Insurance Risk/Technical paper
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 framework for extrapolation of long-term interest rates
Technical papers
Investigating parameter risk for Solvency II and ICAS
Technical papers
Robust asset allocation under model risk
Financial investors often develop a multitude of models to explain financial securities' dynamics, none of which they can fully trust. Model risk (also referred to as ambiguity) prevents investors from using the classical framework of expected utility…
A stochastic model for pricing longevity-linked guarantees
Technical papers
Vanilla option replication for ALM shortfall risk
Technical papers
Pricing and hedging of variable annuities
Technical papers
Model selection for loss reserves: The Growing Triangle technique
Technical papers
Solvency II Reinsurance - Counterparty default risk
Technical papers
Putting a dampener on Solvency II
Technical papers
Mortality fluctuations modelling with a shared frailty approach
Technical papers
Improving annuity pricing with address data
Technical papers
Valuation and risk analysis for Dutch pension schemes
Technical papers
On the cost of regulation under Solvency II
Technical papers
Realisable group diversification effects
Technical papers
Portfolio modelling of counterparty reinsurance default risk
Technical papers
Information derivatives
This paper considers the problem of creating derivatives to provide tailored exposure to volatility risk
Geometric mean variance
It is argued that a constrained mean variance framework is superior to Black-Litterman asset allocation, and can help an investor determine the mean excess return vector given their market views
Future mortality improvements in the ^G7 countries
Technical papers
The contractual trust arrangement
Technical papers
Assets relative risk for long-term investors
Technical papers
Guaranteed links to the life market
Technical papers
Taking stock of Pillar II
Technical papers