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Measuring Foreign Exchange Risk in Insurance Transactions

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  • John Mange

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.

Suggested Citation

  • John Mange, 2000. "Measuring Foreign Exchange Risk in Insurance Transactions," North American Actuarial Journal, Taylor & Francis Journals, vol. 4(2), pages 88-100.
    • Handle: RePEc:taf:uaajxx:v:4:y:2000:i:2:p:88-100
    DOI: 10.1080/10920277.2000.10595905
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    Cited by:

    1. Elyasiani, Elyas & Mansur, Iqbal & Pagano, Michael S., 2007. "Convergence and risk-return linkages across financial service firms," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1167-1190, April.
    2. Chan Wai-Sum & Hung King-Chi, 2011. "On Robust Testing and Modelling of Threshold-Type Non-Linearity in ASEAN Foreign Exchange Markets," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 5(2), pages 1-16, July.
    3. Ngo, Thanh, 2017. "Exchange rate exposure of REITs," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 249-258.
    4. Gounopoulos, Dimitrios & Molyneux, Philip & Staikouras, Sotiris K. & Wilson, John O.S. & Zhao, Gang, 2013. "Exchange rate risk and the equity performance of financial intermediaries," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 271-282.

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