Measuring Foreign Exchange Risk in Insurance Transactions

DOI10.1080/10920277.2000.10595905MaRDI QIDQ5718094zbMATH OpenOpenAlexFDO

Authors John I. Mange

Publication date 13 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2000.10595905

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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(4)

• Managing foreign exchange risk with buyer-supplier contracts
• Foreign-currency interest-rate swaps in asset-liability management for insurers
• Premium valuation in international insurance
• Foreign investments of Japanese life insurance companies

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