Browse Research
Viewing 3401 to 3425 of 7690 results
2000
We apply Lemaire's algorithm and a non-parametric mixed Poisson fit to a motor insurance portfolio in order to find the true claim frequency and claim amount distributions. The algorithm we develop accounts for the fact that observed distributions are distorted by bonus hunger, when a bonus-malus system is used by the insurer.
2000
This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work and on the trade-off between risk and return. Modern research seeks to understand the behavior of the stochastic discount factor (SDF) that prices all assets in the economy.
2000
The authors utilize an asset pricing model which shows that conditional skewness helps explain the cross-sectional variation of expected returns across assets and is significant even when factors based on size and book-to-market are included. Systematic skewness is economically important as it commands a risk premium.
2000
The standard methods for the calculation of total claim size distributions and ruin probabilities, Panjer recursion and algorithms based on transforms, both apply to lattice-type distributions only and therefore require an initial discretization step if continuous distribution functions are of interest. We discuss the associated discretization error and show that it can often be reduced substantially by an extrapolation technique.
2000
Financial option pricing methodology since Black and Scholes (1973) defines option prices as the hedging cost to set up a riskless hedged portfolio. Financial options are treated as redundant contracts, since they can be replicated by trading the underlying assets. The so-called "relative valuation" method prices financial options in the world of the risk-neutral measure.
2000
Equity-indexed annuities have generated a great deal of interest and excitement among both insurers and their customers since they were first introduced to the marketplace in early 1995. Because of the embedded options in these products, the insurers are presented with some challenging mathematical problems when it comes to the pricing and management of equity-indexed annuities.
2000
The new millennium has arrived, bringing with it tougher competitive conditions than most insurance companies would have thought possible a few decades ago. While the state of the industry today is the direct result of the transformation of the overall financial services industry over the past 20 years, its metamorphosis is still in progress. Staggering changes have taken place in the financial services environment during this period.
2000
In recent years, the combined effects of deregulation in financial services, along with advances in telecommunications and information technology, are forcing far-reaching changes upon the insurance industry. The result is the industry is becoming more competitive. The emerging role of electronic commerce (e-commerce) is particularly important and interesting to study. I offer a brief survey of the role of e-commerce in the insurance industry.
2000
Around the world, the formation of financial conglomerates is gaining importance. In the United States, the provisional agreement between Congress and President Clinton’s administration to break down the barriers between banking, insurance, and securities firms by repealing the Glass-Steagall Act is no less than revolutionary.
2000
Changes over the last few decades in managing risk and investing money have been so radical that we can only describe them as being huge disruptions, maybe even revolutions. The boundaries that used to exist between the different financial activities have disappeared. Although things have accelerated rapidly over the last few decades, we should keep in mind that these developments are by no means new.
2000
Estimation of the tail index parameter of a single-parameter Pareto model has wide application in actuarial and other sciences. Here we examine various estimators from the standpoint of two competing criteria: efficiency and robustness against upper outliers.
2000
I have been asked to provide some introductory remarks on the structure of the financial services industry in the 21st century. Each of the panelists will give their own unique perspective on why consolidation is or is not a good idea for the firms where they work. I, on the other hand, would like to take a little time to provide an overview of what I see as competing “models” for the delivery of financial services.
2000
We consider an investment fund whose unit value is modeled by a geometric Brownian motion. Different forms of dynamic investment fund protection are examined. The basic form is a guarantee
that instantaneously provides the necessary payments so that the upgraded fund unit value does not fall below a protected level. A closed form expression for the price of such a guarantee is derived.
2000
A macroeconomic model of exchange rates is mixed with classical life insurance, annuity and compound Poisson aggregate claim models to create foreign exchange-adjusted insurance models. The resulting models may be used to measure the potential foreign exchange risk of mixed currency products, for example, products for which premiums are collected and benefits are paid in different currencies.
2000
With Statement of Financial Accounting Standards 115 (FASB 1993), insurers are now in the awkward situation that almost half of the balance sheet is marked to market. This has created a material inconsistency with the way liabilities are reported, thus diminishing the usefulness of financial reporting to shareholders and potential new investors. Discussion has emerged in the industry about the process of market valuing liabilities.
2000
The adoption of Statement of Financial Accounting Standards No. 97 (SFAS 97) eliminated the "lock-in" concept introduced in SFAS 60. Since many of the actuarial assumptions used in the calculation of the deferred acquisition cost (DAC) asset are difficult to predict over an extended period of time, "dynamic unlocking" was a sensible solution.
2000
Performance measurement systems and report cards, which attempt to measure and report the quality of care provided by managed health-care organizations, have become mainstream in health insurance markets as managed care penetration continues to increase. However, little is known about the impact formal plan evaluations have on the contracting and enrollment decisions made by health insurance purchasers and consumers.
2000
We examine the efficiency effects of the integration of the financial services industry and suggest directions for future research. We also propose a relatively broad working definition of integration and employ U.S. and European data on financial services industry mergers and acquisitions (M&As) to illustrate several types of integration.
2000
This paper examines convergence in the Australian financial services industry. It traces the emergence of financial conglomeration in Australia from its origins in the 1950s. The institutions involved, their market shares, and their mix of financial activities are described. The causes of financial conglomeration in Australia are discussed, noting that conglomeration has occurred in two main phases in Australia.
2000
Integration financial services is a term with many meanings.
2000
Three methods for determining suitable provision for maturity guarantees for single-premium segregated fund contracts are compared. Actuarial reserving assumes funds are held in risk-free assets, to give a prescribed probability of meeting the guarantee liability. Dynamic hedging uses the Black-Scholes framework to determine the replicating portfolio.
2000
Will financial services integration lead us straightaway to a brave new financial world in which operational and marketing efficiencies and innovation ensure ever greater consumer value and choice and a safer financial system?
2000
As a part of the compensation package many companies provide executives with executive stock options, which are call options with additional restrictions. They provide some financial advantages to the executives and help the company retain the service of the executives who improve the company’s earnings and management.
Until recently the values of the executive stock options were not required to be disclosed in the company’s financial reports.
2000
This article examines the pricing of catastrophe risk bonds. Catastrophe risk cannot be hedged by traditional securities. Therefore, the pricing of catastrophe risk bonds requires an incomplete markets setting, and this creates special difficulties in the pricing methodology. The authors briefly discuss the theory of equilibrium pricing and its relationship to the standard arbitrage-free valuation framework.
