Category: Actuarial science
Dependence uncertainty affects risk evaluation in joint life insurance
What the study found The study found that, for some standard joint life insurance contracts, risk evaluation based on a distortion risk measure is monotone with respect to the concordance order of the underlying copula, which is a way to describe dependence between two lifetimes. The authors also report that bounds for the mean, Value-at-Risk,…
Analytic GMIB valuation was faster than Monte Carlo simulation
Framework for valuing guaranteed minimum income benefits in variable annuities using numéraire transformation; achieves 99% computational time reduction versus Monte Carlo simulation.
Expectiles can minimize basis risk in parametric insurance
Expectiles characterize basis risk-optimal payment schemes in parametric insurance contracts, minimizing asymmetric loss functions while retaining operational efficiency.
Correlated regime-switching raises guaranteed annuity option prices
Learn how regime-switching models and correlated risks improve guaranteed annuity option valuation, providing insurers with accurate pricing and enhanced risk management frameworks.
