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Questions tagged [insurance]

The tag has no usage guidance.

2
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1answer
73 views

References for Monte Carlo in insurance

As the title suggests, I'm looking for reference works on Monte Carlo methods in insurance. Wikipedia tells me that the terminus technicus here is dynamic financial analysis. I'm about to start a ...
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0answers
45 views

Synthetic Long Call in practice

I have researched Synthetic Long Calls on various texts, including John C.Hull and I also read some papers on Portfolio Insurance by Abken,Israelov and Nielsen, Aliprantis, Bertrand and Prigent, Lee, ...
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34 views

Cramer-Lundberg: Adjustment coefficient does not exist

The question is about Ruin theory and the Cramer-Lundberg model. I am wondering if there is an example of distribution where the MGF is finite, but the adjustment coefficient does not exist. Can you ...
0
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1answer
47 views

What does “follow forwards” mean?

In the context of "if equity returns follow forward", what exactly does "follow forwards" mean? Thank you!
4
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1answer
113 views

Books/papers on Insurance Derivatives?

I am looking to learn more about insurance-linked securities. I work for an insurance company and am interested in catastrophe risks and cat bonds. I have a good statistical background and master-...
1
vote
1answer
226 views

Definitions of excess of loss reinsurance and stop-loss reinsurance

I saw different definitions of these reinsurance treaties. What's the exact definition of an excess of loss reinsurance and stop-loss reinsurance? In Chi's paper, see https://www.researchgate.net/...
1
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1answer
86 views

Lee Carter Model - Mortality

Helllo Althoug not technically a QF question, I was wondering whether someone can help my anyways. The Lee Carter model is a stochastic mortality model. Usually, one models the central death rates ...
1
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1answer
162 views

Extending risk neutral measure to insurance/mortality filtration

In insurance mathematics, one often models the underlying of an insurance policy with a Black Scholes model on a filtered probability space $(\Omega,\mathbb{Q},\mathcal{F},\mathbb{F}=(\mathcal{F}_{t}))...
2
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1answer
330 views

Are Insurance and Risk premium totally different?

I've been studying various aspects of utility function and I came across the definition of risk premium and insurance, which are mathematically very different from each other. In the book "Theory of ...
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0answers
28 views

Best strategy for generating floats with minimum amount of risk

I'm looking for a way to get cash-in-hand in exchange for future obligation. For example, I can sell deep-in-the-money puts and buy out-of-the-money puts (for hedge) with expiration of 2 years, The ...
1
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1answer
120 views

Standard Formula for Solvency II

I am qualified in Mathematics and Physics but would like to have a career in Finance. I will be starting an M.Sc. In Financial Mathematics next October but am already reading about certain topics to ...
3
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1answer
91 views

Longevity risk modelling

What is Longevity risk, and how to model it under DC and DB pension plans? characters|characters|characters|characters|characters|
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0answers
58 views

Life annuity and the use of Gompertz-Makeham

The question goes as follows: Consider a life annuity contract that pays the holder a yearly fixed amount from a certain time until the death of the holder of the contract. (a) Suppose the ...
4
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1answer
1k views

Option based portfolio insurance in practice

My question is about option based portfolio insurance in practice. Some insurance companies offer products where there is a mutual fund (equity and bonds) and a guarantee attached. This guarantee is ...
3
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2answers
2k views

How do insurance companies use interest-rate swaps?

I have heard that insurance companies make use of swaps and am just trying to get some clarity on that: An insurance company (assume life insurance) has a fixed obligation to pay in the distant ...
2
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0answers
131 views

Portfolio insurance with a coherent risk measure (CVaR)

I would like to analysis of portfolio insurance under a coherent risk-measure method (CVaR), How can I achieve that? Is there a way to turn the problem into a linear programming problem? or to ...
4
votes
1answer
771 views

Applying interest rate shocks under Solvency II

I'm trying to figure out how one would apply the stress scenarios defined under the interest rate risk sub module of Solvency II. I understand that all future cash flows of an interest rate sensitive ...
3
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1answer
266 views

Risk management insurance (Solvency II / MaRisk)

I have a few different questions on topics involving an doing risk management in life insurance. If someone could shed some light on these issues, I would be very thankful. a) How does an actuary do ...
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0answers
95 views

how to identify similar assets based only on a few price samples

Using quantitative finances techniques on limited information, how might one go about finding similar(highly correlated) assets whose public information is available? The only data offered on a list ...
11
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1answer
1k views

Models for measuring insurance risk exposure

I've recently begun working as a quant for a large bank, and one of my first tasks will be to improve the model determining the risk exposure of their insurance portfolio. The portfolio is fairly ...