Quantitative Risk Assessment in Life, Health and Pension Insurance

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: closed (17 January 2022) | Viewed by 14464

Printed Edition Available!
A printed edition of this Special Issue is available here.

Special Issue Editor

Department of Economics, Business, Mathematics and Statistics “Bruno de Finetti”, University of Trieste, 34100 Trieste, Italy
Interests: life insurance products; financial guarantees; variable annuities; surrender option; numerical methods in life and pension insurance
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

The high volatility in financial markets, together with the ultra-low interest rate environment and increased life expectancy, constitute serious threats for providers of long-term investment guarantees and lifelong benefits. Even if the COVID-19 pandemic is currently causing a mortality shock, its influence on future mortality is not clear and one possible scenario could be a further increase in the life expectancy of survivors. The risk involved with all of these “exogenous” factors is amplified by the uncertainty characterizing individuals’ behavior when making decisions concerning, e.g., surrender, partial withdrawals, annuitization, etc. This Special Issue aims to collect high-quality research papers that analyze theoretical or practical aspects related, but not limited, to the following topics:

  • Design of new life, health, and pension insurance products;
  • Analysis and risk management of existing products;
  • Optimal control, machine learning, (least squares) Monte Carlo, and other methodologies applied to solve optimization problems connected with the design and risk management of products, or with the individual choices to be made by their purchasers;
  • Optimal individual retirement planning;
  • Optimal stopping in life and pension insurance;
  • De-risking strategies for pension and annuity providers;
  • Securitization of financial, longevity, and pandemic risks.

Prof. Dr. Anna Rita Bacinello
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • life, health, and pension insurance products
  • pricing and hedging financial and survival guarantees
  • optimal individual decision making in life and pension insurance
  • numerical techniques
  • securitization

Published Papers (6 papers)

Order results
Result details
Select all
Export citation of selected articles as:

Editorial

Jump to: Research

2 pages, 267 KiB  
Editorial
Special Issue “Quantitative Risk Assessment in Life, Health and Pension Insurance”
Risks 2022, 10(4), 72; https://doi.org/10.3390/risks10040072 - 28 Mar 2022
Viewed by 1538
Abstract
The high volatility in financial markets, together with the ultra-low interest rates environment and the increased expectation of life, constitute serious threats for providers of long-term investment guarantees and lifelong benefits [...] Full article
(This article belongs to the Special Issue Quantitative Risk Assessment in Life, Health and Pension Insurance)

Research

Jump to: Editorial

20 pages, 4507 KiB  
Article
Proposal to Extend Access to Loans for Serious Illnesses Using Open Data
Risks 2022, 10(3), 51; https://doi.org/10.3390/risks10030051 - 28 Feb 2022
Cited by 2 | Viewed by 1863
Abstract
In France, access to a loan requires one to obtain loan insurance and the presence of a pathology in the applicant may be a reason for refusal. Improving knowledge of health risks and pooling risks are two methods of broadening access to loans. [...] Read more.
In France, access to a loan requires one to obtain loan insurance and the presence of a pathology in the applicant may be a reason for refusal. Improving knowledge of health risks and pooling risks are two methods of broadening access to loans. We attempt to analyse these possibilities using open data and risk pooling scenarios. We find that the removal of medical selection can be ensured if the current framework is adjusted. We also demonstrate how to use open data to estimate loan insurance premiums for a variety of diseases. We take two examples: breast cancer and type 1 diabetes. Broadening access to borrowing would be beneficial for patients and for the development of the economy associated with these projects. Full article
(This article belongs to the Special Issue Quantitative Risk Assessment in Life, Health and Pension Insurance)
Show Figures

Figure 1

16 pages, 682 KiB  
Article
Disruption of Life Insurance Profitability in the Aftermath of the COVID-19 Pandemic
Risks 2022, 10(2), 40; https://doi.org/10.3390/risks10020040 - 11 Feb 2022
Cited by 6 | Viewed by 4353
Abstract
Life insurance profitability depends on reliable mortality risk projections and pricing. While the COVID-19 pandemic has caused disruptions around the world, this is a temporary mortality shock likely to dissipate. In this paper, we investigate the long-run impact of COVID-19 on life insurance [...] Read more.
Life insurance profitability depends on reliable mortality risk projections and pricing. While the COVID-19 pandemic has caused disruptions around the world, this is a temporary mortality shock likely to dissipate. In this paper, we investigate the long-run impact of COVID-19 on life insurance profitability. Due to the long-run dynamics of the mortality characterised by a decreasing effect of the COVID-19 mortality acceleration, we suggest proactive mortality risk management by implementing prompt premium adjustments, in order to increase the resilience of the business. Full article
(This article belongs to the Special Issue Quantitative Risk Assessment in Life, Health and Pension Insurance)
Show Figures

Figure 1

18 pages, 436 KiB  
Article
Designing Annuities with Flexibility Opportunities in an Uncertain Mortality Scenario
Risks 2021, 9(11), 189; https://doi.org/10.3390/risks9110189 - 22 Oct 2021
Cited by 2 | Viewed by 1433
Abstract
We consider annuity designs in which the benefit amount is allowed to fluctuate (up or down), based on a given mortality/longevity experience. This way, guarantees are relaxed in respect of traditional annuity arrangements. On the other hand, while the annuitant is exposed to [...] Read more.
We consider annuity designs in which the benefit amount is allowed to fluctuate (up or down), based on a given mortality/longevity experience. This way, guarantees are relaxed in respect of traditional annuity arrangements. On the other hand, while the annuitant is exposed to the risk of a future reduction of the benefit amount because of higher longevity, he/she can immediately take advantage of a lower premium loading, as well as of a future increase of the benefit amount in the case of higher mortality. Flexibility in the annuity design could be welcomed by individuals, as the conservative features of traditional products partly explain their lack of attractiveness in most markets. To further contribute to the flexibility of the product, we suggest a pricing structure based on periodic fees applied to the policy fund, instead of the usual upfront loading at issue. Periodic fees are more suitable to support a revision of the arrangement after issue, which is currently not allowed in traditional annuity products. We show that periodic fees can be introduced by identifying a discount factor to be used for pricing and reserving. We assume stochastic mortality, and we compare alternative mortality/longevity linking solutions, by assessing the periodic fees and other quantities. Full article
(This article belongs to the Special Issue Quantitative Risk Assessment in Life, Health and Pension Insurance)
17 pages, 530 KiB  
Article
Modeling the Future Value Distribution of a Life Insurance Portfolio
Risks 2021, 9(10), 177; https://doi.org/10.3390/risks9100177 - 02 Oct 2021
Cited by 1 | Viewed by 1994
Abstract
This paper addresses the problem of approximating the future value distribution of a large and heterogeneous life insurance portfolio which would play a relevant role, for instance, for solvency capital requirement valuations. Based on a metamodel, we first select a subset of representative [...] Read more.
This paper addresses the problem of approximating the future value distribution of a large and heterogeneous life insurance portfolio which would play a relevant role, for instance, for solvency capital requirement valuations. Based on a metamodel, we first select a subset of representative policies in the portfolio. Then, by using Monte Carlo simulations, we obtain a rough estimate of the policies’ values at the chosen future date and finally we approximate the distribution of a single policy and of the entire portfolio by means of two different approaches, the ordinary least-squares method and a regression method based on the class of generalized beta distribution of the second kind. Extensive numerical experiments are provided to assess the performance of the proposed models. Full article
(This article belongs to the Special Issue Quantitative Risk Assessment in Life, Health and Pension Insurance)
Show Figures

Figure 1

19 pages, 502 KiB  
Article
A Bridge between Local GAAP and Solvency II Frameworks to Quantify Capital Requirement for Demographic Risk
Risks 2021, 9(10), 175; https://doi.org/10.3390/risks9100175 - 29 Sep 2021
Cited by 3 | Viewed by 2346
Abstract
The aim of this paper is to provide a stochastic model useful for assessing the capital requirement for demographic risk in a framework coherent with the Solvency II Directive. The model extends to the market consistent context classical methodologies developed in a local [...] Read more.
The aim of this paper is to provide a stochastic model useful for assessing the capital requirement for demographic risk in a framework coherent with the Solvency II Directive. The model extends to the market consistent context classical methodologies developed in a local accounting framework. The random variable demographic profit, defined in literatue under local accounting principles, is indeed analysed in a Solvency II framework. We provide a unique formulation for different non-participating life insurance contracts and we prove analytically that the valuation of demographic profit can be significantly affected by the financial conditions in the market. Regarding this topic, we implement the Vašíček model to add randomness to risk-free rates. A case study has also been developed considering a portfolio of life insurance contracts. Results prove the effectiveness of the model in highlighting the main drivers of capital requirement evaluation (e.g., the volatility of both mortality rates and risk-free rates), also compared to the local GAAP framework. Full article
(This article belongs to the Special Issue Quantitative Risk Assessment in Life, Health and Pension Insurance)
Show Figures

Figure 1

Back to TopTop