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Abstract

This thesis is a collection of three essays on optimal reinsurance design, solvency analysis of deferred annuities and pension buy-outs. Two approaches to the optimal reinsurance strategy are investigated in the first essay. First approach demonstrates an optimal reinsurance model from insurer’s viewpoint whereas the second approach discusses an optimal reinsurance model using Pareto optimality principle. Depending on how the reinsurance premium is calculated, several optimal reinsurance problems are formulated for the first and second approaches and Second Order Conic Programming is applied to solve them. The second essay analyses the effect of stochastic mortality and interest
rates in the solvency analysis of a portfolio of simple deferred annuity contracts and compares the results for deterministic and stochastic models. The analysis consist of three risk scenarios: the benchmark case where mortality rates and interest rates are both deterministic, the second case where only mortality rates are stochastic and the last case where mortality rates and interest rates are both stochastic. The third essay evaluates model risk associated with pricing pension buy-outs using different stochastic mortality models. We use numerical examples to demonstrate that changes in various model parameters have a significant effect in the pricing of pension-buyouts.

Publication Type:	Thesis (Doctoral)
Subjects:	H Social Sciences > HG Finance
Departments:	Bayes Business School > Actuarial Science & Insurance Doctoral Theses Bayes Business School > Bayes Business School Doctoral Theses

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