# Questions tagged [insurance]

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### Example of a simple transparent indexed annuity?

I am working on a University project where I need to provide a 2-page overview of An indexed annuity, which uses zero coupon bonds and options; the underlying of the options are a broad market index. ...
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1 vote
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### How to calculate CAT-Bond Profit

I understand that a CAT Bond is supposed to be a high risk and high return for the investor and a risk transfer for insurer. But as the sponsor (the issuer of the bond), how can one calculate the ...
58 views

### Cohort-based model vs. population-based model for mortality

A cohort-based model groups individuals with at least one common characteristic over a period of time through a state-transition process. A population-based model reflects as much information as ...
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### How to compute the mean for utility function? [closed]

Let $u(x)=x^{2/3}$, $x>0$ be the utility function, $X \sim U(0, 100)$ is loss, wealth $w=\\\$150$. Calculate$\mathbb{E}(u(w_r))$if a coinsurance is$80\%$and gross premium is$\\\$43$. My ...
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### Global Country Index for Insurance

I am trying to create a global country index for insurance. So this would be insurance by country. Anybody who is an expert in econometrics can give me some guidance on how to do this? How would I go ...
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### Ruin theory with infinite-mean Pareto-distributed claims: how to characterize the ruin time and the reserve prior to ruin

Consider the Cramér–Lundberg model $$\hspace{8em}R(t)=u+c\,t-\sum_{j=1}^{N(t)}V_{j}\,,\hspace{8em}(1)$$ where $c$ and $u$ are positive constants, $N(t)$ is a Poisson process with a rate $\lambda$ (in ...
1 vote
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### Valuation of the minimum guaranteed return that (some) pension funds provide - how would you do it?

Let's say a pension fund guarantees an annual return of at least 5% to their customers/investors, such that the investors face a payoff like the one of a call option (no downside). For this guarantee ...
1 vote
28 views

### Is there any relationship between General Electric's after-tax charge and their reserve deficit?

I posted a question last year trying to understand what a "Charge" is: What exactly does after tax "charge" mean? But I came back to this GE story and realized I still don't quite ...
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### Why might a bulk annuity provider hedge their exposure to risks such as inflation, interest rates, and exchange rates on a weekly basis?

I was recently speaking to someone who works at a UK life insurer which offers defined benefit pension scheme buy-outs. He mentioned that the company employs traders (of bonds and swaps, mostly) and ...
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### Why do (life) insurance companies face equity risk?

I am currently reading through a study published by the Institute and Faculty of Actuaries on hedging practices within the insurance industry. Within the executive summary, under 'Key Risks', it is ...
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### Risk-neutral pricing the "un"guaranteed benefits of an insurance policy

I'd love to know if the model of Black-Scholes-Merton could be used to anything that replicates the payoff of a call or option, for example: An insurance contract with participation ( meaning that ...
145 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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### 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 ...
233 views

### What does "follow forwards" mean?

In the context of "if equity returns follow forward", what exactly does "follow forwards" mean? Thank you!
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### 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
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### 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/...
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### 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 ...
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### 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}))...
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### 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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### 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 ...
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### 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 ...
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### 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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### 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 ...
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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 ...
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### 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 ...
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### 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 ...
1k 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 ...
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### 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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### 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 ...
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