Benedikt Funke and Harmen Roering [ 1 ] suggested a method to increase the performance of a resimulation of loss occurrence (cumul loss, ground up/gross loss, see [ 2 ]) from event loss tables (ELT). An ELT is the result of a model for natural …

We investigate capital allocation based on the higher moment risk measure at a confidence level $$q\in (0,1)$$ q ∈ ( 0 , 1 ) . To reflect the excessive prudence of today’s regulatory frameworks in banking and insurance, we consider the extreme …

A Neural Network (NN) approach for the modelling of mortality rates in a multi-population framework is compared to three classical mortality models. The NN setup contains two instances of Recurrent NNs, including Long Short-Term Memory (LSTM) and …

Participating life insurance contracts are policies that provide dividends (participation bonuses) based on the insurer’s financial performance. While these products are popular, there exists a gap in the literature for the analysis of these …

Integrating epidemiological information into mortality models has the potential to improve forecasting accuracy and facilitate the assessment of preventive measures that reduce disease risk. While probabilistic models are often used for mortality …

COVID-19 has affected mortality rates and financial markets worldwide. Against this background, we perform a COVID-19 stress test for life insurance, considering a joint financial and mortality shock, to evaluate the effectiveness of different …

In Germany, a trend for decreasing mortality probabilities has been observed in the last 50 years, yielding an increasing life expectancy. The German Actuarial Association DAV offers a standard method for modeling this longevity trend in …

In applications of predictive modeling, such as insurance pricing, indirect or proxy discrimination is an issue of major concern. Namely, there exists the possibility that protected policyholder characteristics are implicitly inferred from …

The cyber risk insurance market is at a nascent stage of its development, even as the magnitude of cyber losses is significant and the rate of cyber loss events is increasing. Existing cyber risk insurance products as well as academic studies have …

This letter presents a new general formula for estimating annuity prices within a wide range of stochastic mortality models. The formula is constructed using two building blocks: an approximation technique based on the Wentzel–Kramers–Brillouin …

The quality of generalized linear models (GLMs), frequently used by insurance companies, depends on the choice of interacting variables. The search for interactions is time-consuming, especially for data sets with a large number of variables …

Forward transition rates were originally introduced with the aim to evaluate life insurance liabilities market-consistently. While this idea turned out to have its limitations, recent literature repurposes forward transition rates as a tool for …