Browse Research
Viewing 2101 to 2125 of 7690 results
2007
The Wiener-Hopf factorization is obtained in closed form for a phase type approximation to the CGMY Lévy process. This allows, for the approximation, exact computation of first passage times to barrier levels via Laplace transform inversion. Calibration of the CGMY model to market option prices defines the risk neutral process for which we infer the first passage times of stock prices to 30% of the price level at contract initiation.
2007
Catastrophe Mortality Bonds are a recent capital market innovation providing insurers and reinsurers with the possibility to transfer catastrophe mortality risk off their balance sheets to capital markets. This article introduces a time-continuous model for analyzing and pricing catastrophe mortality contingent claims based on stochastic modeling of the force of mortality.
2007
In this paper we study the tail behaviour of eight major market indexes stratifying data according to the violation of a high threshold on the previous day. The distributional differences found can be exploited to improve VaR calculations in several settings, giving rise to what we call ‘MCVaR‘.
2007
This note discusses basic issues related to residual income valuation (RIV) and abnormal earnings growth (AEG) models but has only scratched the surface of a complex subject. What clearly emerges from this primer is the conclusion that AEG is a more complex valuation model than RIV. This complexity concerns both the mechanics and interpretation of AEG compared to RIV.
2007
In this paper, we prove an exponential rate of convergence result for a common estimator of conditional value-at-risk for bounded random variables. The bound on optimistic deviations is tighter while the bound on pessimistic deviations is more general and applies to a broader class of convex risk measures.
2007
We propose practical solutions for the determination of optimal retentions in a stop-loss reinsurance. We develop two new optimization criteria for deriving the optimal retentions by, respectively, minimizing the value-at-risk (VaR) and the conditional tail expectation (CTE) of the total risks of an insurer.
2007
PhD dissertation investigates the impact of terrorist attacks on equity financial markets. It uses traditional event study approaches to identify and measure market reaction to these attacks. This project concentrates on the United States and the last “wave” of international terrorist events initiated in 2001 by the September 11 attack.
2007
In 2006, Mexico became the first transition country to transfer part of its public-sector natural catastrophe risk to the international reinsurance and capital markets. The Mexican case is of considerable interest to highly exposed transition and developing countries, many of which are considering similar transactions.
2007
This paper1is the report of an experiment. Every year all the companies under the supervision of the Swiss Federal Office for Private Insurance (FOPI) deliver the sensitivities of their portfolios to a set of predefined risk factors. Out of these sensitivities it is possible to compute the risk measures for market risk and the resulting capital requirement. Using a linear approximation, these measures can be computed analytically.
2007
In this paper, we employ the theory of real option pricing to address problems in the area of operational risk management. Particularly, we develop a two-stage model to help firms determine the optimal triggers in the event of an influenza pandemic. In the first stage, we propose a regime-dependent epidemic model to simulate the spread of the virus, depending on whether the firm is active or inactive.
2007
In many developing countries, commercial insurers are beginning to become interested in serving the low-income market by providing microinsurance. To do so, they have to overcome both operational and regulatory obstacles. Ironically, certain regulations actually give commercial insurers an advantage in serving the low-income market, by restricting competition from specialized microinsurance companies.
2007
Bayesian networks is an emerging tool for a wide range of risk management applications, one of which is the modeling of operational risk. This comes at a time when changes in the supervision of financial institutions have resulted in increased scrutiny on the risk management of banks and insurance companies, thus giving the industry an impetus to measure and manage operational risk.
2007
Financial institutions are concerned about the risk of extreme events, called tail risks, for which the underlying distribution is unknown. Thus, it is difficult to estimate the tail probabilities from actual observations.
2007
Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law invariance and comonotonic additivity, then we get a subclass of them: spectral measures of risk. Expected shortfall is a well-known spectral measure of risk.
2007
U.S. insurers are heavily dependent on global reinsurance markets to enable them to provide adequate primary market insurance coverage. This article reviews the response of the world's reinsurance industry to recent mega-catastrophes and provides recommendations for regulatory reforms that would improve the efficiency of reinsurance markets.
2007
This report summarizes the authors' review of the actuarial and finance literature on the subject of risk adjustments for discounting liabilities in property-liability insurance.
2007
Operational risk has become an important risk component in the banking and insurance world. The availability of (few) reasonable data sets has given some authors the opportunity to analyze operational risk data and to propose different models for quantification. As proposed in Dutta and Perry [12], the parametric g-and-h distribution has recently emerged as an interesting candidate.
2007
Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This study utilizes recent advances in econometric theory to decompose total asset price volatility into a smooth, continuous component and a discrete (jump) component.
2007
We examine whether the use of the three-moment capital asset pricing model can account for liquidity risk. We also make a comparative analysis of a four-factor model based on Fama2013French and Pástor2013Stambaugh factors versus a model based solely on stock characteristics. Our findings suggest that neither of the models captures the liquidity premium nor do stock characteristics serve as proxies for liquidity.
2007
Longevity risk is one of the remaining frontiers challenging modern financial markets and financial engineering. Financial innovation has yet to successfully master this very significant risk facing many countries internationally. For well over a hundred years this risk has been the domain of life insurance companies, reinsurance companies and actuaries.
2007
As early as the 1970s, European Union (EU) member countries implemented rules to coordinate insurance markets and regulation. However, with the more recent movement toward a general single EU market, financial services regulation has taken on new meaning and priority. Solvency I regulations went into effect for member nations by January 2004.
2007
High losses generated by natural catastrophes reduce the availability of insurance. Among the ways to secure risk, the subscription of participating and non-participating contracts respectively permit to implement the two major principles in risk allocation: the mutuality and the transfer principles.
2007
For over 30 years academics and practitioners have been debating the merits of the CAPM. One of the characteristics of this model is that it measures risk by beta, which follows from an equilibrium in which investors display mean-variance behavior. In that framework, risk is assessed by the variance of returns, a questionable and restrictive measure of risk.
2007
This article builds on Froot and Stein in developing a framework for analyzing the risk allocation, capital budgeting, and capital structure decisions facing insurers and reinsurers.
2007
In this paper we derive relationships between the CAPM beta and three measures of downside risk discussed in the literature. The relationships are derived assuming data generating processes in the mean-variance and mean-semivariance frameworks.
