Browse Research
Viewing 3526 to 3550 of 7690 results
2000
This paper deals with the problem of pricing a financial product relying on an index of reported claims from catastrophe insurance. The problem of pricing such products is that, at a fixed time in the trading period, the total claim amount from the catastrophes occurred is not known. Therefore, one has to price these products solely from knowing the aggregate amount of the reported claims at the fixed time point.
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.
2000
This article discusses and critiques the methods that have been proposed for allocating capital in financial institutions, with an emphasis on applications in the insurance industry. The author discusses the rationale for allocating capital by line of business and explains how capital allocation can be used to maximize firm value.
2000
This chapter provides a comprehensive survey of the literature on the financial pricing of property-liability insurance and provides some extensions of the existing literature. Financial prices for insurance reflect equilibrium relationships between risk and return or, minimally, avoid the creation of arbitrage opportunities.
2000
This article provides a comprehensive survey of the literature on the financial pricing of property-liability insurance and provides some extensions of the existing literature. Financial prices for insurance reflect equilibrium relationships between risk and return or, minimally, avoid the creation of arbitrage opportunities.
2000
This report summarizes the authors’ review o the actuarial and finance literature on the subject of risk adjustments for discounting liabilities in property-liability insurance.
2000
This chapter has two objectives. The first is to provide a survey of the literature on corporate hedging and financial risk management with an emphasis on how the general literature applies in insurance. We begin by reviewing the theoretical rationales for risk-neutral, profit-maximizing firms to practice risk management and then go on to discuss the empirical literature on corporate hedging.
2000
We propose a semi-parametric method for unconditional Value-at-Risk (VaR) evaluation. The largest risks are modelled parametrically, while smaller risks are captured by the non-parametric empirical distribution function.
2000
Policies to mitigate potential damages from global climate change impose costs on the current generation to provide benefits to future generations. This article examines how comparisons among three stylized policies 2014 business-as-usual, mitigation of climate change, and compensation for climate damages 2014 depend on social preferences with respect to risk and intertemporal equity.
2000
In this paper we develop a CAPM-based model to demonstrate that the true measure of systematic risk - when considering liquidity costs - is based on net (after bid-ask spread) returns. We further examine the relationship between the expected return and the future spread cost within the CAPM framework. This positive relationship in our model is found to be convex.
2000
A unique characteristic of the insurance industry is that its product is basically a promise. Unlike a physical product or even some other service, customers pay premiums for a promise that they will be compensated in case of an adverse event. In order to demonstrate that they can keep this promise, customers and public of®cials require insurers to show that they have suf®cient ®nancial resources.
2000
Society faces large challenges as to how we will deal with the increasing losses from natural, technological, and environmental hazards. Residents in hazard-prone areas are reluctant to protect themselves before the event occurs. The insurance and reinsurance industry is concerned that it cannot provide protection against these catastrophic risks without exposing itself to the danger of insolvency or significant loss of surplus.
2000
The causes of insurance cycles and liability crises have been vigorously sought, claimed, and debated by academic investigators for years. The model provided here partially synthesizes several stands of this literature and provides an additional cause.
2000
This article is a self-contained introduction to the concept and methodology of value at risk (VAR), a recently developed tool for measuring an entity's exposure to market risk. We explain the concept of VAR and then describe in detail the three methods for computing it--historical simulation, the delta-normal method, and Monte Carlo simulation. We also discuss the advantages and disadvantages of the three methods for computing VAR.
2000
This article presents an application of extreme value theory to compute the value at risk of a market position. In statistics, extremes of a random process refer to the lowest observation (the minimum) and to the highest observation (the maximum) over a given time-period. Extreme value theory gives some interesting results about the distribution of extreme returns.
2000
Finance theory can be used to form informative prior beliefs in financial decision making. This paper approaches portfolio selection in a Bayesian framework that incorporates a prior degree of belief in an asset pricing model. Sample evidence on home bias and value and size effects is evaluated from an asset-allocation perspective. U.S.
2000
We develop and estimate a PC-industry specific model in which proxies for both discretion and non-discretion are used to partition loss reserve revisions into discretionary and non-discretionary components. The use of such proxies enables us to test directional hypotheses about the relations between the revision components and future profitability, risk and market value.
2000
A new approach to optimizing or hedging a portfolio of financial instruments to reduce risk is presented and tested on applications. It focuses on minimizing Conditional Value-at-Risk (CVaR) rather than minimizing Value-at-Risk (VaR), but portfolios with low CVaR necessarily have low VaR as well. CVaR, also called Mean Excess Loss, Mean Shortfall, or Tail VaR, is anyway considered to be a more consistent measure of risk than VaR.
2000
It is proposed that risk perception is partly driven by notions of what is seen as unnatural and immoral activities of modern technology, e.g. nuclear technology. The dimension of tampering with nature is found, in two large-scale survey studies of the general public and, in one case, of politicians involved in the environmental field, to be an important predictor of perceived risk.
2000
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has solutions respecting constraints on ROEs, ruin probabilities and market shares currently in practical use.
2000
This article introduces a class of distortion operators, ga(t) = D[44-(u) + a], where D is the standard normal cumulative distribution. For any loss (or asset) variable X with a probability distribution Sx(x) = 1- Fx(x), ga [Sx(x)] defines a distorted probability distribution whose mean value yields a risk-adjusted premium (or an asset price).
2000
This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects.
