Insurance research shares its toolkit with trading research — risk measures, stochastic control, extreme-value statistics — but asks different questions: how to price a liability whose payoff is a claim rather than a market quote, how to share risk between insurer, reinsurer, and policyholder, how to fund annuities when people live longer than the tables said, and how much capital keeps the firm solvent at a regulatory confidence level. Papers here range from premium-principle theory to catastrophe-bond pricing and pension-fund asset allocation.
Read with two filters. First, which data the paper touches: actuarial work often validates on simulated claim processes, so a paper that fits real loss or mortality data earns its rigor score. Second, which regulatory frame it assumes — Solvency II, Swiss Solvency Test, or risk-based capital rules change the risk measure, the horizon, and the answer. Risk-measure theory with insurance motivation also lives in the Risk Management hub; the two overlap on purpose.
Related hubs: Risk Management & Tail Risk, Stochastic Control & Optimal Stopping, Fixed Income & Interest Rates.
We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity and/or the claim size distribution of the underlying risks deteriorates irreversibly. Extending earlier literature base
Alternative data provides valuable insights for lenders to evaluate a borrower’s creditworthiness, which could help expand credit access to underserved groups and lower costs for borrowers. But some forms of alternative data have historically been excluded from credit underwriting because it could a
In the data-driven world of actuarial science, machine learning (ML) plays a crucial role in predictive modeling, enhancing risk assessment and pricing strategies. Neural networks, specifically combined actuarial neural networks (CANN), are vital for tasks such as mortality forecasting and pricing.
An insurance company, as a risk bearer, is exposed to the likelihood of running into ruin. This is the situation where the initial surplus falls below zero. There is the need to find the required start-up capital to hedge against insolvency. Most researchers, irrespective of whether the test for cla
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder’s right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender option. We also illustrate our theoretical results with extensive
This paper introduces and studies factor risk measures. While risk measures only rely on the distribution of a loss random variable, in many cases risk needs to be measured relative to some major factors. In this paper, we introduce a double-argument mapping as a risk measure to assess the risk rela
The state-of-the-art proposes Life Care Annuities, that have been recently designed as variable annuity contracts with Long-Term Care payouts and Guaranteed Lifelong Withdrawal Benefits. In this paper, we propose more general features for these insurance products and refine their pricing methods. We
In this paper we study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted dividends over the lifetime of the company and the portfolio contains claims due to natural catastrophes, modelled by a shot-noise Cox claim num
Differential sensitivity measures provide valuable tools for interpreting complex computational models used in applications ranging from simulation to algorithmic prediction. Taking the derivative of the model output in direction of a model parameter can reveal input-output relations and the relativ
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financial network model using a bipartite graph of financial institutions (e.g., banks, investment companies, insurance firms) o
This paper investigates an optimal investment problem under the tail Value at Risk (tail VaR, also known as expected shortfall, conditional VaR, average VaR) and portfolio insurance constraints confronted by a defined-contribution pension member. The member’s aim is to maximize the expected utility
We consider the problem of optimizing lifetime consumption under a habit formation model, both with and without an exogenous pension. Unlike much of the existing literature, we apply a power utility to the ratio of consumption to habit, rather than to their difference. The martingale/duality method
Financial institutions and insurance companies that analyze the evolution and sources of profits and losses often look at risk factors only at discrete reporting dates, ignoring the detailed paths. Continuous-time decompositions avoid this weakness and also make decompositions consistent across diff
We present a simple unifying treatment of a broad class of applications from statistical mechanics, econometrics, mathematical finance, and insurance mathematics, where (possibly subordinated) Lévy noise arises as a scaling limit of some form of continuous-time random walk (CTRW). For each applicati
The conditional mean risk-sharing (CMRS) rule is an important tool for distributing aggregate losses across individual risks, but its implementation in continuous multivariate models typically requires complicated multidimensional integrals. We develop a framework to compute CMRS allocations from th
This paper maps the emerging market for decentralized credit in which ERC 4626 vaults and third-party curators, rather than monolithic lending protocols alone, increasingly determine underwriting and leverage decisions. We show that modular vaults differ in capital utilization, cross-chain and cross
As life expectancy in Kenya increases, so does the need for efficient pension schemes that can secure a dignified retirement and protect members from old age poverty. Limited research, however, has explored the efficiency of these schemes under existing governance structures. This study addresses th
With the rise of emerging risks, model uncertainty poses a fundamental challenge in the insurance industry, making robust pricing a first-order question. This paper investigates how insurers’ robustness preferences shape competitive equilibrium in a dynamic insurance market. Insurers optimize their
This paper presents a novel framework for decentralized annuities, aiming to address the limitations of traditional pension systems such as defined contribution (DC) and defined benefit (DB) plans, while providing lifetime financial support. It sheds light on often ignored pitfalls within current re
This paper investigates robust stochastic differential games among insurers under model uncertainty and stochastic volatility. The surplus processes of ambiguity-averse insurers (AAIs) are characterized by drifted Brownian motion with both common and idiosyncratic insurance risks. To mitigate these