2017 March - 20 articles
We consider the financial planning problem of a retiree wishing to enter a retirement village at a future uncertain date. The date of entry is determined by the retiree’s utility and bequest maximisation problem within the context of uncertain future...
Designing post retirement benefits requires access to appropriate investment instruments to manage the interest rate and longevity risks. Post retirement benefits are increasingly taken as a form of income benefit, either as a pension or an annuity....
Previous research has shown that risk preferences are sensitive to the financial domain in which they are framed. In the present paper, we explore whether the effect of negative priming on risk taking is moderated by financial context. A total of 120...
We explore the extent to which claim incidence in Disability Income Insurance (DII) is affected by changes in the unemployment rate in Australia. Using data from 1986 to 2001, we fit a hurdle model to explore the presence and magnitude of the effect...
Coherent models were developed recently to forecast the mortality of two or more sub-populations simultaneously and to ensure long-term non-divergent mortality forecasts of sub-populations. This paper evaluates the forecast accuracy of two recently-p...
In the first part of the paper, the positive and negative jumps of NASDAQ daily (log-) returns and three of its stocks are estimated based on the methodology presented by Theodosiadou et al. 2016, where jumps are assumed to be hidden random variables...
This paper considered a dependent discrete-time risk model, in which the insurance risks are represented by a sequence of independent and identically distributed real-valued random variables with a common Gamma-like tailed distribution; the financial...
The replicating portfolio approach is a well-established approach carried out by many life insurance companies within their Solvency II framework for the computation of risk capital. In this note,weelaborateononespecificformulationofareplicatingportfo...
I show that risk-sharing pension plans can reduce some of the shortcomings of defined benefit and defined contributions plans. The risk-sharing pension plan presented aims to improve the stability of benefits paid to generations of members, while all...
Well-behaved densities are typically log-convex with heavy tails and log-concave with light ones. We discuss a benchmark for distinguishing between the two cases, based on the observation that large values of a sum
Optimal forms of reinsurance policies have been studied for a long time in the actuarial literature. Most existing results are from the insurer’s point of view, aiming at maximizing the expected utility or minimizing the risk of the insurer. However,...
Using a Poisson approach, we find Laplace transforms of joint occupation times over n disjoint intervals for spectrally negative Lévy processes. They generalize previous results for dimension two.
This article considers an economy where risk is insurable, but selection determines the pool of individuals who take it up. First, we demonstrate that the comparative statics of these economies do not necessarily depend on its marginal selection (adv...
Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, th...
We consider an insurer who faces an external jump-diffusion risk that is negatively correlated with the capital returns in a multidimensional regime switching model. The insurer selects investment and liability ratio policies continuously to maximize...
The regulation on the Belgian occupational pension schemes has been recently changed. The new law allows for employers to choose between two different types of guarantees to offer to their affiliates. In this paper, we address the question arising na...
The editors of Risks would like to express their sincere gratitude to the following reviewers for assessing manuscripts in 2016. [...]
We compare two types of reinsurance: excess of loss (EOL) and largest claim reinsurance (LCR), each of which transfers the payment of part, or all, of one or more large claims from the primary insurance company (the cedant) to a reinsurer. The primar...
We consider the well-known stochastic reserve estimation methods on the basis of generalized linear models, such as the (over-dispersed) Poisson model, the gamma model and the log-normal model. For the likely variability of the claims reserve, bootst...
In this paper, we approximate the aggregate claims process by using the translated gamma process under the classical risk model assumptions, and we investigate the ultimate ruin probability. We consider optimal reinsurance under the minimum ultimate...
