Within the European Union, risk-based funding requirements for insurance companies are
currently being revised as part of the Solvency II project. However, many life insurers …

The article presents a review of structural models of policyholder behavior in life insurance.
We first discuss underlying drivers of policyholder behavior in theory and survey the …

The financial guarantees embedded in variable annuity contracts expose insurers to a wide
range of risks, lapse risk being one of them. When policyholders' lapse behavior differs from …

Abstract Within the European Union, risk-based funding requirements for life insurance
companies are currently being revised as part of the Solvency II project. However, many …

In this paper, we present a dynamic programming algorithm for pricing variable annuities
with Guaranteed Minimum Withdrawal Benefits (GMWB) under a general Lévy processes …

We study the risk-neutral valuation of participating life insurance policies with surrender
guarantees when an early default mechanism, forcing an insurance company to be …

This paper proposes a multidimensional Lee–Carter model, in which the time dependent
components are ruled by switching regime processes. The main feature of this model is its …

A Least-Squares Monte Carlo Approach to the Calculation of Capital Requirements Page 1
CFMAR 10th Anniversary Conference University of California at Santa Barbara – May 20 …

The insurance regulatory regime introduced in the European Union by the “Solvency II”
Directive 2009/138, that has become applicable on 1 January 2016, is aimed to safeguard …

This paper considers the most popular approaches for the construction of replicating
portfolios for life insurance liabilities known as cash flow matching and terminal value …