The recent global financial crisis, combined with regulatory changes in financial industries,
has altered the financial landscape in terms of how financing can be achieved and the …

Low interest rates are becoming a threat to the stability of the life insurance industry,
especially in countries such as Germany, where products with relatively high guaranteed …

We model how monetary policy shocks affect the lending behavior of small and large banks.
Other things being equal, small banks are riskier than large banks since the latter are more …

We study a problem of non-concave utility maximization under a fair pricing constraint. The
framework finds many applications in, for example, the optimal design of managerial …

This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum
2017. That event gathered experts from academia, insurance industry, regulatory bodies …

This paper studies a value-at-risk (VaR)-regulated optimal portfolio problem of the equity
holders of a participating life insurance contract. In a setting with unhedgeable mortality risk …

In this work we present a stochastic asset liability management (ALM) model for a life
insurance company together with its numerical simulation, based in a Monte Carlo balance …

Participating life insurance contracts allow the policyholder to participate in the annual return
of a reference portfolio. Additionally, they are often equipped with an annual (cliquet-style) …

Dynamic hybrid life insurance products are intended to meet new consumer needs
regarding stability in terms of guarantees as well as sufficient upside potential. In contrast to …

Purpose–The concept of value at risk is used in the risk-based calculation of solvency
capital requirements in the Basel II/III banking regulations and in the planned Solvency II …