Table of contents
Tail models and the statistical limit of accuracy in risk assessment
Ingo Hoffmann, Christoph J. BörnerThis paper aims to evaluate the accuracy of a quantile estimate. Especially when estimating high quantiles from a few data, the quantile estimator itself is a random number with…
On the management of retirement age indexed to life expectancy: a scenario analysis of the Italian longevity experience
Mariarosaria Coppola, Maria Russolillo, Rosaria SimoneThis paper aims to measure the financial impact on social security system of a recently proposed indexation mechanism for retirement age by considering the Italian longevity…
Revisiting Fama–French’s asset pricing model with an MCB volatility risk factor
Xiaoying Chen, Nicholas Ray-Wang GaoSince the introduction of VIX to measure the spot volatility in the stock market, VIX and its futures have been widely considered to be the standard of underlying investor…
Longevity swaps for longevity risk management in life insurance products
Canicio Dzingirai, Nixon S. ChekenyaThe life insurance industry has been exposed to high levels of longevity risk born from the mismatch between realized mortality trends and anticipated forecast. Annuity providers…
Optimal pooling strategies under heterogeneous risk classes
Florian Klein, Hato SchmeiserThe purpose of this paper is to determine optimal pooling strategies from the perspective of an insurer's shareholders underlying a default probability driven premium loading and…
Testing risk proxies for financial collateral haircuts: adequacy of capturing tail risk
Lukasz Prorokowski, Oleg Deev, Hubert ProrokowskiThe use of risk proxies in internal models remains a popular modelling solution. However, there is some risk that a proxy may not constitute an adequate representation of the…
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1526-5943Online date, start – end:
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Emerald Publishing LimitedOpen Access:
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Balance SheetEditor:
- Nawazish Mirza