Description: This paper addresses the stochastic modeling for managing asset liability process. We start with developing a jump-diffusion process for evaluating of the liabilities of the insurance company in general. We then formulate the ALM process into a stochastic control problem. With this approach, we present a Bel|man-Dreyfus Fundamental type formula for ALM process in terms of the solution of a system of algebraic equations and partial differential equations.

Description: This document contains the editorial policy for ARCH 2020.2.

Description: This paper's objectives are to reduce the variation of life expectancy due to changes in the closing out method and give more homogeneous old age mortality surface for the Algerian population. The paper will also provide readers with a general methodology to extend mortality to old ages for the Algerian population starting from adult mortality data.

Description: This presentation focuses on IBNR in life settlements.

Description: This presentation provides evidence that a decline in interest rates in the negative interest rate environment produces a much more serious consequence on life insurers than that in the positive interest rate environment.

Description: This presentation compares continuous-time multi-factor affine cohort mortality models and presents estimation results for an affine multi-factor, multi-cohort mortality model.

Description: This paper is about the use of the table as a vehicle of pedagogic delivery

Description: This abstract describes a paper that proposes a multi-population Global Vector Autoregression (GVAR) mortality model, in which the joint mortality dynamics of all populations are formulated in a large vector autoregression model with a set of contemporaneous global mortality factors.