Insurance & Actuarial Risk

The significance of mortality modeling extends across multiple research areas, ranging from life insurance valuation to optimal lifetime decision-making. Existing approaches, such as mortality laws and factor-based models, often fall short in capturing the complexity of individual mortality, hinderi

I examine whether the imposition of fiduciary duty on municipal advisors affects bond yields and advising fees. Using a difference-in-differences analysis, I show that bond yields reduce by $\sim$9% after the imposition of the SEC Municipal Advisor Rule due to lower underwriting spreads. Larger mun

Consider a closed pooled annuity fund investing in n assets with discrete-time rebalancing. At time 0, each annuitant makes an initial contribution to the fund, committing to a predetermined schedule of withdrawals. Require annuitants to be homogeneous in the sense that their initial contributions a

This paper investigates an infinite horizon, discounted, consumption-portfolio problem in a market with one bond, one liquid risky asset, and one illiquid risky asset with proportional transaction costs. We consider an agent with liquidity preference, modeled by a Cobb-Douglas utility function that

Geographic context is often consider relevant to motor insurance risk, yet public actuarial datasets provide limited location identifiers, constraining how this information can be incorporated and evaluated in claim-frequency models. This study examines how geographic information from alternative da

This paper develops an axiomatic framework for ranking metrics, a general class of functionals for evaluating and ordering financial or insurance positions. Unlike traditional risk-adjusted performance measures-such as the Sharpe ratio, RAROC, or Omega-that express reward per unit of risk, ranking m

Under Solvency II, the Value-at-Risk (VaR) is applied, although there is broad consensus that the Expected Shortfall (ES) constitutes a more appropriate risk measure. Moving towards ES would necessitate specifying the corresponding ES level. The recently introduced Probability Equivalent Level of Va

Purpose: The article aims to visualise in a single graph fish and meat processing company groups in Spain with respect to long-term solvency, energy, waste and water intensity and gender employment gap. Design/methodology/approach: The selected financial, environmental and social indicators are rati

The lack of high-quality public cyber incident data limits empirical research and predictive modeling for cyber risk assessment. This challenge persists due to the reluctance of companies to disclose incidents that could damage their reputation or investor confidence. Therefore, from an actuarial pe

In the current market practice, many cyber insurance products offer a coverage bundle for losses arising from various types of incidents, such as data breaches and ransomware attacks, and the coverage for each incident type comes with a separate limit and deductible. Although this gives prospective

This paper investigates optimal investment and pension policies in a Pay-As-You-Go (PAYG) system supplemented by a buffer fund used as an intergenerational risk-sharing mechanism. The social planner’s preference criterion is represented by non-zero volatility forward Constant Relative Risk Aversion

Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a distress-recovery tool. We formulate this as a stochastic control problem that reduces the high-dimensional balance-sheet

Natural hedging allows life insurers to manage longevity risk internally by offsetting the opposite exposures of life insurance and annuity liabilities. Although many studies have proposed natural hedging strategies under different settings, calibration methods, and mortality models, a unified frame

Estimating risk measures such as large loss probabilities and Value-at-Risk is fundamental in financial risk management and often relies on computationally intensive nested Monte Carlo methods. While Multi-Level Monte Carlo (MLMC) techniques and their weighted variants are typically more efficient,

Recent studies have highlighted the significance of higher-order moments - such as coskewness - in portfolio optimization within the financial domain. This paper extends that focus to the field of actuarial science by examining the impact of these moments on key actuarial applications. In the first

We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is uncertain about the true loss distribution and has multiple models for the losses. Their goal is to optimize a mean-varian

Choquet capacities and integrals are central concepts in decision making under ambiguity or model uncertainty, pioneered by Schmeidler. Motivated by risk optimization problems for quantiles under ambiguity, we study the subclass of Choquet integrals, called Choquet quantiles, which generalizes the u

We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the convergence of the Sample Average Approximation method (SAA) applied to this problem, and we also exhibit a convergence rate and discuss the uniqueness of the solution

We investigate the optimal investment-reinsurance problem for insurance company with partial information on the market price of the risk. Through the use of filtering techniques we convert the original optimization problem involving different filtrations, into an equivalent stochastic control proble

We consider an insurance company which faces financial risk in the form of insurance claims and market-dependent surplus fluctuations. The company aims to simultaneously control its terminal wealth (e.g. at the end of an accounting period) and the ruin probability in a finite time interval by purcha