scholarly journals On Valuation and Risk Management at the Interface of Insurance and Finance

2002 ◽  
Vol 8 (4) ◽  
pp. 787-827 ◽  
Author(s):  
T. Møller
Keyword(s):  
Financial Markets ◽  
Life Insurance ◽  
Financial Risk ◽  
Insurance Risk ◽  
Indifference Pricing ◽  
Insurance Contracts ◽  
The Past ◽  
Market Shares ◽  
Quadratic Hedging ◽  
Mean Variance

ABSTRACTThis paper reviews methods for hedging and valuation of insurance claims with an inherent financial risk, with special emphasis on quadratic hedging approaches and indifference pricing principles and their applications in insurance. It thus addresses aspects of the interplay between finance and insurance, an area which has gained considerable attention during the past years, in practice as well as in theory. Products combining insurance risk and financial risk have gained considerable market shares. Special attention is paid to unit-linked life insurance contracts, and it is demonstrated how these contracts can be valued and hedged by using traditional methods as well as more recent methods from incomplete financial markets such as risk-minimisation, mean-variance hedging, super-replication and indifference pricing with mean-variance utility functions.

scholarly journals COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE

2021 ◽  
pp. 1-41
Author(s):  
Jamaal Ahmad ◽  
Kristian Buchardt ◽  
Christian Furrer
Keyword(s):  
Life Insurance ◽  
Financial Risk ◽  
Insurance Risk ◽  
Numerical Example ◽  
Market Values ◽  
The Past ◽  
Bonus Payments ◽  
Insurance Business

Abstract 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 risk, the current individual insurance risk, the number of additional benefits currently held, and so-called portfolio-wide means describing the shape of the insurance business. We formulate numerical procedures that efficiently combine simulation of financial risk with classic methods for the outstanding insurance risk. Special attention is given to the case where the number of additional benefits bought only depends on the financial risk. Methods and results are illustrated via a numerical example.

scholarly journals EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS

2008 ◽  
Vol 11 (03) ◽  
pp. 295-323 ◽  
Author(s):  
ALEXANDER MELNIKOV ◽  
YULIYA ROMANYUK
Keyword(s):  
Life Insurance ◽  
Financial Risk ◽  
Risk Preference ◽  
Financial Assets ◽  
Insurance Risk ◽  
Risky Assets ◽  
Insurance Contracts ◽  
Maturity Date ◽  
Efficient Hedging ◽  
Probabilistic Result

The paper uses the efficient hedging methodology in order to optimally price and hedge equity-linked life insurance contracts whose payoff depends on the performance of several risky assets. In particular, we consider a policy which pays the maximum of the values of n risky assets at some maturity date T, provided that the policyholder survives to T. Such contracts incorporate financial risk, which stems from the uncertainty about future prices of the underlying financial assets, and insurance risk, which arises from the policyholder's mortality. We show how efficient hedging can be used to minimize expected losses from imperfect hedging under a particular risk preference of the hedger. We also prove a probabilistic result, which allows one to calculate analytic pricing formulas for equity-linked payoffs with n risky assets. To illustrate its use, explicit formulas are given for optimal prices and expected hedging losses for payoffs with two risky assets. Numerical examples highlighting the implications of efficient hedging for the management of financial and insurance risks of equity-linked life insurance policies are also provided.

scholarly journals The Reduction of Initial Reserves Using the Optimal Reinsurance Chains in Non-Life Insurance

Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1350
Author(s):  
Galina Horáková ◽  
František Slaninka ◽  
Zsolt Simonka
Keyword(s):  
Life Insurance ◽  
Continuous Time ◽  
Ruin Probability ◽  
Proportional Reinsurance ◽  
Insurance Risk ◽  
Optimal Reinsurance ◽  
Insurance Contracts ◽  
Time Period ◽  
Different Types ◽  
Capital Injections

The aim of the paper is to propose, and give an example of, a strategy for managing insurance risk in continuous time to protect a portfolio of non-life insurance contracts against unwelcome surplus fluctuations. The strategy combines the characteristics of the ruin probability and the values VaR and CVaR. It also proposes an approach for reducing the required initial reserves by means of capital injections when the surplus is tending towards negative values, which, if used, would protect a portfolio of insurance contracts against unwelcome fluctuations of that surplus. The proposed approach enables the insurer to analyse the surplus by developing a number of scenarios for the progress of the surplus for a given reinsurance protection over a particular time period. It allows one to observe the differences in the reduction of risk obtained with different types of reinsurance chains. In addition, one can compare the differences with the results obtained, using optimally chosen parameters for each type of proportional reinsurance making up the reinsurance chain.

Unit-Linked Life Insurance Contracts with Lapse Rates Dependent on Economic Factors

2006 ◽  
Vol 1 (1) ◽  
pp. 49-78 ◽  
Author(s):  
A. W. Kolkiewicz ◽  
K. S. Tan
Keyword(s):  
Financial Markets ◽  
Life Insurance ◽  
Point Processes ◽  
Marked Point ◽  
Marked Point Processes ◽  
Economic Factors ◽  
Insurance Contracts ◽  
Insurance Policies ◽  
Strong Relation ◽  
Lapse Rates

ABSTRACTMany recently introduced unit-linked life insurance policies contain provisions allowing policyholders to lapse the product. The problem of pricing this surrender option is difficult as it involves modelling lapse decisions which may be contingent on different factors. This paper develops a methodology which enables us to model lapse behaviour within a framework provided by developments in financial economics. Using marked point processes with stochastic intensities, we present an approach which accounts for changes in the lapse behaviour of policyholders due to different economic factors. As a result, the model produces more accurate financial values for insurance contracts contingent on financial markets. In the context of unit-linked policies, we illustrate the method by allowing the lapse decision to depend on the stochastic volatility of the underlying asset. Our simulation study indicates that there is a strong relation between the single premiums of these policies and the lapse behaviour.

scholarly journals Developing the Underwriting Process in Life Insurance

2020 ◽  
Vol 5 (6) ◽  
Author(s):  
Yuldashev Obiddin Toshmurzaevich
Keyword(s):  
Organizational Development ◽  
Life Insurance ◽  
Financial Management ◽  
Economic Feasibility ◽  
Insurance Risk ◽  
Budget Management ◽  
Insurance Contracts ◽  
Life Insurer ◽  
Economic Nature

Underwriting is the main factor affecting the reliability, stability of the organizational development of the life insurer and determining the quality of financial management, strategic planning, budget management of the life insurer, the economic feasibility of the life insurance process, the adequacy of the life insurer's operational management system. Underwriting is the main business process in insurance organizations and provides for the assessment and management of insurance risk accepted for insurance. This study focuses on the economic nature of underwriting, the approaches of scientists to it, the specifics of life insurance underwriting, types of life insurance underwriting and the process of their implementation, as well as directions and stages of underwriting in life insurance. The article also substantiates that digitalization of the underwriting process in life insurance is an important factor in its development. In concluding life insurance contracts, regardless of the type of insurance product, according to the author, underwriting should be carried out gradually in several directions.

scholarly journals Mathematical Risk Modeling: an Application in Three Cases of Insurance Contracts

2019 ◽  
Vol 8 (6) ◽  
pp. 01-10
Author(s):  
Ramzi Drissi ◽  
Keyword(s):  
Life Insurance ◽  
Financial Risk ◽  
General Definition ◽  
Risk Modeling ◽  
Insurance Contracts ◽  
Lack Of Information ◽  
Different Types ◽  
Definition Of ◽  
Risk Determinants ◽  
Risk Insurance

Risk is often defined as the degree of uncertainty regarding the future. This general definition of risk can be extended to define different types of risks according to the source of the underlying uncertainty. In this context, the objective of this paper is to mathematically model risks in insurance. The choice of methods and techniques that allow the construction of the model significantly influence the responses obtained. We approach these different issues by modeling risks in three base cases: basic insurance of goods, life insurance, and financial risk insurance. Our findings show that risk modeling allowed us to better measure certain events, but did not allow us to predict them accurately due to a lack of information. Therefore, good modeling of the risk determinants makes it possible to modify the probability associated with the occurrence of a risk. While it cannot predict exactly when a risk will occur, it can help make decisions that will reduce its effects. Keywords: Basic insurance, Life insurance, Mathematical models, Financial risk, Biometric function.

scholarly journals CONDITION OF LIFE INSURANCE MARKET IN RUSSIA

2019 ◽  
pp. 8-10
Author(s):  
B.I. Bukin ◽  
E.V. Zakharova
Keyword(s):  
Life Insurance ◽  
Insurance Market ◽  
Development Trends ◽  
Consumer Interest ◽  
Insurance Premiums ◽  
Insurance Contracts ◽  
The Past ◽  
Current State

The article emphasizes the problem of the qualitative development of the life insurance market and the ambiguity of the development trends of this segment of the insurance market. The authors noted a rapid increase in life insurance premiums over the past years. The article also presents the reasons for consumer interest in life insurance investment and some factors that can weaken this interest. One of these factors may be tightening measures by the Bank of Russia to the procedures for selling this instrument. The purpose of the article is to review the current state of the life insurance market in Russia and its assessment using indicators of insurance premiums and payments under life insurance contracts, the structure of life insurance premiums, the number of life insurance contracts entered into.

BP Global Energy Outlook 2030

2013 ◽  
pp. 109-128 ◽  
Author(s):  
C. Rühl
Keyword(s):  
Emerging Economies ◽  
Energy Demand ◽  
Fossil Fuels ◽  
Net Energy ◽  
Global Energy ◽  
The Past ◽  
Market Shares ◽  
The Us ◽  
Almost All ◽  
Oil Gas

This paper presents the highlights of the third annual edition of the BP Energy Outlook, which sets out BP’s view of the most likely developments in global energy markets to 2030, based on up-to-date analysis and taking into account developments of the past year. The Outlook’s overall expectation for growth in global energy demand is to be 36% higher in 2030 than in 2011 and almost all the growth coming from emerging economies. It also reflects shifting expectations of the pattern of supply, with unconventional sources — shale gas and tight oil together with heavy oil and biofuels — playing an increasingly important role and, in particular, transforming the energy balance of the US. While the fuel mix is evolving, fossil fuels will continue to be dominant. Oil, gas and coal are expected to converge on market shares of around 26—28% each by 2030, and non-fossil fuels — nuclear, hydro and renewables — on a share of around 6—7% each. By 2030, increasing production and moderating demand will result in the US being 99% self-sufficient in net energy. Meanwhile, with continuing steep economic growth, major emerging economies such as China and India will become increasingly reliant on energy imports. These shifts will have major impacts on trade balances.

Sign in / Sign up

Export Citation Format

Share Document