A review of the risk margin–Solvency II and beyond
AJ Pelkiewicz, SW Ahmed, P Fulcher… - British Actuarial …, 2020 - cambridge.org
For life insurers in the United Kingdom (UK), the risk margin is one of the most controversial
aspects of the Solvency II regime which came into force in 2016. The risk margin is the …
aspects of the Solvency II regime which came into force in 2016. The risk margin is the …
Asset-liability management for long-term insurance business
This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum
2017. That event gathered experts from academia, insurance industry, regulatory bodies …
2017. That event gathered experts from academia, insurance industry, regulatory bodies …
CAT bond pricing under a product probability measure with POT risk characterization
Frequent large losses from recent catastrophes have caused great concerns among
insurers/reinsurers, who then turn to seek mitigations of such catastrophe risks by issuing …
insurers/reinsurers, who then turn to seek mitigations of such catastrophe risks by issuing …
[HTML][HTML] Law-invariant functionals that collapse to the mean
We discuss when law-invariant convex functionals “collapse to the mean”. More precisely,
we show that, in a large class of spaces of random variables and under mild semicontinuity …
we show that, in a large class of spaces of random variables and under mild semicontinuity …
Fair valuation of insurance liability cash-flow streams in continuous time: Theory
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 …
streams in continuous time. We first consider one-period hedge-based valuations, where in …
Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market-and time-consistency
In this paper, we investigate the fair valuation of insurance liabilities in a dynamic multi-
period setting. We define a fair dynamic valuation as a valuation which is actuarial (mark-to …
period setting. We define a fair dynamic valuation as a valuation which is actuarial (mark-to …
Fair valuation of insurance liability cash-flow streams in continuous time: Applications
Delong et al.(2018) presented a theory of fair (market-consistent and actuarial) valuation of
insurance liability cash-flow streams in continuous time. In this paper, we investigate in …
insurance liability cash-flow streams in continuous time. In this paper, we investigate in …
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
ABSTRACT A general class of fair valuations which are both market-consistent (mark-to-
market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is …
market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is …
Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
This paper considers the pricing of equity-linked life insurance contracts with death and
survival benefits in a general model with multiple stochastic risk factors: interest rate, equity …
survival benefits in a general model with multiple stochastic risk factors: interest rate, equity …
Insurance valuation: A two-step generalised regression approach
Current approaches to fair valuation in insurance often follow a two-step approach,
combining quadratic hedging with application of a risk measure on the residual liability, to …
combining quadratic hedging with application of a risk measure on the residual liability, to …