Browse Research

Viewing 1526 to 1550 of 7695 results
2009
In this paper we estimate operational risk by using the convex risk measure Expected Shortfall (ES) and provide an approximation as the confidence level converges to 100% in the univariate case. Then we extend this approach to the multivariate case, where we represent the dependence structure by using a Levy copula as in Bocker and Kluppelberg (2006) and Bocker and Kluppelberg, C. (2008).
2009
This contribution shows that for certain classes of insurance risks, pricing can be based on expected values under a probability measure P* amounting to quasi risk-neutral pricing. This probability measure is unique and optimal in the sense of minimizing the relative entropy with respect to the actuarial probability measure P, which is a common approach in the case of incomplete markets.
2009
Frangos and Vrontos (2001) proposed an optimal bonus-malus systems with a frequency and a severity component on an individual basis in automobile insurance. In this paper, we introduce a generalized form of those obtained previously. Keywords: Bonus-malus systems, frequency component, severity component.
2009
In recent Solvency II considerations much effort has been put into the development of appropriate models for the study of the one-year loss reserving uncertainty in non-life insurance. In this article we derive formulas for the conditional mean square error of prediction of the one-year claims development result in the context of the Bayes chain ladder model studied in Gisler-Wüthrich [9].
2009
We consider variation of observed claim frequencies in non-life insurance, modeled by Poisson regression with overdispersion. In order to quantify how much variation between insurance policies that is captured by the rating factors, one may use the coefficient of determination, R2 (squared), the estimated proportion of total variation explained by the model.
2009
The paper incorporates liquid reserves, interest and dividends in the compound Poisson surplus model. When an insurer’s surplus is below a certain level, it is kept as liquid reserves. As the surplus attains the level, the excess of the surplus above the level will earn interest at a constant interest rate.
2009
In Kim and Hardy (2007) the exact bootstrap was used to estimate certain risk measures including Value at Risk and the Conditional Tail Expectation. In this paper we continue this work by deriving the influence function of the exact-bootstrapped quantile risk measure. We can use the influence function to estimate the variance of the exact-bootstrap risk measure.
2009
Traditionally, actuaries have modeled mortality improvement using deterministic reduction factors, with little consideration of the associated uncertainty. As mortality improvement has become an increasingly significant source of financial risk, it has become important to measure the uncertainty in the forecasts.
2009
In this paper we present a method for the numerical evaluation of the ruin probability in continuous and finite for a classical risk process where the premium can change from year to year. A major consideration in the development of this methodology is that it should be easily applicable to large portfolios.
2009
This paper is concerned with clarifying the link between risk measurement and capital efficiency. For this purpose we introduce risk measurement as the minimum cost of making a position acceptable by adding an optimal combination of multiple eligible assets. Under certain assumptions, it is shown that these risk measures have properties similar to those of coherent risk measures.
2009
The Benktander (1976) and Neuhaus (1992) credibility claims reserves methods are reconsidered in the framework of a credible loss ratio reserving method.
2009
This paper considers the model suggested by Schnieper (1991), which separates the true IBNR claims from the IBNER. Stochastic models are defined, using both recursive and non-recursive procedures, within the framework of the models described in England and Verrall (2002). Approximations to the prediction of error of the reserves are derived analytically.
2009
This article considers strengths and weaknesses of reinsurance and securitization in managing insurable risks. Traditional reinsurance operates efficiently in managing relatively small, uncorrelated risks and in facilitating efficient information sharing between cedants and reinsurers.
2009
Insurance company financial reporting and performance measurement are going through a significant transformation.
2009
In this paper we use accounting data of the life insurance industry in 2003 to examine the empirical relationship between the spectrum of enterprise risks and the spectrum of enterprise risk management (ERM) tools of this industry.
2009
Credit derivatives have rapidly become a key financial tool in the capital markets as a way to accept or transfer credit risk. These instruments have had a significant effect on financial markets, both in easing the trading of credit risk and increasing the complexity of financial transactions.
2009
“In the Kingdom of the Blind, the One Eyed Man is King” — Erasmus It is widely reported that markets are made because different market participants have different views of the opportunities in the market. For every transaction, there may be an agreement on price, but an inevitable complete disagreement on direction of the next move in price.
2009
Determining contributions to overall portfolio risk is an important topic in financial risk management. At the level of positions (instruments and subportfolios), this problem has been well studied, and a significant theory has been built, in particular around the calculation of marginal contributions. We consider the problem of determining the contributions to portfolio risk of risk factors, rather than positions.
2009
This paper looks at the problem of valuing and managing the Asset/Liability Management (A/LM) risks associated with insurance liabilities that are too long to be matched by available investments. Two very different approaches to the problem are explored. The first approach called Yield Curve Extension starts with a number of simple ideas for extrapolating a yield curve and analyzes them from a risk management perspective.
2009
Concentration risks, particularly concentrations in credit risk, have played a key role in the financial instability of the banking sector in 2008. This paper examines different objectives in managing credit concentration risk. The suitability of different measures and presentation techniques is discussed and illustrated in the context of a case study.
2009
In this paper we examine time series model selection and assessment based on residuals, with a focus on regime switching models. We discuss the difficulties in defining residuals for such processes and propose several possible alternatives. We determine that a stochastic approach to defining the residuals is the only way to generate residuals that are normally distributed under the model hypothesis.
2009
ERM has methodology for quantifying the risk to capital, but to determine optimal capital the impact of capital level on firm value is needed. This gets into the realm of valuation. Also capital allocation provides risk quantification for business units, but comparing return among units is fundamentally a risk-pricing exercise. When considering risk pricing, optimal returns on allocated capital are not necessarily constant across business units.
2009
Decision making is certainly the most important task of a manager and it is often a very difficult one. The domain of decision analysis models falls between two extreme cases. This depends upon the degree of knowledge we have about the outcome of our actions. One “pole” on this scale is deterministic. The opposite “pole” is pure uncertainty. Between these two extremes are problems under risk.
2009
Business transformation initiatives are undertaken by enterprises to reduce the risk of misalignment and to build agility and adaptability to market changes. The predictability of desired outcomes needs to be managed by mitigating interdependent risks associated with changes in processes, systems, operating procedures, employee and customer base, etc.
2009
This paper starts from the viewpoint that enterprise risk management (ERM) is a specific application of knowledge in order to control deviations from strategic objectives, shareholders’ values and stakeholders’ relationships. This study is looking for insights into how the application of knowledge management processes can improve the implementation of ERM.