Browse Research
Viewing 3001 to 3025 of 7690 results
2003
This paper determines fair premiums and optimal strategies under the financial variance and standard deviation principles of Schweizer [Insur.: Math. Econ. 28 (2001b) 31] for some insurance contracts with financial risk. Examples considered include unit-linked pure endowment contracts and integrated risk management solutions such as stop-loss contracts with barrier and financial stop-loss contracts.
2003
The financial variance and standard deviation principles of Schweizer (2001b) are applied for the valuation of insurance contracts. These principles are financial transformations of the classical actuarial variance and standard deviation principles and take into consideration the possibilities of hedging on financial markets.
2003
This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower.
2003
This paper contains a survey over the mathematical foundations, properties and potential applications of copulas in insurance and finance. Special emphasis is put on relationships between copulas and correlation as well as dependence measures, parametric families of copulas, Archimedian copulas (in particular in higher dimensions), tail dependence and general stochastic processes.
2003
We discuss classes of risk measures in terms both of their axiomatic definitions and of the economic theories of choice that they can be derived from. More specifically, expected utility theory gives rise to the exponential premium principle, proposed by Gerber (1974), Dhaene et al. (2003), whereas Yaari's (1987) dual theory of choice under risk can be viewed as the source of the distortion premium principle (Denneberg, 1990; Wang, 1996).
2003
The Aumann-Shapley [Values of Non-atomic Games, Princeton University Press, Princeton] value, originating in cooperative game theory, is used for the allocation of risk capital to portfolios of pooled liabilities, as proposed by Denault [Coherent allocation of risk capital, J. Risk 4 (1) (2001) 1].
2003
There is a growing interest among insurance companies to be able not only to compute total company capital requirements but also to allocate this total capital across its various business units.
2003
This paper develops a simple arbitrage approach to valuing insurance-linked securities, which accounts for catastrophic events and interest rate randomness, notwithstanding a framework of non-traded underlyings. It shows that holders of catastrophe bonds are in a short position on one-touch binary options based upon risk-tracking indexes that obey jump-diffusion processes.
2003
We estimate Value-at-Risk for sums of dependent random variables.We model multivariate dependent random variables using archimedean copulas. This structure allows one to calculate the asymptotic behaviour of extremal events. An important application of such results are Value-at-Risk estimates for sums of dependent random variables.
2003
Developments in IT and e-commerce, large-scale mergers and acquisitions, andincreased outsourcing all suggest that operational risk exposures are substantialand growing. In recent years, bankers and financial professions have recognizedthe crucial and growing importance of operational risk management, and thefield is currently undergoing a surge of innovation and development.
2003
Concave distortion risk measures were introduced in the actuarial literature by Wang (1996). Loosely speaking, such a risk measure assigns a ”distorted expectation” to any distribution function. The expectation is distorted by a so-called ”distortion function”. Concavity of the distortion function ensures that the risk measure preserves stop-loss order.
2003
From the increasing incidence of environmental pollution and soil contamination, to recurring natural disasters, the risks posed by the constant interaction between human activities and the environment are diverse, manifold and often catastrophic in their consequences.
2002
This paper develops efficient methods for computing portfolio value-at-risk (VAR) when the underlying risk factors have a heavy-tailed distribution. In modeling heavy tails, we focus on multivariate t distributions and some extensions thereof. We develop two methods for VAR calculation that exploit a quadratic approximation to the portfolio loss, such as the delta-gamma approximation.
2002
During the last decade, there has been increased use of neural networks (NNs), fuzzy logic (FL) and genetic algorithms (GAs) in insurance-related applications. However, the focus often has been on a single technology heuristically adapted to a problem.
2002
This paper considers a wide range of stochastic reserving models for use in general insurance, beginning with stochastic models which reproduce the traditional chain-ladder reserve estimates. The models are extended to consider parametric curves and smoothing models for the shape of the development run-off, which allow extrapolation for the estimation of tail factors.
2002
Picard (1994) defines the maximum severity of ruin, u , to be the largest deficit of a classical surplus process, starting from initial surplus u , between the time of ruin and the time of recovery to surplus level 0. He gives a simple expression for the distribution function of u M in terms of the probability of ultimate ruin. This paper first addresses the question of calculating the moments of u M .
2002
As companies experience poor results or enter into weakened financial condition, particular lines of business or entire books of business may be cancelled or non-renewed and the loss reserves for this business placed into runoff.
2002
The health reinsurance market is getting tighter Enron and Sept. 11 haven¹t helped.
2002
In its usual (one-dimensional) form, a loss model is just a distribution of nonnegative real numbers [O, Qo). This note establishes necessary and sufficient conditions for a differentiable function to equal the life expectancy of some loss model. Examples are provided to illustrate the shape of the life expectancy function of several common loss models.
2002
The focus of this paper is on some new developments in the methodologies for enterprise risk management (ERM). The paper presents a set of new methods and tools, including (i) a universal risk measure tbr both assets and liabilities, (ii) a coherent method of determining the aggregate capital requirement for a firm, and (iii) a coherent method of allocating the cost of capital to individual business units.
2002
Data Administration Including Warehousing & Design (narrow focus or advanced); Dimensional modeling has become the most widely accepted approach for data warehouse design. Here is a complete library of dimensional modeling techniques–– the most comprehensive collection ever written.
2002
The first application of Semi-Markov Process (SMP) in actuarial field was given by J.Janssen [6]. Many authors successively used these processes and their generalizations for actuarial applications, (see Hoem, [4], Carravetta, De Dominicis, Manca, [1], Sahin, Balcer, [11]. In some books it is also shown how it is possible to use these processes in actuarial science, (see Pitacco, Olivieri, [10], CMIR12 [12].
