Browse Research
Viewing 1676 to 1700 of 7690 results
2009
Hungary is situated in the Carpathian basin and its climate has similar tendencies to the South European region. In particular, temperature shows increasing tendencies in all seasons and precipitation decreasing tendencies throughout the year except summer. The warming is faster than the global average, but the year-to-year variability of precipitation still has larger impacts than the decreasing trend.
2009
This thesis examines the potential of insurance to reduce greenhouse house gas emissions and help societies to equitably adapt to predicted gradual and catastrophic climate change impacts. The paper explores how insurance might operate as a mitigation and adaptation tool for states and enterprises with high-coping capacities and proposes a new insurance product: climate change catastrophe risk insurance.
2009
Convex risk measures were introduced by Deprez and Gerber [Deprez, O., Gerber, H.U., 1985. On convex principles of premium calculation. Insurance: Math. Econom. 4 (3), 179-189]. Here the problem of allocating risk capital to subportfolios is addressed, when convex risk measures are used. The Aumann-Shapley value is proposed as an appropriate allocation mechanism.
2009
We give a simplified proof of the fact that law invariant convex risk mea sures automatically have Fatou property, which is first shown by Jouini et al. (Adv. Math. Econ. 9:49–71, 2006). After providing a streamlined proof of Kusuoka's rep resentation theorem of law invariant and comonotonically additive coherent risk mea sures, we prove that a coherent distortion risk measures preserves some well-known stochastic orders.
2009
This paper introduces parametric families of distortion risk measures, investigates their properties, and discusses their use in risk management. Their derivation is based on Kusuoka's representation theorem of law invariant and comonotonically additive coherent risk measures. Our approach is to narrow down a tractable class of risk measures by requiring their comparability with the traditional expected shortfall.
2009
Strategic risk management attempts to evaluate which business units have the best profitability given their risk. This exercise is closely linked with risk pricing , although the pricing and risk management exercises have tended to use diffferent methodologies. Linking to firm value is a unifing principle that can make pricing and risk managment consistent but it is a somewhat difficult approach.
2009
ERM has methodology for quantifying the risk to capital, but to determine optimal capital the impact of capital level on firm value is needed. This gets into the realm of valuation. Also capital allocation provides risk quantification for business units, but comparing return among units is fundamentally a risk-pricing exercise. When considering risk pricing, optimal returns on allocated capital are not necessarily constant across business units.
2009
In this article, we consider several aspects of risk measures from the internal models’ perspective. We critically review the most widely used classes of risk measures. Especially, we attempt to clear up some of the most commonly misconstructed aspects: the choice between risk measures, and practical data and forecasting issues, like the importance of robustness.
2009
With climate change as prototype example, this paper analyzes the implications of structural uncertainty for the economics of low-probability, high-impact catastrophes. Even when updated by Bayesian learning, uncertain structural parameters induce a critical âtail fatteningâ of posterior-predictive distributions.
2009
The impact of exogenous shocks on business strategy, and possible responses to those threats, have received growing attention when considering the challenges of conducting business in an increasingly complex business environment. Scenario/contingency planning is a tool used by firms to translate their organizational learning capabilities into preconceived operational responses designed to react to, and then recover from, an exogenous shock.
2009
In old accounting tradition, non-life insurance companies have estimated nominal claims reserves for their outstanding loss liabilities. The new Solvency II developments require from non-life insurance companies that they go over to a market-consistent valuation of their insurance liabilities (full balance sheet approach) and that they prove solvency on a yearly basis.
2009
Using the distribution-free chain ladder method we estimate the total ultimate claim amounts at time I and after updating the information at time I + 1. The observable claims development result at time I + 1 for accounting year (I, I + 1] is then defined to be the difference between these two successive best estimate predictions for the ultimate claim. We analyze the uncertainty of this observable claims development result.
2009
Global incidents of major natural catastrophes are becoming increasingly common in recent years. Seismological research has shown earthquake-prone Japan to be at particular risk from not only inland earthquakes, but also from repeat incidents of major earthquakes such as the Tokai, Tonankai, and Nankai earthquakes.
2009
This paper examines whether risk-based pricing promotes risk-reducing effort. Such mechanisms are common in private insurance markets, but are rarely incorporated in government assurance programs. We analyze accidental underground fuel tank leaks - a source of environmental damage to water supplies - over a fourteen-year period, using disaggregate (facility-level) data and policy variation in financing the cleanup of tank leaks over time.
2009
While adverse selection problems between insureds and insurers are well known to insurance researchers, few explore adverse selection in the insurance industry from a capital markets perspective. This study examines adverse selection in the quoted prices of insurers' common stocks with a particular focus on the opacity of both asset portfolios and underwriting liabilities.
2009
We experimentally analyze consumers' reactions to insurance default risk. Consistent with earlier studies, we find that insurance with default risk is extremely unattractive to most individuals. A considerable fraction of consumers completely refuse to accept any default risk; others ask for large reductions in insurance premiums.
2009
We argue that the CAPM may be a reasonable model for estimating the cost of capital for projects in spite of increasing criticisms in the empirical asset pricing literature. Following Hoberg and Welch (2007), we first show that there is more support for the CAPM than has been previously thought.
2009
Traditional insurance economics derives some definite conclusions using the neoclassical economics method. However, those conclusions are too abstract to explain phenomena in the real insurance market. In other words, a number of anomalies remain that are not explained by traditional insurance economics.
2009
Catastrophe Risk Financing in Developing Countries provides a detailed analysis of the imperfections and inefficiencies that impede the emergence of competitive catastrophe risk markets in developing countries. The book demonstrates how donors and international financial institutions can assist governments in middle- and low-income countries in promoting effective and affordable catastrophe risk financing solutions.
2009
Long dated contingent claims are relevant in insurance, pension fund management and derivative pricing. This paper proposes a paradigm shift in the valuation of long term contracts, away from classical no-arbitrage pricing towards pricing under the real world probability measure. In contrast to risk neutral pricing, the long term excess return of the equity market, known as the equity premium, is taken into account.
2009
The United States and other nations are facing large-scale risks at an accelerating pace. In 2005, three major hurricanes—Katrina, Rita, and Wilma—made landfall along the U.S. Gulf Coast within an eight-week period. The damage caused by these storms led to insurance reimbursements and federal disaster relief of more than $180 billion—a record sum.
2009
This paper investigates the role of risk management networks in formulating hedging strategies. We develop a framework that delineates how the pattern of risk management linkages determines a firm’s hedging costs and characterizes its optimal network structure. Consistent with empirical evidence, the model predicts an inverted U-shaped relationship between the firm’s optimal hedging ratio and the number of its risk takers.
2009
We report 2,510 answers from professors from 65 countries and 934 institutions. 1,791 respondents use betas, but 107 of them do not justify the betas they use. 97.3% of the professors that justify the betas use regressions, webs, databases, textbooks or papers (the paper specifies which ones), although many of them state that calculated betas “are poorly measured and have many problems”.
