Browse Research
Viewing 1626 to 1650 of 7690 results
2009
The actuarial–financial literature does not reach a consensus on which risk measures should be used in practice. Our paper studies the properties of risk measures that can help avoid some inconsistencies observed with popular measures, like VaR or Conditional Value at Risk (CVaR). Two new families of risk measures are defined; complete and adapted risk measures.
2009
(CAT-)astrophe Bonds are of significant importance in the field of alternative risk transfer. Since the market of CAT Bonds is not as liquid as e.g. the stock market, the use of pricing models is of high relevance. One important parameter in all pricing models is the probability of catastrophe. Consequently, there are two possibilities of determination.
2009
Both, the Swiss Solvency Test (SST) and solvency II in the EU are the framework of a new, risk based solvency regulation. In this paper we concentrate on the insurance risk. We will compare the two models and discuss what is common and what is di¤erent in the two models. Emphasis will be lead on the estimation of the parameters and some new parameter estimators will be presented.
2009
This article introduces a framework to determine and allocate capital reserves to multiple dependent business lines, with or without overall reserve level constraints. The proposed methodology emphasizes the role of the loss function in the validation criterion and its conditional interpretation. Univariate and multivariate examples are discussed in detail.
2009
This paper examines the power of the cross-sectional and multivariate tests of the CAPM under ideal conditions. When the CAPM is true the positively weighted market portfolio is MV-efficient and securities plot on the security market line. When the CAPM is false an alternative asset pricing model determines prices.
2009
We systematically examine the comparative predictive performance of a number of linear and non-linear models for stock and bond returns in the G7 countries.
2009
As far as Insurance Industry is concerned, the emergence of a pandemic could obviously lead to an excess of death in the insured population, and therefore to a possible bankruptcy. Consequently, anticipating and quantifying this risk has become of paramount importance, and this is totally consistent with Solvency II, which is the new set of regulatory requirements for insurance firms that operate in the European Union.
2009
The prolonged war in Iraq, the political turmoil in Lebanon, the heightened tension between the Israelis and the Palestinians, and the spectre of an attack on Iran have significantly increased business uncertainty in several countries in the Middle East and North Africa (MENA). Sovereign risk — the credit risk assessment to the obligations of central governments — is believed to have increased.
2009
This article considers the role of American International Group (AIG) and the insurance sector in the 2007–2009 financial crisis and the implications for insurance regulation. Following an overview of the causes of the crisis, I explore the events and policies that contributed to federal government intervention to prevent bankruptcy of AIG and the scope of federal assistance to AIG.
2009
In this paper we explore why adaptation to climate change is such a critical issue to the commercial success of the private insurance industry. We highlight both the risks arising from inadequate adaptation to the impacts of climate change, and the opportunities presented by playing a role in the global response to adaptation.
2009
This paper discusses the applicability of crop insurance for the case of Malawi and explores the potential impact of climate change on the viability of the Malawi weather insurance program making use of scenarios of climate change-induced variations in rainfall patterns. The analysis is important from a methodological and policy perspective.
2009
Cummins et al. (1994) provide a conceptual framework for policymakers to use in analysing risk-based capital systems. Based on their framework, this article provides an overview and critical analysis of risk-based capital requirements, with a focus on property/casualty insurance, as implemented in three regions of the world (the United States, the European Union and Switzerland).
2009
Conditional value at risk (CVaR) is both a coherent risk measure and a natural risk statistic. It is often used to measure the risk associated with large losses. In this paper, we study how to estimate the sensitivities of CVaR using Monte Carlo simulation. We first prove that the CVaR sensitivity can be written as a conditional expectation for general loss distributions.
2009
In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks and forecasted asset return correlations.
2009
This paper focuses on the study of portfolio diversification and value at risk analysis under heavy-tailedness. We use a notion of diversification based on majorization theory that will be explained in the text. The paper shows that the stylized fact that portfolio diversification is preferable is reversed for extremely heavy-tailed risks or returns.
2009
This paper studies the evolution of hurricane insurance in Florida over the last decades. Hurricanes (and other natural catastrophes) are typically referred to as âuninsurableâ risks. The more exposed property owners find it difficult to obtain insurance cover from the private market and/or can do so only at premiums that substantially exceed their expected claims costs.
2009
This note identifies three properties of a risk measure, the acceptance of all of which implies the acceptance of the VaR risk measure; and the rejection of any one of which implies the rejection of the VaR risk measure. First, a risk measure should reflect weak aversion to losses. Second, only sufficiently likely threats matter. Finally, the risk measurement should be unaffected by how promising the upside may look like.
2009
In this paper we propose a new capital allocation method based on an idea of [Sherris, M., 2006. Solvency, capital allocation and fair rate of return in insurance. J. Risk Insurance 73 (1), 71-96]. The proposed method explicitly accommodates the notion of limited liability of the shareholders. We show how the allocated capital can be decomposed, so that each stakeholder can have a clearer understanding of their contribution.
2009
The regulation of insurance companies in the United States and the European Union (EU) continues to evolve in response to market forces and the changing nature of risk but with somewhat different philosophies and at different rates. One important area where both economic realities and markets are changing is catastrophe risk and its financing.
2009
In this paper we propose a downside risk measure, the expectile-based Value at Risk (EVaR), which is more sensitive to the magnitude of extreme losses than the conventional quantile-based VaR (QVaR). The index [theta] of an EVaR is the relative cost of the expected margin shortfall and hence reflects the level of prudentiality.
2009
This paper examines the role that long-term insurance (LTI) policies coupled with mitigation measures can play in reducing losses from natural disasters. Two principlesâ Premiums Reflecting Risk; and Dealing with Equity and Affordability Issuesâare advocated for developing LTI.
2009
The large-scale disasters that have occurred since 2001 suggest that we have entered a new era of catastrophes. We are more vulnerable to extreme events as a result of the increasing concentration of population and activities in exposed areas of the country. The question is not whether large-scale catastrophe will occur, but when and how frequently they will strike.
2009
A New Era of Catastrophes. A series of large-scale catastrophes have occurred in the United States during the first decade of the 21st century that has overshadowed previous years. Fourteen of the twentyfive most costly insured catastrophes in the world since 1970 occurred during the past eight years, thirteen in the U.S.
2009
Airlines are the business of transporting passengers in which the safety and risk have always been important. We use the fuzzy CAPM and fuzzy ICAPM models to investigate the underwriting systematic risk and profit margin of aviation transportation, in which the parameters of membership function are the asymmetric triangular fuzzy number.
2009
Elliptical copula measures with symmetrical marginals are proposed as a natural generalization of the elliptical family, which preserves the symmetrical character of marginals, but is more flexible in the choice of their shape parameters. The properties of these copulas are investigated and the elliptical copula tilting and corresponding premium are proposed as a natural tool for portfolio capital allocation.
