Browse Research
Viewing 1426 to 1450 of 7695 results
2010
The German Environmental Liability Law (ELL) of 1991 has introduced far-reaching civil liability for environmental damages with the aim of increasing firms' efforts to prevent accidents. Previous studies find poor evidence that this goal has actually been achieved. One and a half decades after the introduction of that law, we undertake a new attempt to investigate the impact of the ELL on accident prevention.
2010
Climate change is a major issue of unprecedented proportions that will have far-reaching impacts on society and the economy, as the phenomenon will trigger an increase in flooding, drought and other natural disasters. For the insurance industry, climate change poses a great risk to management because an increase in natural disasters will lead to an increase in insurance payments.
2010
Insurance is all about risk management and risk mitigation. A significant component of this risk equation is an ability to manage the variability of weather events. Climate modelling has shown that it only takes small changes in the mean climate to generate large changes in extreme weather.
2010
We study multiline insurance companies with limited liability. Insurance premiums are determined by no-arbitrage principles. The results are developed under the realistic assumption that the losses created by insurer default are allocated among policyholders following an ex post, pro rata, sharing rule. In general, the ratio of default costs to expected claims, and thus the ratio of premiums to expected claims, vary across insurance lines.
2010
Value-at-Risk (VaR) has become a standard measure for risk management and regulation. In the case of a two-parameter distribution, a common method among practitioners is first to calculate the daily VaR and then to apply it to a longer investment horizon by using the Square Root Rule (SRR). We show that the SRR is theoretically incorrect and propose a correct measure.
2010
The downstream effects of flood risk mitigation measures and the necessity to develop flood risk management strategies that are effective on a basin scale call for a flood risk assessment methodology that can be applied at the scale of a large river. We present an example of a rapid flood risk assessment methodology for the Elbe River.
2010
Das Reserverisiko ist neben dem Prämienrisiko ein wesentlicher Bestandteil des versicherungstechnischen Risikos eines Schaden- und Unfallversicherers. Bisher wurde in der Literatur dem Reserverisiko zumeist eine ultimative Sichtweise zugrunde gelegt, wobei die Unsicherheit der Schadenrückstellung bis zu ihrer endgültigen Abwicklung quantifiziert wird.
2010
Mutual insurance companies and stock insurance companies are different forms of organized risk sharing: policyholders and owners are two distinct groups in a stock insurer, while they are one and the same in a mutual. This distinction is relevant to raising capital and selling policies in the presence of frictional cost of capital.
2010
In this paper we suggest the use of mixtures of Erlang distributions with common scale parameter to model insurance losses. A modified expectation-maximization (EM) algorithm for parameter estimation tailored to this class of distributions is presented, and its computation efficiency is discussed. Goodness-of-fit tests are performed for data generated from some common parametric distributions and for catastrophic loss data in the United States.
2010
It has become standard practice in the cross-sectional asset pricing literature to evaluate models based on how well they explain average returns on size-B/M portfolios, something many models seem to do remarkably well. In this paper, we review and critique the empirical methods used in the literature.
2010
We introduce a new class of risk measures called generalized entropic risk measures (GERMS) that allow economic agents to have different attitudes towards different sources of risk. We formulate the problem of optimal risk transfer in terms of these risk measures and characterize the optimal transfer contract.
2010
Conditional Value-at-Risk (CVaR) is a portfolio evaluation function having appealing features such as sub-additivity and convexity. Although the CVaR function is nondifferentiable, scenario-based CVaR minimization problems can be reformulated as linear programs (LPs) that afford solutions via widely-used commercial softwares.
2010
The current literature on the adoption of enterprise risk management (ERM) abstracts from the issue of the implications of individual risk management (IRM) practices embedded in this process. Accounting for various IRMs, this paper presents a theoretical basis to study the strategic determinants, risk integration, and value creation of ERM. We tested hypotheses with data from the US property and casualty (PC) insurance market.
2010
The current ongoing global credit crunch has highlighted the importance of risk measurement in finance to companies and regulators alike. Despite risk measurement?s central importance to risk management, few papers exist reviewing them or following their evolution from its foremost beginnings up to the current day risk measures.
2010
Many theories in …nance imply monotonic patterns in expected returns and other …nancial variables: The liquidity preference hypothesis predicts higher expected returns for bonds with longer times to maturity; the CAPM implies higher expected returns for stocks with higher betas; and standard asset pricing models imply that the pricing kernel is declining in market returns.
2010
Under new solvency regulations, general insurance companies need to calculate a risk margin to cover possible shortfalls in their liability runoff. A popular approach for the calculation of the risk margin is the so-called cost-of-capital approach. The cost-of-capital approach involves the consideration of multiperiod risk measures.
2010
This paper proposes a simulation-lattice procedure to estimate financial risk measures for option positions.
2010
The Wenchuan earthquake is the largest devastating earthquake striking China since the 1976 Tangshan earthquake. In this catastrophe, loss payments were mainly from the government and public endowment. The insurance industry is expected to take more responsibility in the future, since earthquake insurance is one of the most effective and equitable instruments to disperse earthquake losses.
2010
This work is the second installment in a two-part series, and focuses on object-oriented programming methods to implement an augmented-state variable approach to aggregate the PCS index and introduce the Bermudan-style call feature into the proposed CAT bond model. The PCS index is aggregated quarterly using a discrete Asian running-sum formulation.
2010
This work is the first installment in a two-part series, and focuses on the development of a numerical PDE approach to price components of a Bermudan-style callable catastrophe (CAT) bond. The bond is based on two underlying stochastic variables; the PCS index which posts quarterly estimates of industry-wide hurricane losses as well as a single-factor CIR interest rate model for the three-month LIBOR.
2010
Earthquake risks are attracting increased attention as a result of recent catastrophic events such as the Wenchuan earthquake in China. This article aims to select, tailor, and develop loss modeling methods for catastrophic insurance. We review the state-of-the-art approaches in modeling catastrophe losses for catastrophe bondsâ modeling and pricing. The methods are applied to the 1966â2008 losses resulted from the earthquakes in China.
2010
This article starts with primitive assumptions on preferences and risk. It then derives prices consistent with a social optimum within an insurance company and the consumer-level capital allocation implied therein. The allocation "adds up" to the total capital of the firm (a result echoing findings in the congestion pricing literature2014where optimal tolls exactly cover the rental cost of the highway).
2010
The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Recently, individual claim loss models have attracted a great deal of interest in the actuarial literature, which overcome some shortcomings of aggregated claim loss models. The dependence of the event times with the delays is a crucial issue for estimating the claim loss reserving.
