Sunk Costs and Screening: Two-Part Tariffs in Life Insurance

This webinar provides an overview of Asset-Intensive Reinsurance (AIR) and its growing role in the life insurance sector. The session will provide the key drivers behind AIR transactions, how risk profiles change through reinsurance, and the practical considerations involved in evaluating and managing such arrangements. It will also discuss recent supervisory perspectives and consider the implications for insurers operating in an increasingly complex risk environment.

AFIR-ERM Webinar: Optimal Preventive Strategies in Insurance Risk Models. We develop an integrated framework for optimal risk management in insurance that considers preventive strategies and/or risk sharing in risk models. We odel an insurer facing risks whose frequency and severity can be influenced by preventive efforts, as well as by exogenous risk-sharing instruments. Within a dynamic risk model, we formalize the insurer’s problem as either minimizing ruin probabilities or maximizing a mean–variance criterion for the terminal surplus process, while accounting for the implementation costs of preventive measures and the cost of risk transfer. We derive analytical conditions characterizing the optimal prevention efforts and optimal risk-sharing structure, and we study how these choices depend on risk characteristics. Numerical illustrations based on classical risk models show that jointly optimizing prevention and risk sharing can substantially reduce ruin probabilities compared to treating these instruments in isolation.


Speaker: Li Jingchao
Session moderator: Guangyao Liu

Motivated by insurance applications, we propose a new approach for the validation of real-world economic scenarios. This approach is based on the statistical test developed by Chevyrev and Oberhauser (2022) and relies on the notions of signature and maximum mean distance. This test allows to check whether two samples of stochastic processes paths come from the same distribution. Our contribution is to apply this test to a variety of stochastic processes exhibiting different pathwise properties (Hölder regularity, autocorrelation, and regime switches) and which are relevant for the modelling of stock prices and stock volatility as well as of inflation in view of actuarial applications.


Speaker: Hervé Andrès
Session Moderator: Łukasz Delong

In this concluding session of our three-part series, our speakers will explore recent developments in insurance solvency regulations across Asia, focusing on Japan’s Economic Value-Based Solvency Regulation (ESR) and Korea’s K-ICS. We will examine the design, implementation status, and key challenges of each framework. In Japan, preparations are underway for the implementation of ESR in the fiscal year ending March 2026, with key issues including strengthening governance, managing interest rate risk, and enhancing disclosure practices. In contrast, Korea has already adopted K-ICS, facing practical challenges such as alignment with IFRS 17 and disparities in company readiness. The session will also discuss how both systems align with international capital standards (ICS) and the strategic responses required from insurers. It will provide practical insights for industry professionals navigating this period of regulatory transition.