Browse Research
Viewing 2526 to 2550 of 7690 results
2005
In the last few years the properties of risk measures that can be considered as suiting ”best practice” rules in insurance have been studied extensively in the actuarial literature. In Artzner (1999) so-called coherency axioms were proposed to be satisfied for risk measures that are used for providing capital requirements. On the other hand Goovaerts et al.
2005
Insurance companies are currently under considerable pressure from regulators, analysts and investors to change their approach to risk and capital management. As insurers consider how to implement new ways to measure and manage their business in response to these demands, they would do well to heed the lessons learned in the banking industry, which has been on a similar path for the last decade.
2005
The paper discusses the development and operation of terrorism insurance programmes established in France, Germany and the U.S as reaction to 9/11. These three programmes are all based upon a public–private partnership with government backup. However, there are some fundamental differences regarding issues such as exclusions, price differentiation, risk mutualization, current level of terrorism insurance demand and the government exit strategy.
2005
This paper examines the tail conditional expectation risk measure (TCE) in the case of a multivariate gamma portfolio of risks. Explicit formulas for both the TCE and the risk capital allocations based on it are provided in the context of the multivariate model possessing dependent gamma marginals. Some of our results exceed the frameworks of the multivariate gamma distributions and may be applied to other non-negative risks.
2005
Value at risk (VaR) is an important and widely used measure of the extent to which a given portfolio is subject to risk present in _nancial markets. Considerable amount of research was dedicated during recent years to development of acceptable methods for evaluation of this risk measure. In this paper, we present a method of calculating the portfolio which gives the optimal VaR among those, which yield at least some specified expected return.
2005
The ability to share risk efficiently in the economy is essential to welfare and growth. However, the increased frequency of natural catastrophes over the last decade has raised once again questions associated to the limits of insurability in a free markets economy, and to the relevance of public interventions on risk-sharing markets.
2005
In this paper we present a unified approach to derive many important classes of premium principles, using the Markov inequality for tail probabilities. In addition, we will recall some of the important characterization theorems of these risk measures.
2005
If people face the possibility of catching an infectious disease and have the option of a completely effective vaccine against it, how many will choose to be vaccinated? Clearly not all, as if everyone else is vaccinated there is no incentive for me to join them: I face no risk. Likewise if no one is vaccinated then everyone has a strong incentive to be vaccinated, so we do not expect that no one being vaccinated is an equilibrium.
2005
We examine the effect of competition for scarce corporate financial resources on managers‘ incentives to generate profitable investment opportunities. Operating an active internal capital market is unambiguously beneficial only if divisions have the same level of financial resources and the same investment potential.
2005
This article shows that any coherent risk measure is given by a convex combination of expected shortfalls, and an expected shortfall (ES) is optimal in the sense that it gives the minimum value among the class of plausible coherent risk measures. Hence, it is of great practical interest to estimate the ES with given confidence level from the market data in a stable fashion.
2005
This article uses the nonparametric frontier method to examine differences in efficiency for three unique organizational forms in the Japanese nonlife insurance industry-keiretsu firms, nonspecialized independent firms (NSIFs), and specialized independent firms (SIFs). It is not possible to reject the null hypothesis that efficiencies are equal, with one exception. Keiretsu firms seem to be more cost-efficient than NSIFs.
2005
Owing to the increasing prevalence of value-based methodologies and the competitive and political pressures faced by the industry to improve its performance, the U.K. life insurance industry provides an interesting environment in which to examine whether senior management uses accounting vs. projected cash-flow-based financial performance measures for both managerial performance evaluation and strategic budgetary planning and control purposes.
2005
This paper considers the pricing of insurance contracts for a multi- line insurer in a single period model where insurance risks have depen- dent gamma distributions. The pricing takes into account the impact of default, as well as financial distress costs arising from the possibilityof default by the insurer, and allocates these to line of business in an economically meaningful manner.
2005
This paper proposes a new method to measure and monitor the risk in a banking system. Standard tools that regulators require banks to use for their internal risk management are applied at the level of the banking system to measure the risk of a regulator's portfolio. Using a sample of international banks from 1988 until 2002, I estimate the dynamics and correlations between bank asset portfolios.
2005
With new modeling techniques for estimating and pricing the risks of natural disasters, the donor community is now in a position to help the poor cope with the economic repercussions of disasters by assisting before they happen. Such assistance is possible with the advent of novel insurance instruments for transferring catastrophe risks to the global financial markets.
2005
This article studies the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset prices in a pure-exchange economy with a representative agent who is averse not only to risk but also to model uncertainty with respect to rare events.
2005
Due to their axiomatic foundation and their favorable computational properties convex risk measures are becoming a powerful tool in financial risk management. In this paper we will review the fundamental structural concepts of convex risk measures within the framework of convex analysis. Then we will exploit it for deriving strong duality relations in a generic portfolio optimization context.
2005
In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price of risk.
2005
This article presents an overview of the contemporary German insurance market, its structure, players, and development trends. First, brief information about the history of the insurance industry in Germany is provided.
2005
Catastrophe insurance provides peace of mind and financial security. Climate change can have adverse impacts on insurance affordability and availability, potentially slowing the growth of the industry and shifting more of the burden to governments and individuals. Most forms of insurance are vulnerable, including property, liability, health, and life.
2005
This paper reviews the developments in reporting of traditional embedded value and summarises some of the reasons why this is now undergoing change. It considers the purpose of an embedded value calculation and the effect of differing attitudes to risk. It comments on the recently developed European Embedded Value Principles and sets out the main areas where scope remains to apply judgement.
2005
This paper develops a theory of capital allocation in financial intermediaries where the cost of “risk capital” is a critical consideration.
2005
September 11 changed the American economy and the global insurance market. The insurance industry no longer covers terrorism risk for "free." The traditional insurance mechanism alone cannot spread the risk of repeated catastrophic losses. Beyond the Terrorism Risk Insurance Act of 2002 lingers the questions of a longterm solution and government's role therein.
2005
The conditions under which the classical measures of risk like the mean, the linear correlation coefficient and VaR can be used are discussed. The definition of risk measure and the main recently proposed risk measures are presented. The problems connected with co-dependence are outlined.
