Browse Research
Viewing 2176 to 2200 of 7690 results
2007
This purpose of this study is to compare the results of several risk allocation methods for a realistic insurance company example. The basis for the study is the fitted loss distributions of Bohra and Weist (2001), which were derived from the hypothetical data for DFA Insurance Company (DFAIC). This hypothetical data was distributed by the Casualty Actuarial Society's Committee on Dynamic Financial Analysis, as part of its 2001 call for papers.
2007
This paper presents a field study into the effects of statistical information concerning risks on willingness to take insurance, with special attention being paid to the usefulness of these effects for the clients (the insured). Unlike many academic studies, we were able to use in-depth individual interviews of a large representative sample from the general public (N = 476).
2007
This paper discusses methods of risk neutralizing statistical distributions by applying exponential tilting of the probability density of a risk X, with respect to a reference risk Y. It proposes a normalization procedure based on percentile matching to convert the reference risk Y to a standard normal variable Z. The resulting normalized exponential tilting extends classic theories of pricing risks, including CAPM and the Black- Merton-Scholes.
2007
Catastrophic events like Hurricane Andrew and Hurricane Katrina can result in mega property insurance claims that can wipe out a fledgling insurance or reinsurance company and shake up the balance sheets of the stronger ones. The scarcity of reinsurance industry capacity and appetite for certain risks has resulted in insurance companies and others seeking capital markets solutions to obtain needed insurance or reinsurance capacity.
2007
This article uses the FIGARCH(1,d,1) models to calculate daily Value-at-Risk (VaR) for T-bond interest rate futures returns of long and short trading positions based on the normal, Student-t, and skewed Student-t innovations distributions.
2007
For insurers and reinsurers, economic capital has become central to enterprise risk management and is used in financial decision-making including by-line pricing and capital allocation. The Value-at-Risk (VaR) measure is widely used for determining economic capital.
2007
In this paper, we establish a premium principle that calculates the premium as the sum of present values of claim liability, normal business expense, income tax and frictional cost. The principle provides a "fair" premium in the sense that it generates a fair return on capital. In other words, it automatically produces the correct cost of equity capital without knowing its value.
2007
The 9/11 attacks in the United States, as well as other attacks in different parts of the world, raise important questions related to the economic impact of terrorism. What are the most effective ways for a country to recover from these economic losses? Who should pay for the costs of future large-scale attacks? To address these two questions, we propose five principles to evaluate alternative programs.
2007
Although the importance of infrastructure sectors in achieving economic growth and poverty reduction is well established, raising debt and equity capital for infrastructure development and service provision has been a challenge for developing countries.
2007
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion functions underlying spectral risk measures. This paper addresses this issue by examining two popular risk aversion functions, based on exponential and power utility functions respectively.
2006
Coinsurance in insurance provided jointly with another or others. In primary property insurance, coinsurance is an arrangement by which the insurer and the insured share, in a specific ratio, payment for losses covered by the policy, after the deductible is met. Under a coinusrance arrangement, the person insured by the primary policy is regarded as a joint insurer and becomes jointly and proportionately responsible for losses.
2006
We analyze the pricing and hedging of catastrophe put options under stochastic interest rates with losses generated by a compound Poisson process. Asset prices are modeled through a jump-diffusion process which is correlated to the loss process. We obtain explicit closed form formulae for the price of the option, and the hedging parameters Delta, Gamma and Rho.
2006
In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models - studied in mathematical finance for several decades - have attracted attention in stochastic programming. We consider Conditional Value-at-Risk as risk measure in the framework of two-stage stochastic integer programming. The paper addresses structure, stability, and algorithms for this class of models.
2006
We investigate the problem of consistency of risk measures with respect to usual stochastic order and convex order. It is shown that under weak regularity conditions risk measures preserve these stochastic orders. This result is used to derive bounds for risk measures of portfolios. As a by-product, we extend the characterization of coherent, law-invariant risk measures with the Fatou property to unbounded random variables.
2006
In this article, we consider the evolution of the post-age-60 mortality curve in the United Kingdom and its impact on the pricing of the risk associated with aggregate mortality improvements over time: so-called longevity risk. We introduce a two-factor stochastic model for the development of this curve through time.
2006
This paper extends the methods introduced in England & Verrall (2002), and shows how predictive distributions of outstanding liabilities in general insurance can be obtained using bootstrap or Bayesian techniques for clearly defined statistical models. A general procedure for bootstrapping is described, by extending the methods introduced in England & Verrall (1999), England (2002) and Pinheiro et al. (2003).
2006
Kaas, Dannenburg & Goovaerts (1997) generalized Jewell's theorem on exact credibility, from the classical Bühlmann model to the (weighted) Bühlmann-Straub model. We extend this result further to the "Bühlmann-Straub model with a priori differences" (Bühlmann & Gisler, 2005).
2006
Motivation: Thousands of variables are contained in insurance data warehouses. In addition, external sources of information could be attached to the data contained in data warehouses. When actuaries build a predictive model, they are confronted with redundant variables which reduce the model efficiency (time to develop the model, interpretation of the results, and inflate variance of the estimates).
2006
Standard optimal portfolio choice models assume that investors maximize the expected utility of their future outcomes. However, behaviour which is inconsistent with the expected utility theory has often been observed.
2006
In this article, we consider the links between solvency, capital allocation, and fair rate of return in insurance. A method to allocate capital in insurance to lines of business is developed based on an economic definition of solvency and the market value of the insurer balance sheet. Solvency, and its financial impact, is determined by the value of the insolvency exchange option.
2006
Enterprise Risk Management (ERM) is a body of knowledge – concepts, methods, and techniques – that enables a firm to understand, measure, and manage its overall risk so as to maximize the firm’s value to shareholders and policyholders. The purpose of this paper is to demonstrate this often-asserted but seldom-described linkage between ERM on the one hand, and maximizing a firm’s value on the other.
2006
The primary focus of research in enterprise risk management (ERM) has been on the corporation, with an emphasis on publicly traded companies. Some research has tried to apply an ERM approach to pension plans. However, many take the view that a pension plan is not an entity on its own, but exists within a corporation.
2006
Enterprise risk management (ERM) has been getting an increasing amount of attention in recent years. While various industries, regions of the world and professional organizations may have coined different names for their general framework, the underlying theme is the same.
