Pricing and managing life insurance risks

The aim of this thesis is to investigate about the quantitative models used for pricing and managing life insurance risks. It was done analyzing the existing literature about methods and models used in the insurance field in order to developing (1) new stochastic models for longevity and mortality risks and (2) new pricing functions for life insurance policies and options embedded in such contracts. The motivations for this research are to be searched essentially in: (1) a new risk-based solvency framework for the insurance industry, the so-called Solvency II project, that will becomes effective in 2013/2014; (2) a new IAS/IFRS fair value-based accounting for insurance contracts, the so-called IFRS 4 (Phase 2) project (to be approval); (3) more rigorous quantitative analysis required by the industry in pricing and risk management of life insurance risks. The first part of the thesis (first and second chapters) contains a review of the quantitative models used for interest rates and longevity/mortality modeling. The second part (remaining chapters) describes new methods and quantitative models that it thinks could be useful in the context of pricing and insurance risk management.