Annuity choices for pensioners

The trend towards defined-contribution pension provision in the UK seems to be irreversible. Most private sector employers with defined-benefit schemes have either closed them to new entrants or wound them up. Virtually all new scheme established have been defined contribution, and the introduction of the government-mandated National Employment Savings Trust will increase the number of workers with defined-contribution benefits.

Updated: 22/09/2011
Comments:
Views: 4,355

What discount rate should be used to value a cash-flow linked to final salary?

Estimating the fair value of final salary pension liabilities has increased in importance because of the introduction of market-based accounting standards and the growing significance of pension liabilities in mergers and acquisitions.

Updated: 05/01/2015
Comments: 26
Views: 6,805

Time deductibles as screening devices: competitive markets

In this article, we analyse the strength of screening based on an alternative screening device, namely limitations to the period of coverage of the contract.

Updated: 05/10/2013
Comments:
Views: 584

Modelling the short-term dependence between two remaining lifetimes

Author(s):

Jaap Spreeuw

 et al.

Dependence between times of death of coupled lives is said to be of a short-term type if the probability of death of the bereaved life is highest in the first period (six months or a year, say) after death of the partner. A multiple state model is introduced, allowing for this type of dependence, which is applied to a life annuity portfolio.

Updated: 31/12/2014
Comments: 23
Views: 5,127

Modelling stochastic mortality for dependent lives

Author(s):

Jaap Spreeuw

 et al.

This paper is a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity approach.

Updated: 22/09/2011
Comments:
Views: 3,809

Stochastic processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics

We consider a new class of processes, called LG processes, defined as linear combinations ofindependent gamma processes. Their distributional and path-wise properties are explored by following their relation to polynomial and Dirichlet (B-) splines. In particular, it is shown that the density of an LG process can be expressed in terms of Dirichlet (B-) splines, introduced independently by Ignatov and Kaishev (1987, 1988, and 1989) and Karlin et al. (1986).

Updated: 22/09/2011
Comments:
Views: 4,866

Insurance solvency under parameter uncertainty

Financial institutions such as insurance companies or banks are regulated according to a Value-at-Risk principle. This means that they have to hold enough capital, such that their probability of becoming insolvent over a fixed time horizon (e.g. 1 year) is very low (e.g. at most 0.5%). Calculation of the required capital according to this principle stumbles on the quite fundamental difficulty of estimating the probability of very extreme scenarios based on limited data sets.

Updated: 23/11/2014
Comments: 4
Views: 8,969

Stochastic claims reserving in general insurance

Claims reserves are held by insurance companies so that they have sufficient funds to pay claims when they are submitted by policyholders. In general insurance, insurance policies usually last for a year; the policyholder pays an upfront premium and then expects any claims to be met - no matter when they are made. The problem for insurers is that there is often a delay before the claims are arrive, and then a further delay before they are paid.

Updated: 05/01/2015
Comments: 6
Views: 17,746

Insurance, systemic risk and the financial crisis

Author(s):

Faisal Baluch

 et al.

In this paper we assess the impact of the financial crisis on insurance markets and the role of the insurance industry in the crisis itself.

Updated: 01/01/2015
Comments: 40
Views: 9,315