Browse Research
Viewing 2976 to 3000 of 7690 results
2003
The Capital Asset Pricing Model has been used frequently to derive a fair price of insurance. But the use of this model overestimates insurance premiums because it does not account for the insolvency risk of insurers. This paper examines how the insurance price should be fairly adjusted when insurers' default risk is considered.
2003
A formula for the spread of Catastrophe Bonds is derived within a risk-pricing framework that deals with both systematic and non-systematic risk. The formula is as follows: Spread = (EL)^(1/ρ) Here, EL is the Expected Loss as a percentage and ρ ≥ 1, is a Risk Aversion Level (RAL).
2003
This paper examines the reaction of the stock prices of U.S. property-casualty insurers to the World Trade Center (WTC) terrorist attack of September 11, 2001. Theories of insurance market equilibrium and theories of long-term contracting predict that large loss events which deplete capital and increase parameter uncertainty will affect weakly capitalized insurers more significantly than stronger firms.
2003
This paper extends the classic expected utility theory analysis of optimal insurance contracting to the case where the insurer has a positive probability of total default and the buyer and insurer have divergent beliefs about this probability. The optimal marginal indemnity above the deductible is smaller (greater) than one if the buyer's assessment of default risk is more pessimistic (optimistic) than the insurer's.
2003
We use the Cox process (or a doubly stochastic Poisson process) to model the claim arrival process for catastrophic events. The shot noise process is used for the claim intensity function within the Cox process. The Cox process with shot noise intensity is examined by piecewise deterministic Markov process theory. We apply the model to price stop-loss catastrophe reinsurance contract and catastrophe insurance derivatives.
2003
We examine properties of risk measures that can be considered to be in line with some "best practice" rules in insurance, based on solvency margins. We give ample motivation that all economic aspects related to an insurance portfolio should be considered in the definition of a risk measure. As a consequence, conditions arise for comparison as well as for addition of risk measures.
2003
This paper seeks to provide an understanding of the background to the search for an international standard for insurance contracts, which was initiated by the International Accounting Standards Committee (IASC) in 1997 and is still proceeding under its successor, the International Accounting Standard Board (IASB).
2003
The proposed New Accord (Basel II) established by the Basel Committee on Banking Supervision calls for an explicit treatment of operational risk. Banks are required to demonstrate their ability to capture severe tail loss events. Value at risk is a risk measure that could be used to derive the necessary regulatory capital. Yet operational loss data typically exhibit irregularities which complicate the mathematical modeling.
2003
This paper proposes differentiability properties for positively homogeneous risk measures which ensure that the gradient can be applied for reasonable risk capital allocation on non-trivial portfolios. It is shown that these properties are fulfilled for a wide class of coherent risk measures based on the mean and the one-sided moments of a risky payoff.
2003
This paper follows the different steps necessary for implementing a LDA in practice: - Step 1: Severity Estimation - Step 2: Frequency Estimation - Step 3: Capital Charge Computations - Step 4: Confidence Interval - Step 5: Self Assessment and Scenario Analysis For each of these steps, we try to give illustrative examples and we gather all demanding mathematics into subsections named Technical Appendix.
2003
Cities are complex and interdependent systems, extremely vulnerable to threats from both natural hazards and terrorism. This paper proposes a comprehensive strategy of urban hazard mitigation aimed at the creation of resilient cities, able to withstand both types of threats.
2003
Since September 11, 2001, insurance markets have been struggling to adjust to new information about the magnitude of risks posed by terrorism, and to the loss of tens of billions of dollars in reserves because of claims relating to the September 11 attacks. Insurance coverage for terror-related losses has become more expensive and for some risks difficult or impossible to obtain.
2003
This paper considers the pricing of contingent claims using an approach developed and used in insurance pricing. The approach is of interest and significance because of the increased integration of insurance and financial markets and also because insurance-related risks are trading in financial markets as a result of securitization and new contracts on futures exchanges.
2003
We provide estimates of the equity capital needed and the resulting tax costs incurred when supplying catastrophe insurance/reinsurance using a partial equilibrium model that incorporates a specific loss distribution for US catastrophe losses.
2003
In this paper we give some methods to set up confidence bounds for the discounted IBNR reserve. We start with a loglinear regression model and estimate the parameters by maximum likelihood such as given, for example, by Doray [Insur.: Math. Econ. 18 (1996) 43]. The knowledge of the distribution function of the discounted IBNR reserve (S) will help us to determine the initial reserve, for example, through the 95th percentile F-1S(0.95).
2003
A considerable number of equivalent formulas defining conditional value-at-risk and expected shortfall are gathered together. Then we present a simplemethod to bound the conditional value-at-risk of compound Poisson loss distributions under incomplete information about its severity distribution, which is assumed to have a known finite range, mean, and variance.
2003
The authors present an alternative representation of risk measures originally defined in terms of expectations with respect to distorted probabilities. They also show that the right-tail, left-tail, and two-sided deviations/indices suggested by Wang (1998) can be represented in this alternative form. Empirical estimators for these quantities are proposed and their properties explored.
2003
This work examines the interaction between the premium rates set by an insurer and the incentives of an individual to purchase market insurance and undertake mitigation to reduce the size of a potential loss. A risk-neutral monopolistic insurer prices insurance according to the price-elasticity of demand for coverage. The elasticity of demand is affected by the presence of both mitigation and government intervention.
2003
Do firms have adequate incentives to invest in protection against a risk whose magnitude depends on the actions of others? This paper characterizes the Nash equilibria for this type of interaction between agents, which we call the interdependent security (IDS) problem. When agents are identical, there are two Nash equilibria for a wide range of cost and risk parameters—either everyone invests in protection or no one does.
2003
We consider the computation of quantiles and spectral risk measures for discrete distributions. This accounts for the empirical distributions of portfolio returns or outcomes of Monte Carlo simulations. We study the di¤erentiability of quantiles with respect to portfolio allocation. We show that quantiles and spectral risk measures are piecewise linear with respect to portfolio allocation.
2003
The Determinants of Enterprise Risk Management: Evidence From the Appointment of Chief Risk Officers
Enterprise risk management (ERM) has captured the attention of risk management professionals and academics worldwide. Unlike the traditional "silo-based" approach to corporate risk management, ERM enables firms to benefit from an integrated approach to managing risk that shifts the focus of the risk management function from primarily defensive to increasingly offensive and strategic.
2003
Value Based Management (VBM), and especially Economic Value Added (EVA(TM)),1 has attracted considerable interest among organisations in recent years. These concepts can be applied to capital budgeting, valuation, management control, and incentive compensation. Despite the growing number of applications, we have only limited independent research-based evidence on how these concepts are actually applied.
2003
Examining the intersection of risk analysis and sustainable energy strategies reveals numerous examples of energy-efficient and renewable energy technologies that offer insurance loss-prevention benefits. The growing threat of climate change provides an added motivation for the risk community to understand better this area of opportunity.
