Browse Research
Viewing 1251 to 1275 of 7690 results
2011
We derive the pricing formula for catastrophe equity put options (CatEPuts) by assuming catastrophic events follow a Markov Modulated Poisson process (MMPP) whose intensity varies according to the change of the Atlantic Multidecadal Oscillation (AMO) signal. U.S. hurricanes events from 1960 to 2007 show that the CatEPuts pricing errors under the MMPP(2) are smaller than the PP by 30 percent to 66 percent.
2011
Using a data set consisting of statutory returns of U.K. non-life insurers from 1985 to 2002, I find that insurers with higher leverage tend to purchase more reinsurance, and insurers with higher reinsurance dependence tend to have a higher level of debt. My results are consistent with the expected bankruptcy costs argument, agency costs theory, risk-bearing hypothesis, and renting capital hypothesis.
2011
Poverty trapping refers to the fact that poor people in developing countries cannot escape their poverty without help from outside. This is worsened by extreme events, for example, floods or hurricanes, sending people to poverty who have not been poor before. Often, insurance is seen as a way out.
2011
The aim of this paper is to analyze operational risk in the context of the 2007-9 financial crisis. The world's largest repository of information on publicly reported operational losses, SAS OpRisk Global Data, was chosen as the underlying dataset. We find a significant impact on the riskiness of the loss severity for the trading and sales and retail brokerage business lines (BLs) due to the financial crisis.
2011
Farmers face a particular set of risks that complicate the decision to borrow. We use a randomized experiment to investigate (1) the role of crop-price risk in reducing demand for credit among farmers and (2) how risk mitigation changes farmers’ investment decisions. In Ghana, we offer farmers loans with an indemnity component that forgives 50 percent of the loan if crop prices drop below a threshold price.
2010
The International Accounting Standards Board (IASB) and the Financial Accounting Standards Board (FASB) continue to debate and refine the financial reporting standards that will emerge from Phase II of their joint project on insurance contracts. The changes to the measurement of insurance liabilities for financial reporting are potentially quite significant for most insurance organizations around the world.
2010
This paper re-examines to which extent catastrophe bond prices can be explained via investor preferences. I show that cat bond spreads equal between two and three times expected losses after controlling for bond-specific characteristics. At the occurrence of Katrina, the model predicts a 15-20% increase in the cost of capital of reinsurance companies and plausible degrees of comovement among different perils.
2010
Is it possible to obtain an objective and quantifiable measure of risk backed up by choices made by some specific groups of rational investors? To answer this question, in this paper we establish some behavior foundations for various types of VaR models, including VaR and conditional-VaR, as measures of downside risk.
2010
We model claim arrival and loss uncertainties jointly in a doubly-binomial framework to price an Asian-style catastrophe (CAT) option with a non-traded underlying loss index using the no-arbitrage martingale pricing methodology. We span these uncertainties by benchmarking to the shadow price of a one-claim bond and the premium of a reinsurance contract.
2010
This paper evaluates the long-term risk for equity-linked insurance products. We consider a specific type of equity-linked insurance product with guaranteed minimum maturity benefits (GMMBs), and assume that the underlying equity follows the stochastic volatility model which allows the return’s latent volatility component to be short- or long-memory.
2010
Sensitivity analysis, or so-called ‘stress-testing’, has long been part of the actuarial contribution to pricing, reserving and management of capital levels in both life and non-life assurance.
2010
As a consequence of pointing out an ambiguity in Renshaw (1994), we show that the Overdispersed Poisson model cannot be generated by random independent intensities. Hence Pearson’s chi-square-based estimate is normally unsuitable for GLM (Generalized Linear Model) log link claim frequency analysis in insurance. We propose a new dispersion parameter estimate in the GLM Tweedie model for risk premium.
2010
When fitting a generalized liner model (GLM) to a development triangle is discussed in the existing
actuarial literature, reference is usually made to statistical packages for accomplishing this task. This paper presents a practical discussion of how to use Visual Basic to fit a GLM to a triangle with special emphasis on
how to deal with incomplete data.
2010
This paper presents a practical study of how to bootstrap a development triangle using a generalized linear model (GLM) and deviance residuals.
2010
With the release of Excel 2007 and SQL Server 2008, Microsoft has provided actuaries with a powerful and easy to use predictive modeling platform. This paper provides a brief overview of the SQL Server system. It then discusses the “Data Mining Client for Excel 2007” and explains how actuaries can use Excel to build predictive models, with little or no knowledge of the underlying SQL Server system.
2010
Response data (loss cost, claim frequency or claim severity) are often pre-adjusted with known factors and directly analyzed with generalized linear models (GLM). This paper shows that the exposure weights should also be adjusted if the Tweedie distribution with log link is used in such direct analysis.
2010
This bibliography has been compiled from publications which are available to the author and from references given in these publications. Some of the references are incomplete and others may be missing. References which are available to the author are indicated by the symbol ² preceding the title.
2010
This text outlines basic property/casualty insurance ratemaking concepts and techniques. It is intended to be a single educational text to prepare actuarial candidates practicing around the world for basic ratemaking. A key concept in the text is the fundamental insurance equation, which balances the expected future income and outgo of an insurance operation.
2010
Underinsured Motorist (UIM) coverage, also known as Family Protection coverage, is a component of most Canadian personal automobile policies, with similar coverage existing in many American states. Traditional ratemaking methods are not appropriate for UIM due to poor credibility of available data as well as the unique characteristics of the UIM coverage.
