Browse Research
Viewing 1901 to 1925 of 7690 results
2008
Traditional discounting dramatically affects the outcome of catastrophic risk management and spatio-temporal vulnerability modeling. The misperception of discount rates produces inadequate evaluations of risk management strategies, which may provoke catastrophes and significantly contribute to the increasing vulnerability of our society. This paper analyses the implication of potential catastrophic events on the choice of discounting.
2008
In this paper we examine whether the Swiss Solvency Test risk measure is a coherent measure of risk as introduced in Artzner et al. [Artzner, P., Delbaen, F., Eber, J.M., Heath, D., 1999. Coherent measures of risk. Math. Finance 9, 203-228; Artzner, P., Delbaen, F., Eber, J.M., Heath, D., Ku, H., 2004. Coherent multiperiod risk adjusted values and Bellman's principle. Working Paper. ETH Zurich].
2008
Insurance risk collateralized debt obligations will allow portfolio investors a greater opportunity to participate in insurance-linked markets and will bring additional liquidity and transparency to such markets. Insurance risk CDOs will also allow insurance and reinsurance companies to better manage their risk exposures and obtain greater capital efficiency.
2008
In France, about 90 per cent of the population is covered by private health insurance that supplements public health insurance. More than half of policyholders obtain their coverage through their employer. Considering the financial benefits associated with group contracts compared to individual contracts, we assume that switching behaviours vary among different beneficiaries during the transition to retirement.
2008
Each time a major and costly catastrophic peril occurs, a chorus arises from within the insurance community and beyond. The critics claim that the reinsurance market is inadequate, even dysfunctional, in cheaply redistributing risks. They cite frustration with the high prices and limited availability of capacity that follows the catastrophe, with the limited choice of sometimes-questionable credit risks, etc.
2008
We model the equilibrium price and quantity of risk transfer between firms and financial intermediaries. Value-maximizing firms have downward sloping demands to cede risk, while intermediaries, who assume risk, provide less-than-fully-elastic supply. We show that equilibrium required returns will be "high" in the presence of financing imperfections that make intermediary capital costly.
2008
A prominent problem in actuarial science is to define, or describe, premium calculation principles (pcp's) that satisfy certain properties. A frequently used resolution of the problem is achieved via distorting (e.g., lifting) the decumulative distribution function, and then calculating the expectation with respect to it. This leads to coherent pcp's. Not every pcp can be arrived at in this way.
2008
By extending the notion of weighted premium calculation principles, we introduce weighted risk capital allocations, explore their properties, and develop computational methods. When achieving these goals, we find it particularly fruitful to relate the weighted allocations to general Stein-type covariance decompositions, which are of interest on their own.
2008
This paper investigates the association between portfolio returns and higher-order systematic co-moments at different timescales obtained through wavelet multi-scaling, a technique that decomposes a given return series into timescales enabling investigation at different return intervals.
2008
For many assets and liabilities there exist deep and liquid markets so that the market value are reasily observed. However, for non-hedgeable risks, the market value of liabilities must be estimated. The Draft Solvency II Directive suggests in article 75 that the valuation of technical provisions (for non hedgeable risks) shall be the sum of a best estimate and a market value margin measuring the cost of risk.
2008
The aim of this article is to identify fair equity-premium combinations for non-life insurers that satisfy solvency capital requirements imposed by regulatory authorities. In particular, we compare target capital derived using the value at risk concept as planned for Solvency II in the European Union with the tail value at risk concept as required by the Swiss Solvency Test.
2008
A change in the corporate tax level can have a significant impact on rate making and capital structure for insurance companies. The purpose of this paper is to study this effect on competitive equity-premium combinations for different asset and liability models while retaining a fixed safety level. This is a crucial consideration as a change in the tax rate leads, in general, to a different risk of insolvency.
2008
Most life insurance contracts embed the right to stop premium payments during the term of the contract (paid-up option). Thereby, the contract is not terminated but continues with reduced benefits and often provides the right to resume premium payments later, thus increasing the previously reduced benefits (resumption option).
2008
In financial groups, enterprise risk management is becoming increasingly important in controlling and managing the different independent legal entities in the group. The aim of this paper is to assess and relate risk concentration and joint default probabilities of the group’s legal entities in order to achieve a more comprehensive picture of a financial group’s risk situation.
2008
In this paper we study copula-based models for aggregation of operational risk capital across business lines in a bank. A commonly used method of summation of the value-at-risk (VaR) measures, that relies on a hypothesis of full correlation of losses, becomes inappropriate in the presence of dependence between business lines and may lead to over-estimation of the capital charge.
2008
We present an axiomatic characterization of price measures that are superadditive and comonotonic additive for normally distributed random variables. The price representation derived involves a probability measure transform that is closely related to the Esscher transform, and we call it the Esscher-Girsanov transform.
2008
This paper introduces the Dynamic Additive Quantile (DAQ) model that ensures the monotonicity of conditional quantile estimates. The DAQ model is easily estimable and can be used for computation and updating of the Value-at-Risk. An asymptotically efficient estimator of the DAQ is obtained by maximizing an objective function based on the inverse KLIC measure.
2008
In this paper we test whether the past or future labor market choices of insurance commissioners provide incentives for regulators in states with price regulation to either favor or oppose the industry by allowing prices that differ significantly from what would otherwise be the competitive market outcome.
2008
We study the relationship between two widely used risk measures, the spectral measures and the distortion risk measures. In both cases, the risk measure can be thought of as a re-weighting of some initial distribution. We prove that spectral risk measures are equivalent to distorted risk pricing measures, or equivalently, spectral risk functions are related to distortion functions.
2008
This article offers an alternative proof of the capital asset pricing model (CAPM) when asset returns follow a multivariate elliptical distribution. Empirical studies continue to demonstrate the inappropriateness of the normality assumption for modeling asset returns.
2008
The study of natural catastrophe models plays an important role in the prevention and mitigation of disasters. After the occurrence of a natural disaster, the reconstruction can be financed with catastrophe bonds (CAT bonds) or reinsurance.
2008
We develop a model for markets for catastrophic risk. The model explains why insurance providers may choose not to offer insurance for catastrophic risks and not to participate in reinsurance markets, even though there is a large enough market capacity to reach full risk sharing through diversification in a reinsurance market. This is a nondiversification trap.
2008
This paper proposes long-term insurance (LTI) as an alternative to the standard annual homeowners policy using lessons from the mortgage market as a benchmark. LTI has the potential to significantly increase social welfare by reducing insurers‘ administrative costs, lowering search costs and uncertainty for consumers and providing incentives for long-term investment in mitigation measures to protect property.
2008
The recent epidemiologic and clinical literature is filled with studies evaluating statistical models for predicting disease or some other adverse event. Risk stratification tables are a new way to evaluate the benefit of adding a new risk marker to a risk prediction model that includes an established set of markers. This approach involves cross-tabulating risk predictions from models with and without the new marker.
