Browse Research
Viewing 2776 to 2800 of 7690 results
2004
We estimate the demand for homeowners insurance in Florida and New York with indicated loss costs as our proxy for the quantity of real insurance services demanded. We decompose the demand into the demand for coverage of catastrophe perils and the demand for noncatastrophe coverage and estimate these demand functions separately.
2004
The author reviews the positions of major accounting and actuarial bodies on the issue of whether the holder’s own credit standing should be reflected in the fair value of its liabilities, identifying certain anomalies, both in the current GAAP treatment of debt and in the FASB approach to the fair valuation of liabilities. He also examines the treatment in financial theory of risk capital in the case of unsecured debt.
2004
Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas. It fulfills the four most desirable properties that a multivariate statistical model should satisfy.
2004
To provide incentive for active risk management, it is argued that a sound coherent distortion risk measure should preserve some higher degree stop-loss orders, at least the degree-three convex order. Such risk measures are called tail-preserving risk measures.
2004
In this paper we examine the variables that explain the cross-section of UK stock returns. Previous studies have found that the CAPM beta has moderate or even insignificant explanatory power once the Fama French factors are included. However, we control for different realised risk premia in up and down markets by using the same methodology as Pettengill, Sundaram and Mathur (1995).
2004
We consider the classical compound Poisson model of insurance risk, with the additional economic assumption of a positive interest rate. Insurance premiums, that are the present values of the aggregate claims, are priced by enforcing a no-arbitrage condition between the insurance and reinsurance markets.
2004
This paper examines the role that insurance has played in dealing with terrorism before and after September 11, 2001, by focusing on the distinctive challenges associated with terrorism as a catastrophic risk. The Terrorism Risk Insurance Act of 2002 (TRIA) was passed by the U.S.
2004
This report discusses the need for linking risk assessment, risk perception, and risk management in order to develop meaningful strategies for dealing with extreme events, i.e., low probability-high consequence events. We give special attention to economic incentives and to extreme events exhibiting interdependencies, either among individual stakeholders or among stakeholder groups.
2004
Esscher premiums, Esscher transforms and "exponential tilting" [Wang, S., 2002. A Set of New Methods and Tools for Enterprise Risk Capital Management and Portfolio Optimization. 2002 CAS Summer Forum, Dynamic Financial Analysis Discussion papers] are regarded as convenient tools in risk measurement and portfolio allocation.
2004
This article describes the current state of affairs in the EU Solvency II project. The background and international context of the project is discussed, as well as the general outline of a future EU solvency system. In particular, several areas where further technical work is needed are outlined. These topics could provide interesting objects of study for professionals of actuarial sciences as well as to those of other related sciences.
2004
The Myers and Read capital allocation formula is an important new actuarial result. In this paper, we give an overview of the Myers and Read result, explain its significance to actuaries, and provide a simple proof. Then we explain the assumption the allocation formula makes on the underlying families of loss distributions as expected losses by line vary.
2004
Since 2001, the Risk Management Group of the Basel Committee has been performing specific surveys of banks' operational loss data. The second loss data collection was launched in the summer of 2002: The 89 banks participating in the exercise provided the Group with more than 47,000 observations, grouped by eight standardised Business Lines and seven Event Types.
2004
Dramatic events in the recent past have drawn attention to catastrophe risk management problems. The devastating terrorist attacks of September 11, 2001 incurred the highest insured losses to date. Furthermore, a trend of increasing losses from natural catastrophes appears to be observable since the late 1980s. The increase in catastrophe losses triggered intensive discussion about the management of catastrophic risk, focusing on three issues.
2004
This paper derives a dynamic version of the international CAPM that nests the standard CAPM, the international CAPM and the dynamic CAPM. A theoretical foundation for empirical risk factors often used in international asset pricing, including dividend yields, forward premia and, especially, exchange-rate indices is presented.
2004
This paper extends the residual income literature to provide a framework for the use of residual income in performance measurement, applicable in value-based management.
2004
I construct examples of valuing insurance loss liabilities with asset pricing models, comparing the Rubinstein2010Leland model with the better2010known CAPM. The two models give different values only if the loss payment is asymmetric and correlated with the market portfolio, conditions which can result from the nature of the underlying loss or from the impact of insolvency on the insurer's payment.
2004
This paper presents empirical evidence that accounting for heterogeneity in financial market participation is important for evaluating the empirical performance of the Consumption-based Capital Asset Pricing Model (C-CAPM). Using the U.S.
2004
The Capital Asset Pricing Model (CAPM) revolutionized modern finance. Developed in the early 1960s by William Sharpe, Jack Treynor, John Lintner and Jan Mossin, the model provided the first coherent framework for relating the required return on an investment to the risk of that investment.
2004
Modern Integrated Risk Management (IRM) and Dynamic Financial Analysis (DFA) rely in great part on an appropriate modelling of the stochastic behaviour of the various risky assets and processes that influence the performance of the company under consideration. A major challenge here is a more substantial and realistic description and modelling of the various complex dependence structures between such risks showing up on all scales.
2004
We model consumption and dividend growth rates as containing (1) a small long-run predictable component, and (2) fluctuating economic uncertainty (consumption volatility). These dynamics, for which we provide empirical support, in conjunction with Epstein and Zin's (1989) preferences, can explain key asset markets phenomena. In our economy, financial markets dislike economic uncertainty and better long-run growth prospects raise equity prices.
2004
Monetary measures of risk like Value at Risk or Worst Conditional Expectation assess the risk of financial positions. The existing risk measures are of a static, one period nature. In this paper, I define dynamic monetary risk measures and I present an axiomatic approach that extends the class of coherent risk measures to the dynamic framework.
2004
The German flood disaster of summer 2002 highlighted a dilemma concerning insurance against damages caused by natural forces. On the one hand, mindful of the rising incidence of natural disasters, private insurance companies are increasingly withdrawing coverage against natural catastrophes such as wind storms and floods.
2004
The terrorist attacks during the past decade in London, Israel, the United States and elsewhere have spurned an interest in understanding not only how governments can mitigate terrorism risk but also how governments might help finance future losses.
