life insurance business are exposed to many levels of un

• 16:01 Popular

  Pricing of Cyber Insurance Contracts in a Network Model

  by DAV_DGVFM Added 1 month ago 0 56 Views

  We develop a novel approach for pricing cyber insurance contracts. The considered cyber threats, such as viruses and worms, diffuse in a structured data network. The spread of the cyber infection is modeled by an interacting Markov chain. Conditional on t

• 18:17 Popular

  Options on tontines: an innovative way of combining tontines...

  by DAV_DGVFM Added 1 month ago 0 39 Views

  Increases in the life expectancy, the low interest rate environment and the tightening solvency regulation have caused insurers and policyholders to search for new, attractive retirement products. In this context, tontines and pooled annuities have gained

• 18:36 Popular

  Dynamic Hybrid Products with Embedded Guarantee Structures

  by DAV_DGVFM Added 1 month ago 0 50 Views

  Dynamic hybrid products are pension products that consist of a dynamic combination of classical with profits participating life insurance contracts (or a bank account) and fund savings plans. To put such products in an optimal utility framework, we derive

• 17:22 Popular

  Valuation of variable annuities in a hybrid model driven by ...

  by actuview Added 1 month ago 0 28 Views

  Variable annuities are life insurance products which are particularly attractive in a low interest rate environment. They allow the policyholder to participate in the growth of the economy through the performance of a reference fund, guaranteeing at the s

• 17:18 Popular

  Fee structure and optimal investment mix in variable annuiti...

  by MHaas Added 1 month ago 0 24 Views

  We discuss a portfolio management problem of the rational policyholder of a variable annuity (VA) with maturity guarantee who aims to maximize the utility of her terminal wealth. We consider a VA contract which allows the policyholder to modify her invest

• 18:09 Popular

  Valuation of Power Blackout Insurance for the Australian Ene...

  by actuview Added 1 month ago 0 14 Views

  The eastern states of Australia are supplied with electricity from the National Electricity Market, which is a grid that stores electricity generated by a variety of means. Electrical power blackouts occur when there is a disruption to supply to the grid

• 17:00 Popular

  Sensitivity Analysis of Annuity Models: What's inside the bl...

  by actuview Added 1 month ago 0 49 Views

  Annuities constitute a fundamental branch in the life insurance business. To obtain the cost of annuities, Financial and demographic factors are the key inputs for the related mathematical quantitative models. In this work [1], we adopt and compare differ

• 32:20 Popular

  Facing our responsibilities toward future generations under ...

  by actuview Added 1 month ago 0 25 Views

  In this talk, I will discuss the economic approaches to evaluate the social cost of carbon, i.e., the present value of the flow of climate damages generated in the next few centuries by one more ton of CO2 emitted today. What discount rates should we use

• 20:11 Popular

  Fair valuation of insurance liability cash-flow streams in c...

  by actuview Added 1 month ago 1 26 Views

  We investigate fair (market-consistent and actuarial) valuation of insurance liability cash-flow streams in continuous time. We first consider one-period hedge-based valuations, where in the first step, an optimal dynamic hedge for the liability is set up

• 16:51 Popular

  A Stochastic Differential Game for Insurance Market with Com...

  by actuview Added 1 month ago 0 29 Views

  Insurance premium principle includes the expected loss plus a risk loading factor to cover the loss from adverse claim experience and generate a profit. This paper considers a stochastic differential game with multiple insurers who are competing to sell i

• 18:31 Popular

  An Integrated Approach to Measuring Asset and Liability Risk...

  by actuview Added 1 month ago 0 26 Views

  Risk measurement models for financial institutions typically focus on the net portfolio position and thus ignore distinctions between 1) assets and liabilities and 2) uncollateralized and collateralized liabilities. However, these distinctions are economi

• 18:07 Popular

  Prevention efforts, insurance demand and price incentives un...

  by actuview Added 1 month ago 0 18 Views

  This paper studies an equilibrium model between an insurance buyer and an insurance seller, where both parties' risk preferences are given by convex risk measures. The interaction is modeled through a Stackelberg type game, where the insurance seller play

• 36:09 Popular

  500 Years of Annuity Mispricing

  by actuview Added 1 month ago 1 91 Views

  Prima facie, valuing a longevity-contingent claim that provides guaranteed income-for-life should be a relatively straight forward operation. One selects a mortality basis with a proper discount curve and the remainder is left to expectations. And yet, hi

• 16:27 Popular

  Optimal Allocation to Deferred Income Annuities

  by actuview Added 1 month ago 0 16 Views

  In our recently submitted paper we employ a lifecycle model that uses utility of consumption and bequest to determine an optimal Deferred Income Annuity (DIA) purchase policy. We lay out a mathematical framework to formalize the optimization process. The

• 15:33 Popular

  Robust reinsurance-investment game between two mean-variance...

  by actuview Added 1 month ago 0 22 Views

  In this paper, we investigate a class of robust non-zero-sum reinsurance-investment stochastic differential games between two competing insurers under the time-consistent mean-variance criterion. We allow each insurer to purchase a proportional reinsuranc

• 20:09 Popular

  Monte Carlo valuation of the initiation option in a GLWB var...

  by actuview Added 1 month ago 0 22 Views

  We focus on the initiation option featured in many Guaranteed Lifelong Withdrawal Benefit variable annuity contracts, granting their owner the right to decide the age at which lifetime withdrawals should begin. Such contracts have been successfully analys

• 18:03 Popular

  Least squares Monte Carlo methods for numerical evaluation o...

  by actuview Added 1 month ago 0 26 Views

  In a previous article published in Insurance: Mathematics and Economics [2], we explored a multiperiod cost-of-capital valuation of a liability cashflow subject to repeated capital requirements. The resulting liability value is given by a backward recursi

• 14:36 Popular

  Tontines, and the law of large numbers

  by actuview Added 1 month ago 0 27 Views

  Combining the best of drawdown and annuity, the investment returns and the longevity credits, tontines offer a great alternative to current pension products. Tontines are well-understood under the assumption of constant market returns and a perfect pool.

• 15:38 Popular

  Non-exponential Discounting Portfolio Management and insuran...

  by actuview Added 1 month ago 0 50 Views

  This paper studies the portfolio management problem for an individual with a non-exponential discount function and habit formation in finite time. The individual receives a deterministic income, invests in risky assets, and consumes and buys insurance con

• 17:31 Popular

  Valuation of insurance liability cash flows from an agency p...

  by actuview Added 1 month ago 0 27 Views

  This paper sets out a market-consistent valuation methodology for insurance liabilities with nonreplicable cash flows. An explicit allowance for risks associated with such cash flows is common in modern accounting standards, as well as statutory solvency

• 28:26 Popular

  The Fundamental Theorem of Quantitative Risk Management

  by actuview Added 1 month ago 0 160 Views

• 14:44 Popular

  The limitations of law-invariant insurance pricing

  by actuview Added 1 month ago 0 12 Views

  We show that a law-invariant pricing functional defined on a general Orlicz space is typically incompatible with frictionless risky assets in the sense that one and only one of the following two alternatives hold: either every risky payoff has a strictly-

• 20:40 Popular

  Phase-Type Models in Life Insurance: Fitting and Valuation o...

  by actuview Added 1 month ago 0 28 Views

  Phase-type (PH) distributions are defined as distributions of lifetimes of finite continuous-time Markov processes. Their traditional applications are in queueing, insurance risk, and reliability, but more recently, also in finance and, though to a lesser

• 17:51 Popular

  Yield Curve Shapes of Vasicek Interest Rate Models, Measure ...

  by DAV_DGVFM Added 1 month ago 0 39 Views

  We consider the yield curves that one- and two-factor Vasicek interest rate models can produce. As a result, we show that the two-factor Vasicek model can explain significantly more effects that are observed at the market than its one-factor variant. Amon

• 11:12 Popular

  Dynamic Pricing and Revenue Optimization of Insurance

  by actuview Added 1 month ago 0 33 Views

  We study the application of dynamic pricing in insurance from the perspective of an insurance company. We consider the problem of online revenue management for an insurance company that wishes to sell a new product. We do not consider effects of competiti

• 17:17 Popular

  Robustification of Monte-Carlo Simulations

  by actuview Added 1 month ago 0 23 Views

  One important point discussed between practitioners in insurance business is how many Monte-Carlo simulations are necessary to estimate the required Solvency Capital. A widespread opinion is that the larger the size of the Monte-Carlo sample is, the more

• 15:41 Popular

  Almost Sure Convergence for Nested Simulations

  by actuview Added 1 month ago 0 25 Views

  The Solvency II framework provides a standard formula for the calculation of the risk capital (SCR = Solvency Capital Requirement) in one year, but also gives life insurance companies the freedom to develop an own internal model. By using such an internal

• 19:42 Popular

  Testing the least squares Monte Carlo method for the evaluat...

  by actuview Added 1 month ago 0 16 Views

  In Europe, the Solvency 2 directive prescribes that insurers must hold eligible own funds at least equal to their Solvency Capital Requirements (SCR) defined as the value at risk (VaR) of the basic own funds with a confidence level of 99:5% over a time ho

• 36:16 Popular

  The stochastic programming approach to asset-liability model...

  by actuview Added 1 month ago 0 49 Views

  The stochastic programming scenario optimization using multi-period stochastic linear programming is a very good approach to asset and asset-liability management. This talk discusses the authors experiences in building and implementing large scale ALM mod

• 16:42 Popular

  Machine Learning Techniques in Nested Stochastic Simulation ...

  by actuview Added 1 month ago 0 61 Views

  Solvency II, the harmonized European Directive for insurance and reinsurance companies [4], introduces new fundamental measures, such as the Probability Distribution Forecast (PDF) and the Solvency Capital Requirement (SCR), whose estimation involves a ma

• 40:33 Popular

  Vine copulas in finance and insurance

  by actuview Added 1 month ago 0 76 Views

  Vine copulas have proven to be flexible dependence models, which are able to model tail dependence pattern as they occur in financial and insurance data. The models power is driven by the ability to construct a d-dimensional dependence model from a collec

• 18:21 Popular

  Risk management of climate impact for tourism operators: An ...

  by actuview Added 1 month ago 0 40 Views

  The aim of this paper is to analyze the performance of hedging strategies based on snow and temperature options developed by ski operators to protect their profitability under adverse changes in climatic conditions. The setup is based on a joint non-param

• 19:57 Popular

  Two-step financial and actuarial valuations: Axiomatic chara...

  by actuview Added 1 month ago 1 41 Views

  Insurance liabilities are in most cases a combination of financial and actuarial risks. Determining the valuation of such payoffs requires combining standard actuarial valuations based on historical data with the financial information provided by market p

• 26:04 Popular

  Behavioural Economics

  by RGA Added 1 month ago 3 201 Views

  Behavioral science helps insurers create products, policies and communications based on how people really do think and behave rather than how we think they should think and behave. In this webcast, Matt Battersby explains the key principles of behavioral

• 01:13 Popular

  Joint Section Colloquium - Paris 2020

  by actuview Added 1 month ago 0 129 Views

  May 10-14, 2020PARIS, FRANCEIndividual Choices Facing Societal ChangesCan actuarial science bridge the gap between individual and collective choices? More information will shortly be available here: https://www.actuaries.org/iaa/IAA/Events/Section_Colloqu

• 00:30 Popular

  ECA 2019 presentations now online

  by AAE Added 2 months ago 0 1,772 Views

  All videos can be found here.

• 22:51 Popular

  Mitigating the global pension crisis: A compilation of actua...

  by AAE Added 2 months ago 0 123 Views

  Demographic changes and financial burdens have stressed public and private pension systems. Different reforms have been implemented around the world. These reforms may include or combine standard levers such as deferring retirement age, increasing contrib

• 27:42 Popular

  Measuring adequacy and facing longevity risk in social secur...

  by AAE Added 2 months ago 1 103 Views

  Labour markets are undergoing major transformations mostly due to ageing population. Actuaries can play a fundamental role to ensure that social security systems continue to meet their objectives of adequacy of benefits and financing constraints. Adequacy

• 18:04 Popular

  Italian disabled workers' survival: The variables that affec...

  by AAE Added 2 months ago 0 89 Views

  Over the last years, labour markets are quickly changing due to ageing population, technological innovations and arising of new professions. In this evolving context, how can we manage “longevity risk”? Is survival always i

• 20:21 Popular

  What do the Actuaries of the Future Think Actuaries Could Be...

  by AAE Added 2 months ago 0 104 Views

  The research used actuarial techniques and historical commodity price data to synthetically create new historical investment return data going back 200-750 years - mostly based on data from the US, England and the EU. The research produced a surprising re

• 23:31 Popular

  What are the knowledge and skill requirements for actuaries?

  by AAE Added 2 months ago 0 98 Views

  What are the knowledge and skill requirements for actuaries? What are functions and professional roles that are requested due to recent developments like digital transformation? These questions are examined by analyzing job advertisements in Germany, Aust

• 20:08 Popular

  Guarantees in Germany: Where are we and does it make sense?

  by AAE Added 2 months ago 0 128 Views

  The german life insurance market was for a long time dominated by endowment and annuity products with profit participation. For the classical business interest rates, mortality/morbidity assumptions as well as expence loadings are guaranteed. Guarantees o

• 23:17 Popular

  Predicting disability pensions with machine learning classif...

  by AAE Added 2 months ago 0 80 Views

  During the spring of 2018, the Finnish Centre for Pensions made a small-scale proof-of-concept (poc) machine learning test to classify imminent disability pensions among the working age population of Finland. We made the classification to predict disabili

• 43:04 Popular

  Insights to IFRS 17 Insurance Contracts

  by AAE Added 2 months ago 1 359 Views

• 23:58 Popular

  Non life pricing procedure on encrypted and anonymous data

  by AAE Added 2 months ago 1 81 Views

  The recent increase in the amount of data generated, stored and analyzed by insurers to establish their pricing and underwriting policies has led to the emergence of new needs. Both from a regulatory point of view, with the recent implementation in the Eu

• 26:17 Popular

  Elements of narrow artificial intelligence in reserving

  by AAE Added 2 months ago 1 127 Views

  Reserving is one of the core businesses of the actuarial profession. For insurance companies, it represents major strategic and economic challenges and its practice is subject to ever more advanced developments. Standard claims reserves valuation techniqu

• 25:33 Popular

  IFRS 17 and actuaries - Does that square?

  by AAE Added 2 months ago 0 146 Views

  The new standard on IFRS 17 was introduced with a fanfare and with good intentions. A harmonized more transparent reporting for insurance companies which investors can understand. That sounds to good to be true. And it is. Living up to these expectations

• 20:56 Popular

  Strategy and Governance of AAE

  by AAE Added 2 months ago 0 65 Views

  The aim of the presentation is to update the congres participants with the last elements from the strategy of AAE. Strategic Objective 1: Enhance relations with European institutions : Establish and maintain relationships with key European institutions, s

• 24:34 Popular

  Teaching life insurance mathematics and technique: Does “t...

  by AAE Added 2 months ago 0 62 Views

  Traditional life insurance mathematics provides a plentiful toolkit for actuarial calculations. Nevertheless, significant weaknesses appear when relating classical approaches to current needs, which emerge from a continuously moving scenario. First, the e