Measuring Foreign Exchange Risk in Insurance Transactions

John Mange

North American Actuarial Journal, 2000, vol. 4, issue 2, 88-100

Abstract: A macroeconomic model of exchange rates is mixed with classical life insurance, annuity and compound Poisson aggregate claim models to create foreign exchange-adjusted insurance models. The resulting models may be used to measure the potential foreign exchange risk of mixed currency products, for example, products for which premiums are collected and benefits are paid in different currencies. Numerical examples illustrate the foreign exchange risks of such products.

Date: 2000
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DOI: 10.1080/10920277.2000.10595905

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