Longevity risk, cost of capital and hedging for life insurers under Solvency II

DOI10.1016/j.insmatheco.2014.01.010zbMath1296.91167MaRDI QIDQ743154

Michael Sherris, Ramona Meyricke

Publication date: 22 September 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.010

zbMATH Keywords

longevity risk; reinsurance; Solvency II; solvency; capital management; securitisation

Mathematics Subject Classification ID

91D20: Mathematical geography and demography

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Cites Work

• Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
• Securitization, structuring and pricing of longevity risk
• An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
• Optimal hedging of demographic risk in life insurance
• Affine stochastic mortality
• On systematic mortality risk and risk-minimization with survivor swaps
• Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers