Security games are characterized by multiple players who strategically adjust their defenses against an abstract attacker, represented by realizations of nature. The defense strategies include both actions where security generates positive externalities and actions that do not. When the players are assumed to be risk averse, market insurance enters as a third strategic option. We formulate a on...

It is known that for an insurer who invests in the financial market, the financial investments may affect its solvency as severely as do insurance claims. This conclusion is usually reached under an assumption of independence or asymptotic independence between insurance risk and financial risk. Such an assumption seems reasonable if the insurer focuses on the traditional insurance business that...

The scope of this paper is to analyse duration as a risk measure of life insurance liabilities from traditional life insurance products using a simple model to assess the problem. First, the liabilities are defined. Then the concept of Macauley duration as a measure for interest rate risk with respect to life insurance liabilities is derived. This concept is discussed with respect to its useful...