Browse Research
Viewing 1326 to 1350 of 7690 results
2010
We evaluate the performance of various loss reserving methods and their associated parameterizations under a
number of environments (e.g., changes in case reserve adequacy). We simulate proxy loss development data for
each environment, which enables us to measure the accuracy of various actuarial projection methods.
2010
In this article we propose a bootstrap test for the probability of ruin in the compound Poisson risk process. We adopt the P-value approach, which leads to a more complete assessment of the underlying risk than the probability of ruin alone. We provide second-order accurate P-values for testing this problem and consider both parametric and non-parametric estimators of the individual claim amount distribution.
2010
As the U.S. economy recovers from its most recent financial crisis, concerns are rising that inflation could increase dramatically in the near term. This paper attempts to quantify the effects that accelerated inflation
could have on a company’s balance sheet using the methodology proposed by Mr.
2010
Quantitative operational risk assessment is essentially based on stochastic scenario
modeling of operational loss sequences. Given the lack of reliable historical data in most
cases, mathematical methods should meet even stronger requirements in terms of results
received and include specific features, namely: rare event analysis, uncertainty analysis and
human factor analysis, etc.
2010
Regularization, by means of trading restrictions, is an effective way to obtain sparse
replicating portfolios. By including only the most relevant replicating instruments, the resulting
portfolio is more efficient computationally, easier to interpret, and better able to approximate the
liability on an out-of-sample basis. The instruments selected depend largely on their respective
trading costs.
2010
Delinquency rates are closely related to the economic conditions and can be analyzed using measures of economic growth and stability. In an attempt to predict the delinquency rate for the health care equipment financial industry, we investigated the relationship between delinquency rate and key macroeconomic variables for the period from 1998 to 2008.
2010
Operational risk is the risk of loss due to people, process or technology. It does not carry a higher potential reward as more risk is taken, and this makes it unique among traditional risk classifications. It never pays; it only costs. This risk is also unique in that it tends to hedge itself. As more management levels are added to an organization, fewer errors should occur due to greater supervision.
2010
Techniques used in risk management have grown in mathematical and technical sophistication over recent years, leading to a quality of analysis on known and calibrated risks.
The current credit crisis has shown, however, that overreliance on historical data and analytical models may not provide sufficient data to analyze very high-impact events and might actually lead to overconfidence.
2010
There is nothing like a serious financial crisis to see if your risk management process works or not. The depth and breadth of the financial crisis in 2008 identified the strengths and more importantly exposed the weaknesses of the risk management process at Lincoln Financial. Enterprise Risk Management is tasked with understanding all the key risks inside a company and preparing the company to respond to those weaknesses.
2010
As commodity markets evolve in tandem with advents in communications technology, the criticality of data management becomes a lynchpin of corporate success or failure. Advanced analysis on market movement can lead to substantive market gains, while an inability to assess risk in a timely fashion can hinder corporate responsiveness, stagnate growth or result in unmitigated risk.
2010
The bank’s customers viz. non-bank company often get into various kinds of derivative transactions with a bank or some other non-bank company in order to cover or hedge against the unwanted exposure to volatility in interest rates, currency rates or some other underlying rate.
2010
Over the last twenty years, the explosion of commodity and currency directives traded on exchanges and over the counter has tremendously increased the opportunities for non-financial companies to hedge portions of their revenues. At the same time, the academic literature is still searching for consistent and exhaustive explanations for why companies decide to hedge or not to hedge.
2010
The recent turbulence observed in financial markets has highlighted the importance for insurers to have a clear understanding of the risks inherent in the business they write. Risk-based metrics such as economic capital and market-consistent embedded value provide a framework for developing such an understanding of risk and value. Over the last few years, the use of market-consistent metrics in North America has increased.
2010
There have been continual advances in the modeling of financial series but most are aimed at the
pricing of derivatives.
2010
Enterprise risk management (ERM) models have grown in number and sophistication over the past few decades. However, few ERM models use tenets from economics to provide practical guidance that can help firms avoid "black swans" and other risky events.
Within this paper, we take an applied approach to examine the economics of ERM.
2010
The paper argues that Risks Evaluation at its core is a psychological process that can lead to the special type of chaos described in modern Chaos Theory. It will argue that quantification and scientific modeling does not exempt risk assessment from the potential for deep biases.
Quantification and scientific analysis of the assumptions can lead to narrowing of the objectives and focus.
2010
In this paper we present a novel way for estimating aggregated economic capital (EC)
figures based on Bayesian copula estimation where we explicitly address the important
issue of parameter uncertainty associated with inter-risk-correlations. Contrary to the
classic approach where one is using a single deterministic correlation matrix, we rather
employ different possible matrixes, which are drawn from an appropriate posterior
distribution.
2010
The market-consistent fair value of an insurer’s unpaid claim obligations is a critical element in the determination of economic capital. It also ostensibly lies at the heart of the European Union’s Solvency II Directive. Unfortunately, the Solvency-II-inspired fair value framework described in Wacek’s 2008 paper, ?Risk Margins in Fair Value Loss Reserves: Required Capital for Unpaid Losses and its Cost?
2010
Mortality trend risk affects pension plans, life insurers, annuity writers and insurers of workers’ compensation, where the tail claims are mostly annuities. As with many risk sources, mortality risk can be broken down into process risk, parameter risk and model risk. To have concrete examples, models are fit to U.S. male and female mortality data.
2010
In this paper, we formulate the Capital Allocation problem as an optimization problem in
which we seek the mix of business that maximizes an insurance company’s Expected Net
After Tax Income subject to a constraint on the Tail Value at Risk (TVAR).
2010
This paper argues that no single valuation basis is completely reliable: neither market price nor other alternatives can accurately measure value. Therefore, this paper proposes that a preferable solution is to simultaneously record two bases of valuation: market price and appraisal value.
2010
Teaching enterprise risk management (ERM) in higher educational institutions as a mainstream subject is emerging. Risk management is traditionally taught in disciplinary silos without considering the multidimensional aspects of risk necessary to steer the entire business. This study identifies and focuses on the essential elements to develop a curriculum of ERM from a multidisciplinary perspective.
2010
Contemporary enterprise risk management (ERM) has moved from an event-based view of risk to a hierarchical, systems-based approach. Risk systems that involve human interaction are classified and behave as complex adaptive systems.
2010
This paper develops an option pricing model that takes cost of capital concepts as its foundation rather than dynamic replication. The resulting model, called the 'C' measure in this paper, is related to the family of Affine Jump Diffusion models that are well known in the finance literature, so it is fairly easy to understand and implement.
2010
There has been a diversity of explanations for the insurance cycle. Almost all of these assume that market participants share a common risk perspective and a common goal of profit maximization.
