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European Actuarial Journal OnlineFirst articles

01.09.2018 | Original Research Paper

Policy characteristics and stakeholder returns in participating life insurance: which contracts can lead to a win-win?

Participating life insurance contracts and pension plans often include a return guarantee and participation in the surplus of the institution’s result. The final account value in such contracts depends on the investment policy driven by solvency …

30.06.2018 | Original Research Paper

Matching tower information with piecewise Pareto

Pricing tools for non-proportional reinsurance treaties often only provide layer prices, but no layer-independent collective risk model. There are, however, situations where such a layer-independent model is needed. Examples are large loss and …

12.06.2018 | Original Research Paper

The impact of longevity and investment risk on a portfolio of life insurance liabilities

In this paper we assess the joint impact of biometric and financial risk on the market valuation of life insurance liabilities. We consider a stylized, contingent claim based model of a life insurance company issuing participating contracts and …

11.06.2018 | Original Research Paper

Optimal management of immunized portfolios

We generalize the contribution of Fong and Vasicek (Financ Anal J 39:73–78, 1983a; Innov Bond Portf Manag Durat Analy Immun 1983:227–238, 1983b; J Financ 39:1541–1546, 1984) by developing a risk-return optimization problem for immunized life …

05.06.2018 | Original Research Paper

Observations on industry practice in the construction of large correlation structures for risk and capital margins

This is a practical paper, concerned with certain existing industry practices used to factor large correlation matrices into estimates of variance of total portfolio liabilities, and hence into risk, and possibly capital margins, and the extent to …

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Über diese Zeitschrift

The European Actuarial Journal (EAJ) publishes research articles and survey articles as well as papers engaging the mutual transfer between research and practical applications.

Coverage includes such topics in classical actuarial mathematics as life and non-life insurance, pension funds and reinsurance, along with more recent areas of interest such as risk management, asset-and-liability management, solvency, catastrophe modeling, systematic changes in risk parameters, longevity, and more.

The successor to six national actuarial journals, EAJ focuses on theory and methods for applications in insurance and finance.

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