On Risk Management of Mortality and Longevity Capital Requirement: A Predictive Simulation Approach
Shuai Yang,
Kenneth Q. Zhou
Abstract:In the insurance industry, life insurers are required by regulators to meet capital requirements to avoid insolvency caused by, for example, sudden mortality changes due to the COVID-19 pandemic. To prevent any large movements in this required capital, insurance companies are motivated to establish hedging strategies to mitigate the inherent risk exposures they face. Nonetheless, devising and implementing risk mitigation solutions to risk managing capital requirement is frequently impeded by the computational … Show more
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