Technical paper/Insurance
Crunching mortality and life insurance portfolios with extended CreditRisk+
Jonas Hirz, Uwe Schmock and Pavel Shevchenko present a summary of actuarial applications of the extended CreditRisk+ model
Expanding the benchmarked equity portfolio management paradigm
Hamza Bahaji, Stephanie Ridon and Emmanuel Bourdeix propose a tracking error driven allocation approach applicable to a broad equity universe
Swapping from headline to core inflation and commodity hedging
The case for targeting core rather than headline inflation for long-term hedgers
Optimal trading under proportional transaction costs
A universal law for optimally dealing with proportional transaction costs
The properties of expectiles explored
Expectiles’ risk contributions are essentially the same as those of expected shortfall
Portfolio construction and systematic trading with factor entropy pooling
Portfolio construction and systematic trading with factor entropy pooling
Options for collateral options
When collateral can be posted in multiple currencies, pricing even the simplest derivatives involves optionality, which is often tackled numerically. But by conditioning on a risk factor to make variables independent, this can be simplified. Alexandre…
Stochastic modelling of reinsurance credit risk
Stochastic modelling of reinsurance credit risk
Portfolio optimisation via replication
Filippo Della Casa and Michele Gaffo propose a new framework to run portfolio optimisation for life insurance business, by exporting the replicating portfolio technique from risk management to investment management. In particular, they develop a new risk…
Longevity risk under Solvency II
Longevity risk under Solvency II
Robust hedging of withdrawal guarantees
Robust hedging of withdrawal guarantees
Non-linear momentum strategies
Non-linear momentum strategies
Sponsor covenants in risk-based capital
Sponsor covenants in risk-based capital
Assessment of longevity risk under Solvency II
As the implementation of Solvency II looms, the calibration of the standard formula remains a controversial issue as the industry runs the fifth quantitative impact study. But the current design overshoots the one in 200 year confidence level.
Calculation of variable annuity market sensitivities using a pathwise methodology
Under traditional finite difference methods, the calculation of variable annuity sensitivities can involve multiple Monte Carlo simulations, leading to high computational cost. A pathwise approach reduces this dramatically, while providing an unbiased…
A stochastic model for pricing longevity-linked guarantees
Technical papers
Pricing and hedging of variable annuities
Technical papers
Model selection for loss reserves: The Growing Triangle technique
Technical papers
Mortality fluctuations modelling with a shared frailty approach
Technical papers
Improving annuity pricing with address data
Technical papers