Browse Research
Viewing 1876 to 1900 of 7690 results
2008
This paper deals with a problem of guaranteed (robust) financial decision-making under model uncertainty. An efficient method is proposed for determining optimal robust portfolios of risky financial instruments in the presence of ambiguity (uncertainty) on the probabilistic model of the returns.
2008
We examine market risk, interest rate risk, and interdependencies in returns and return volatilities across three insurer segments within a System-GARCH framework.
2008
We employ a doubly-binomial process as in Gerber [Gerber, H.U., 1988. Mathematical fun with the compound binomial process. ASTIN Bull. 18, 161â168] to discretize and generalize the continuous ârandomized operational timeâ model of Chang et al. ([Chang, C.W., Chang, J.S.K., Yu, M.T., 1996. Pricing catastrophe insurance futures call spreads: A randomized operational time approach. J.
2008
This paper analyzes the implications of the advanced measurement approach (AMA) for the assessment of operational risk. Through a clinical case study on a matrix of two selected business lines and two event types of a large financial institution, we develop a procedure that addresses the major issues faced by banks in the implementation of the AMA.
2008
The IPCC 2007 report noted that both the frequency and strength of hurricanes, floods and droughts have increased during the past few years.
2008
By using a different derivation scheme, a new class of two-sided coherent risk measures is constructed in this paper. Different from existing coherent risk measures, both positive and negative deviations from the expected return are considered in the new measure simultaneously but differently.
2008
We give general conditions for monetary risk measures to be Gateaux-differentiable, strictly monotone with respect to almost sure inequality, strictly convex modulo translation, strictly convex modulo comonotonicity, or monotone with respect to different stochastic orders. Then we use the theoretical results to analyze various specific examples of risk measures. Some of them have appeared in earlier papers, others are new.
2008
We extend earlier representation results for monetary risk measures on Orlicz hearts. Then we give general conditions for such risk measures to be Gâteaux-differentiable, strictly monotone with respect to almost sure inequality, strictly convex modulo translation, strictly convex modulo comonotonicity, or monotone with respect to different stochastic orders. The theoretical results are used to analyze various specific examples of risk measures.
2008
For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a mean-risk model. We prove that the higher the weight of the risk functional, the smaller the order quantity. Our theoretical results are confirmed by sample-based optimization.
2008
A sensitivity analysis concept is introduced for prospective reserves of individual life insurance contracts as deterministic mappings of the actuarial assumptions interest rate, mortality probability, disability probability, etc. Upon modeling these assumptions as functions on a real time line, the prospective reserve is here a mapping with infinite dimensional domain.
2008
In [Christiansen, M.C., 2007. A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension. Insurance: Math. Econom. doi:10.1016/j.insmatheco.2007.07.005] a sensitivity analysis concept was introduced for the prospective reserve of individual life insurance contracts as functional of the technical basis parameters such as interest rate, mortality probability, disability probability, et cetera.
2008
This paper considers the threat of climate change in the U.K., especially flooding, with regard to the impact that it will have on small and medium-sized enterprises and on the insurance industry itself and the role it plays. It examines the current situation facing the U.K. and then examines the responses being made to this and what can be done in the future to help resolve this issue.
2008
This article features a presentation and discussant comments on hurricane and wind insurance organized by Richard A. Derrig for the American Risk and Insurance Association (ARIA) 2007 Annual Meeting in Quebec City, Quebec, Canada. The moderator, RichardA.Derrig, is President ofOPALConsulting LLC, Providence, RI. Richard formed OPAL after retiring in 2004 from the Auto Insurers and Insurance Fraud Bureaus of Massachusetts.
2008
Climate change matters to the insurance sector. In terms of underwriting, on one scenario, the economic cost of weather losses could reach over 1 trillion USD in a single year by 2040. The impacts will be worse in developing countries. The private sector needs to work with the public sector, as part of a ‘‘triple dividend’’ approach that coordinates adaptation, disaster management and sustainable economic development.
2008
Tasche [Tasche, D., 1999. Risk contributions and performance measurement. Working paper, Technische Universität München] introduces a capital allocation principle where the capital allocated to each risk unit can be expressed in terms of its contribution to the conditional tail expectation (CTE) of the aggregate risk. Panjer [Panjer, H.H., 2002. Measurement of risk, solvency requirements and allocation of capital within financial conglomerates.
2008
We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial institution. We demonstrate that the subadditivity condition that is often imposed on solvency capital principles can lead to the undesirable situation where the shortfall risk increases by a merger. We propose to complement the subadditivity condition by a regulator's condition.
2008
The European Commission has recently published the Solvency II proposals with the objective to fundamentally review the insurance supervisory framework. We test the Solvency II framework against seven criteria developed by Cummins et al. describing how best to duplicate the operation of an efficient and complete market. We conclude that Solvency II satisfies most of these criteria.
2008
This paper reviews a number of recent surveys relevant to risk management by UK insurers. These include the results of four surveys specifically on UK insurers. Our findings suggest that the risk management practices of UK insurers are variable, generally behind best practices in adjacent sectors, and in some cases are a cause of concern. However, we also find that they have been improving significantly.
2008
Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility functions. A number of problems are identified with both types of spectral risk measure.
2008
Extreme Events, Global Warming, and Insurance-Linked Securities: How to Trigger the "Tipping Point"
Large-scale disasters have occurred at an accelerated rhythm in the past 5 years. Further, the continuous increase of exposed values in high-risk areas and the potential impact of global warming on the intensity of weather-related events shall accelerate the number and increase the scale of mega-catastrophes in the near future.
2008
We develop and evaluate a simple gamble-choice task to measure attitudes toward risk, and apply this measure to examine differences in risk attitudes of male and female university students. In addition, we examine stereotyping by asking whether a person‘s sex is read as a signal of risk preference. Subjects choose which of five 50/50 gambles they wish to play.
2008
We present a method for pricing structured CAT bonds based on utility indifference pricing. The CAT bond considered here is issued in two distinct notes called tranches, specifically senior and junior tranches each with its own payment schedule. Our contributions to the literature of CAT bond pricing are two-fold. First, we apply indifference pricing to structured CAT bonds.
2008
In this paper, we first discuss the characteristics and major benefits of the Swiss risk-based capital standards for insurance companies (Swiss Solvency Test), introduced in 2006. As the insurance industry is one of the largest institutional investors in Switzerland, changes to its asset and liability management as a result of the new regulatory framework could have striking economic effects.
2008
We study the problem of evaluating the risky position involved in a matrix of random losses with some given probabilistic structure. In the Basel II regulatory setup for operational risk in banking, we analyse how interdependencies between individual loss random variables within the matrix may influence different estimates for the minimum capital charge required.
2008
When ambiguity-averse investors process news of uncertain quality, they act as if they take a worst-case assessment of quality. As a result, they react more strongly to bad news than to good news. They also dislike assets for which information quality is poor, especially when the underlying fundamentals are volatile. These effects induce ambiguity premia that depend on idiosyncratic risk in fundamentals as well as skewness in returns.
