Browse Research
Viewing 3101 to 3125 of 7690 results
2002
The National Association of Insurance Commissioners (NAIC) has worked since the mid-1990s to facilitate pre-event tax-deferred catastrophe reserves. The proposal was adopted by the NAIC in 2001. The catastrophe reserve will not be a traditional liability reserve, nor will it specifically be included in the scope of the NAIC Statement of Actuarial Opinion on loss reserves.
2002
In the wake of Enron and WorldCom, property/casualty insurers must reassess their exposures to credit-triggered risk and how this risk is controlled.
2002
Winter 2002, Including the Ratemaking Call Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume Ratemaking Call Papers Pricing Aggregate and Credit Risk for Risk Sharing Entities by John D. Deacon, FCAS
2002
Fall 2002, Reserves Discussion Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume Reserves Discussion Papers Correlation and the Aggregation of Unpaid Loss Distributions by Paul J. Brehm, FCAS, MAAA
2002
Summer 2002, Including the Dynamic Financial Analysis Discussion Papers These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles. Table of Contents Download Entire Volume Dynamic Financial Analysis Discussion Papers
2002
We study a space of coherent risk measures M[phi] obtained as certain expansions of coherent elementary basis measures. In this space, the concept of "risk aversion function" [phi] naturally arises as the spectral representation of each risk measure in a space of functions of confidence level probabilities. We give necessary and sufficient conditions on [phi] for M[phi] to be a coherent measure.
2002
We study SpectralMeasures of Risk from the perspective of portfolio optimization. We derive exact results which extend to general Spectral MeasuresMφ the Pflug—Rockafellar—Uryasev methodology for the minimization of α—Expected Shortfall.
2002
Expected shortfall (ES) in several variants has been proposed as remedy for the deficiencies of value-at-risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss distributions. Differences may appear when the underlying loss distributions have discontinuities.
2002
We discuss the coherence properties of expected shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the 'average of the 100% worst losses' in a sample of returns to a portfolio. Here p is some fixed confidence level. We also compare several alternative representations of ES which turn out to be more appropriate for certain purposes (J.E.L.: G20, C13, C14).
2002
The prices of index options at a given date are usually represented via the corresponding implied volatility surface, presenting skew/smile features and term structure which several models have attempted to reproduce. However, the implied volatility surface also changes dynamically over time in a way that is not taken into account by current modelling approaches, giving rise to 'Vega' risk in option portfolios.
2002
This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium. This complements the cross-sectional positive return-illiquidity relationship. Also, stock returns are negatively related over time to contemporaneous unexpected illiquidity.
2002
This article studies the valuation of options written on the average level of a Markov process. The general properties of such options are examined. We propose a closed-form characterization in which the option payoff is contingent on cumulative catastrophe losses. In our framework, the loss rate is a mean-reverting Markov process, with no continuous martingale component. The model supposes that high loss levels have lower arrival rates.
2002
One hundred twenty-two members (experts) of the Society for Risk Analysis completed a mailed questionnaire and 150 nonexperts completed a similar questionnaire on the World Wide Web. Questions asked included those about priorities on personal and government action for risk reduction, badness of the risk, number of people affected, worry, and probabilities for self and others.
2002
The objective of this paper is to compare alternative models of insurance pricing as theories of the property-liability underwriting cycle. The existing literature has focused on comparing two models, the financial pricing and capacity constraint models. However, these are not the only relevant models. We show that six alternative models imply the same general form of the pricing equation.
2002
This paper presents a theoretical and empirical analysis of the capacity of the US propertyâliability insurance industry to finance catastrophic property losses in the 100 billion range.
2002
We review extensive evidence about how psychological biases affect investor behavior and prices. Systematic mispricing probably causes substantial resource misallocation. We argue that limited attention and overconfidence cause investor credulity about the strategic incentives of informed market participants. However, individuals as political participants remain subject to the biases and self-interest they exhibit in private settings.
2002
This paper considers the properties of risk measures, primarily value-at-risk (VaR), from both internal and external (regulatory) points of view. It is argued that since market data is endogenous to market behavior, statistical analysis made in times of stability does not provide much guidance in times of crisis.
