Browse Research
Viewing 1251 to 1275 of 7695 results
2011
Capital allocation is a theoretical exercise because all of a firm’s capital could be depleted to cover a significant loss arising from any one segment. However, firms do need to allocate capital for pricing, risk management and performance evaluation. One versatile allocation method, the Ruhm-Mango-Kreps algorithm, has several key advantages: additivity, simplicity and flexibility.
2011
Implementing a properly functioning enterprise risk management (ERM) programme has become increasingly important for insurance companies. Unlike traditional risk management where individual risks are managed in separate silos, ERM is based on the concept of managing all relevant risks in an integrated, holistic fashion.
2011
In enterprise risk management, strategies should be evaluated and managed from a multi-year view. In this paper, we present a multi-year model approach and apply a multi-year risk-capital concept to enable the company's “Own Risk and Solvency Assessment” as a part of enterprise risk management on a multi-year basis. We show under which assumptions an allocation method gives the “right” strategic incentives.
2011
Enterprise risk management (ERM) has been the topic of increased media attention in recent years. The objective of this study is to measure the extent to which specific firms have implemented ERM programs and, then, to assess the value implications of these programs. We focus our attention in this study on U.S. insurers in order to control for differences that might arise from regulatory and market differences across industries.
2011
In this paper, we comprehensively analyze the catastrophe (cat) swap, a financial instrument which has attracted little scholarly attention to date. We begin with a discussion of the typical contract design, the current state of the market, as well as major areas of application.
2011
We derive the pricing formula for catastrophe equity put options (CatEPuts) by assuming catastrophic events follow a Markov Modulated Poisson process (MMPP) whose intensity varies according to the change of the Atlantic Multidecadal Oscillation (AMO) signal. U.S. hurricanes events from 1960 to 2007 show that the CatEPuts pricing errors under the MMPP(2) are smaller than the PP by 30 percent to 66 percent.
2011
Using a data set consisting of statutory returns of U.K. non-life insurers from 1985 to 2002, I find that insurers with higher leverage tend to purchase more reinsurance, and insurers with higher reinsurance dependence tend to have a higher level of debt. My results are consistent with the expected bankruptcy costs argument, agency costs theory, risk-bearing hypothesis, and renting capital hypothesis.
2011
Poverty trapping refers to the fact that poor people in developing countries cannot escape their poverty without help from outside. This is worsened by extreme events, for example, floods or hurricanes, sending people to poverty who have not been poor before. Often, insurance is seen as a way out.
2011
The aim of this paper is to analyze operational risk in the context of the 2007-9 financial crisis. The world's largest repository of information on publicly reported operational losses, SAS OpRisk Global Data, was chosen as the underlying dataset. We find a significant impact on the riskiness of the loss severity for the trading and sales and retail brokerage business lines (BLs) due to the financial crisis.
2011
Farmers face a particular set of risks that complicate the decision to borrow. We use a randomized experiment to investigate (1) the role of crop-price risk in reducing demand for credit among farmers and (2) how risk mitigation changes farmers’ investment decisions. In Ghana, we offer farmers loans with an indemnity component that forgives 50 percent of the loan if crop prices drop below a threshold price.
2010
The International Accounting Standards Board (IASB) and the Financial Accounting Standards Board (FASB) continue to debate and refine the financial reporting standards that will emerge from Phase II of their joint project on insurance contracts. The changes to the measurement of insurance liabilities for financial reporting are potentially quite significant for most insurance organizations around the world.
2010
This paper re-examines to which extent catastrophe bond prices can be explained via investor preferences. I show that cat bond spreads equal between two and three times expected losses after controlling for bond-specific characteristics. At the occurrence of Katrina, the model predicts a 15-20% increase in the cost of capital of reinsurance companies and plausible degrees of comovement among different perils.
2010
Is it possible to obtain an objective and quantifiable measure of risk backed up by choices made by some specific groups of rational investors? To answer this question, in this paper we establish some behavior foundations for various types of VaR models, including VaR and conditional-VaR, as measures of downside risk.
2010
We model claim arrival and loss uncertainties jointly in a doubly-binomial framework to price an Asian-style catastrophe (CAT) option with a non-traded underlying loss index using the no-arbitrage martingale pricing methodology. We span these uncertainties by benchmarking to the shadow price of a one-claim bond and the premium of a reinsurance contract.
2010
This paper evaluates the long-term risk for equity-linked insurance products. We consider a specific type of equity-linked insurance product with guaranteed minimum maturity benefits (GMMBs), and assume that the underlying equity follows the stochastic volatility model which allows the return’s latent volatility component to be short- or long-memory.
2010
Sensitivity analysis, or so-called ‘stress-testing’, has long been part of the actuarial contribution to pricing, reserving and management of capital levels in both life and non-life assurance.
2010
As a consequence of pointing out an ambiguity in Renshaw (1994), we show that the Overdispersed Poisson model cannot be generated by random independent intensities. Hence Pearson’s chi-square-based estimate is normally unsuitable for GLM (Generalized Linear Model) log link claim frequency analysis in insurance. We propose a new dispersion parameter estimate in the GLM Tweedie model for risk premium.
2010
When fitting a generalized liner model (GLM) to a development triangle is discussed in the existing
actuarial literature, reference is usually made to statistical packages for accomplishing this task. This paper presents a practical discussion of how to use Visual Basic to fit a GLM to a triangle with special emphasis on
how to deal with incomplete data.
2010
This paper presents a practical study of how to bootstrap a development triangle using a generalized linear model (GLM) and deviance residuals.
