<> "The repository administrator has not yet configured an RDF license."^^ . <> . . . "Assessing the solvency of insurance portfolios via a continuous time cohort model"^^ . "This paper evaluates the solvency of a portfolio of assets and liabilities of an insurer subject to both longevity and financial risks. Liabilities are evaluated at fair-value and, as a consequence, interest-rate risk can affect both the assets and the liabilities. Longevity risk is\r\ndescribed via a continuous-time cohort model. We evaluate the effects of natural hedging strategies on the risk profile of an insurance portfolio in run-off. Numerical simulations, calibrated to UK historical data, show that systematic longevity risk is of particular importance\r\nand needs to be hedged. Natural hedging can improve the solvency of the insurer, if interest-rate risk is appropriately managed. We stress that asset allocation choices should not be independent of the composition of the liability portfolio of the insurer."^^ . "2014-07" . . "7" . . "IMT Institute for Advanced Studies Lucca"^^ . . . . . . . . . . "Luca"^^ . "Regis"^^ . "Luca Regis"^^ . . "Petar"^^ . "Jevtić"^^ . "Petar Jevtić"^^ . . . . . . "Assessing the solvency of insurance portfolios via a continuous time cohort model (PDF)"^^ . . . . . . "EIC_WP_7_2014.pdf"^^ . . . "Assessing the solvency of insurance portfolios via a continuous time cohort model (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "Assessing the solvency of insurance portfolios via a continuous time cohort model (Other)"^^ . . . . . . "preview.jpg"^^ . . . "Assessing the solvency of insurance portfolios via a continuous time cohort model (Other)"^^ . . . . . . "medium.jpg"^^ . . . "Assessing the solvency of insurance portfolios via a continuous time cohort model (Other)"^^ . . . . . . "small.jpg"^^ . . "HTML Summary of #2261 \n\nAssessing the solvency of insurance portfolios via a continuous time cohort model\n\n" . "text/html" . . . "HB Economic Theory"@en . . . "HD61 Risk Management"@en . . . "HG Finance"@en . .