Longevity Risk, Financial Innovation and Basis Risk in Life Insurance and Pensions
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (31 December 2017) | Viewed by 393
Special Issue Editor
Special Issue Information
Dear Colleagues,
Recently, actuarial literature and practitioners are focusing on longevity risk, as well as traditional financial risk and their combined long-term impact on life insurance and pensions. Accurate mortality forecasts and appropriate financial hypothesis are indispensable in actuarial valuations and the model choice generates another significant risk source: the basis risk. The regulatory requirements solicit market consistent valuation and quantification for all risks, including longevity. Moreover, the need to hedge the impact of all risk factors requires the development of new financial markets and product innovations.
Moving from these considerations, this Special Issue aims to compile high quality papers that offer a discussion of the state-of-the-art or introduce new theoretical or practical developments in risk quantification and product design. We welcome papers related, but not limited to, the following topics:
- Quantification of longevity risk and stochastic mortality modelling
- Interaction between longevity and financial risk and impact on life insurance and pensions
- Modelling of basis risk
- Definition of Investment strategies of insurance companies and pension funds to face longevity and financial risk in the long term
- Description of Financial Markets to hedge longevity risk and Product Innovation
- Investigation of regulatory requirements for risk valuation in life insurance and pensions and solutions
- Design of risk sharing products.
Prof. Gabriella Piscopo
Guest Editor
Manuscript Submission Information
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