Accepted papers (31) click to download .RAR file 10.1 MB

Alexander Bohnert, Nadine Gatzert:Analyzing Surplus Appropriation Schemes in Participating Life Insurance from the Insurer’s and the Policyholder’s Perspective

Alexander Braun, Przemyslaw Rymaszewski, Hato Schmeiser:Stock vs Mutual Insurers:Who Does and Who Should Charge More

Alexander Kling, Frederik Ruez, Jochen Ruß:The Impact of Policyholder Behavior on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities

Andrew J.G. Cairns, Kevin Dowd, David Blake, and Guy D. Coughlan:Decomposing Hedge Effectiveness in Longevity Hedges

Craig Blackburn, Michael Sherris:Consistent Dynamic Affine Model for Mortality and Longevity Risk Applications

Elisa Luciano, Luca Regis, Elena Vigna:Delta and Gamma Hedging of Mortality and Interest Rate Risk

Frans Koning, Stefan Bekker:INVESTIGATION OF HEDGING STRATEGIES BETWEEN ASSURANCES AND ANNUITIES FOR THE PURPOSE OF MITIGATING LONGEVITY RISK

Frédéric Planchet, Aymric Kamega:Heterogeneity: measure integrating risk of estimate in the case of a modeling of the observable factors

Giuseppina Cannas, Giovanni Masala, Marco Micocci:A stochastic model for the sustainable investment policy in a defined benefit pension fund

Hato Schmeiser, Caroline Siegel, Joël Wagner:Model Uncertainty and its Impact on Solvency Measurement in Property-Liability Insurance

Hato Schmeiser, Joël Wagner:A Joint Valuation of Premium Payment and Surrender Options in Participating Life Insurance Contracts

Hato Schmeiser, Joël Wagner:The Impact of Introducing Insurance Guaranty Schemes on Pricing and Capital Structures

Iván Iturricastillo Plazaola, Joseba Iñaki De La Peña Esteban, Rafael Moreno Ruiz, Eduardo Trigo Martínez:A COMPLETE MODEL OF GENERAL DYNAMIC IMMUNIZATION

Jan-Philipp Schmidt:Market Consistent Valuation of Long Term Insurance Portfolios

Joseba Iñaki De La Peña Esteban, Eduardo Trigo Martínez, Rafael Moreno Ruiz, Iván Iturricastillo Plazaola:ADJUSTED FORWARD RATES WITHIN TWO THEORY OF INTEREST RATES

Martin Tarusenga:The mechanics of actuarial and risk management – role of actuarial and risk management in the financial services sector

Miwaka Yamashita:IFRS Convergence in Japan: The Past and Present Impact for the Values in the Stock Market and Forward Looking Thoughts

Nadine Gatzert, Hannah Wesker:Hedging Mortality Risk through Portfolio Composition: A Comprehensive Risk Analysis

Nadine Gatzert, Hannah Wesker:The Impact of Mortality Risk on a Life Insurer’s Risk Situation and Risk Management

Ricardo A. Tagliafichi:To hedge or not o hedge that is the problem

Robert J. Thomson:PRUDENCE REVISITED: THE USE OF EXPECTED-UTILITY THEORY FOR DECISION-MAKING BY THE TRUSTEES OF A RETIREMENT FUND

Stefan Graf:A Note on Life-cycle Funds

Stefan Graf, Alexander Kling, Jochen Russ:Financial Planning and Risk-Return Profiles

Susanna Levantesi, Massimiliano Menzietti, Tiziana Torri:Pricing S-forwards via the Risk Margin under Solvency II

Taryn L. Reddy, Robert J. Thomson:THE CAPM RECONSIDERED: TESTS IN REAL TERMS ON A SOUTH AFRICAN MARKET PORTFOLIO COMPRISING EQUITIES AND BONDS

Teemu Pennanen:Cash flow-based valuation of insurance liabilities

Thorsten Moenig:Policyholder Exercise Behavior for Variable Annuities including Guaranteed Minimum Withdrawal Benefits

Tim Boonen, Anja De Waegenaere, Henk Norde:Bargaining for Over-The-Counter Risk Redistributions: The Case of Longevity Risk

Torsten Kleinow, Andrew J. G. Cairns:A Stochastic Mortality Model based on Smoking prevalence

Werner Hürlimann:MARKET-CONSISTENT REPLICATION OF INSURANCE LIABILITIES IN A MULTIPLE RISK ECONOMY

Werner Hürlimann:ON THE ANALYTICAL EVALUATION OF THE INSURANCE MARKET RISK TARGET CAPITAL