On the (in-)dependence between financial and actuarial risks

DOI10.1016/j.insmatheco.2013.03.003zbMath1284.91226OpenAlexW3122247977MaRDI QIDQ2443231

Elisa Luciano, Jan Dhaene, Ben Stassen, Wim Schoutens, Alexander G. Kukush

Publication date: 4 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.003

zbMATH Keywords

independencefinancial risksactuarial risksinsurance securitizationreal-world probability measurerisk-neutral probability measure

Mathematics Subject Classification ID

Related Items (20)

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ Model-independent price bounds for catastrophic mortality bonds ⋮ Fourier based methods for the management of complex life insurance products ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach ⋮ Pricing pension buy-outs under stochastic interest and mortality rates ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Optimal consumption, investment, and insurance under state-dependent risk aversion ⋮ The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices ⋮ The minimal entropy martingale measure in a market of traded financial and actuarial risks ⋮ Comonotonic asset prices in arbitrage-free markets ⋮ Optimal hedging strategies in equity-linked products ⋮ Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk ⋮ A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach ⋮ Annuity contract valuation under dependent risks ⋮ Some extensions of optimal stopping with financial applications ⋮ Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method ⋮ Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing ⋮ Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies ⋮ Assessing the solvency of insurance portfolios via a continuous-time cohort model

Cites Work

• Valuation of contingent claims with mortality and interest rate risks
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• The mathematics of arbitrage
• The multivariate Black & Scholes market: conditions for completeness and no-arbitrage
• Unnamed Item

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