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Modelling and Managing Basis Risk Submitted by TheSecretariat on Wed, 29/07/2015 - 13:31 Overview and example of basis risk.   To read this paper, please contact the Society at info@actuaries.ie Risk Management Tools and Techniques Basis Risk Basis Risk …

Pricing Futures and Futures Options with Basis Risk Submitted by TheSecretariat on Wed, 29/07/2015 - 13:31 In this article, assuming the stochastic behavior of basis as a modified Brownian bridge process, we obtain closed-form solutions of futures and …

Mortality Risk and its Effect on Shortfall and Risk Management in Life Insurance Submitted by TheSecretariat on Wed, 29/07/2015 - 13:31 Mortality risk is a key risk factor for life insurance companies and can have a crucial impact on its risk situation. …

Survivor Bonds: Helping to Hedge Mortality Risk Submitted by TheSecretariat on Wed, 29/07/2015 - 13:31 One of the key problems facing annuity providers is mortality risk, the risk of underestimating mortality improvements. The authors argue that the …

Report of the Society of Actuaries Alternative Tools for Mortality Risk Management Survey Subcommittee Submitted by TheSecretariat on Wed, 29/07/2015 - 13:31 The attached report presents the results of a survey conducted by the Society of Actuaries …

Modelling and Management of Mortality Risk: A Review Submitted by TheSecretariat on Wed, 29/07/2015 - 13:31 In the first part of the paper, we consider the wide range of extrapolative stochastic mortality models that have been proposed over the last 15 to …

Securitization of Catastrophe Mortality Risks Submitted by TheSecretariat on Wed, 29/07/2015 - 13:31 Securitization with payments linked to explicit mortality events provides a new investment opportunity to investors and financial institutions. Moreover, …

Quantifying and managing extreme mortality risk of life insurers Submitted by TheSecretariat on Wed, 29/07/2015 - 13:31 Short paper considering the area of extreme mortality risk of a life insurance portfolio.   To read this paper, please contact the …

Mortality and Longevity: a Risk Management Perspective Submitted by TheSecretariat on Wed, 29/07/2015 - 13:31 Advantages provided by large portfolio sizes in respect of random fluctuations risk justify, to some extent, the traditional deterministic …

Using Life Settlements to Hedge the Mortality Risk of Life Submitted by TheSecretariat on Wed, 29/07/2015 - 13:31 Life settlements have attracted increasing attentions of investors and scholars. This paper extends the literature by conducting the first …

Modelling and Management of Longevity Risk Submitted by TheSecretariat on Wed, 29/07/2015 - 13:31 In this article we review the state of play in the use of stochastic models for the measurement and management of longevity risk. A focus of the discussion …

Mortality Risk Modeling:Applications to Insurance Securitization Submitted by TheSecretariat on Wed, 29/07/2015 - 13:31 This paper proposes a stochastic mortality model featuring both permanent longevity jump and temporary mortality jump processes. A …