Description: This abstract considers the pricing problem of Guarantee Minimum Death Benefits (GMDB) that credit the annuitants the investment return of equities while limiting the downside risk of equities by providing the minimum death benefits

Description: This is the abstract of a paper that complements the existing research on optimal reinsurance by proposing another model for the determination of the optimal reinsurance design.

Description: In many countries, insurers and banks are separately regulated. In some countries, banks and insurers are not allowed to be part of the same conglomerate and share capital. This raises questions about the efficient use of capital and return on equity to shareholders. This is the abstract of an empirical study that views economic capital from a solvency perspective with the focus on downside risk. The key question addressed is 'What efficiencies, if any, are gained by allowing banks and insurers of different types to merge and thus share capital.' We examine to what degree bank and insurer performances have been correlated historically, especially in the downside tail. This case study is based on Canadian banks, life insurers and property-casualty insurers.

Description: This abstract is for a paper that addresses the problem of optimal reinsurance design using the criterion of minimizing the Conditional Tail Expectation (CTE) risk measure of the insurer's total risk.

Description: This is the abstract for the research paper on a hierarchial model for micro-level stochastic loss.

Description: This is the abstract for the presentation on a multi-name structural credit risk model with a reduced-form default trigger.

Description: This is the abstract for the paper on optimal risk retention under reciprocal reinsurance with exponential utility functions.

Description: This is the abstract for the paper on the application of Esscher transform to the Regime Switching Model.

Description: This is the abstract for the paper on a household's life insurance demand - a multivariate two parts model.

Description: This abstract describes a paper that introduces spatio-temporal models and methods for analysis with specific emphasis on quantities of interest in actuarial science. Generalized additive mixed models are used for the analysis of geographic and temporal variability of mortality rates.