Journal article
Assessing the solvency of insurance portfolios via a continuous-time cohort model
Abstract
This paper evaluates the solvency of a portfolio of assets and liabilities of an insurer subject to both longevity and financial risks. Liabilities are evaluated at fair-value and, as a consequence, interest-rate risk can affect both the assets and the liabilities. Longevity risk is described via a continuous-time cohort model. We evaluate the effects of natural hedging strategies on the risk profile of an insurance portfolio in run-off. …
Authors
Jevtić P; Regis L
Journal
Insurance Mathematics and Economics, Vol. 61, , pp. 36–47
Publisher
Elsevier
Publication Date
March 2015
DOI
10.1016/j.insmatheco.2014.12.002
ISSN
0167-6687