Longevity risk, cost of capital and hedging for life insurers under Solvency II

DOI10.1016/J.INSMATHECO.2014.01.010zbMath1296.91167OpenAlexW3124931715MaRDI QIDQ743154

Michael Sherris, Ramona Meyricke

Publication date: 22 September 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.010

zbMATH Keywords

longevity riskreinsuranceSolvency IIsolvencycapital managementsecuritisation

Mathematics Subject Classification ID

Mathematical geography and demography (91D20)

Related Items (5)

An option pricing approach for measuring solvency capital requirements in insurance industry ⋮ Product pricing and solvency capital requirements for long-term care insurance ⋮ An innovative design of flexible, bequest-enhanced life annuity with natural hedging ⋮ EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS ⋮ A combined analysis of hedge effectiveness and capital efficiency in longevity hedging

Cites Work

• Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
• Securitization, structuring and pricing of longevity risk
• An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
• Optimal hedging of demographic risk in life insurance
• Affine stochastic mortality
• On systematic mortality risk and risk-minimization with survivor swaps
• Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers

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