In this paper, we introduce the 3-step hedge-based valuation for the valuation of hybrid
claims. We consider an insurance portfolio which is exposed to traded risks, diversifiable …

Premium calculation has been a popular topic in actuarial sciences over the decades.
Generally, a two-stage model is used to develop the premium calculation process. It can be …

This paper studies the equal risk pricing (ERP) framework for the valuation of European
financial derivatives. This option pricing approach is consistent with global trading strategies …

We explore the quantification of demographic risk in accordance with the market-consistent
actuarial valuation principles. Our contribution includes closed formulas for assessing the …

This work contributes to the literature on time consistent valuation of insurance liabilities and
to the ongoing discussion on revisions of risk margin (RM) calculation, by formally defining …

We use market data to reconstruct the volatility adjustment, a component of the Solvency II
framework designed to mitigate the impact of market risk on insurance liabilities, of different …

We propose a risk measurement approach for a risk-averse stochastic problem. We provide
results that guarantee the existence of a solution to our problem. We characterize and …

This paper investigates the hedging of equity-linked life insurance portfolio for loss-averse
insurers. We consider a general arbitrage-free financial market and an actuarial market …

Classical regulatory rules for capital allocation of long-tailed insurance risks do not ask
insurance companies to hold solvency capital early in the process. However, this may …

Assessing time-related risks in long-tailed insurance is challenging. Regulatory capital
allocation rules may underestimate credit deterioration risk by not requiring insurers to hold …