Browse Research
Viewing 1601 to 1625 of 7695 results
2009
In recent Solvency II considerations much e ort 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-Wuthrich [9].
2009
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market’s discount-rate shocks, and of value stocks with the market’s cash-flow shocks,
2009
Value-at-Risk, despite being adopted as the standard risk measure in finance, suffers severe objections from a practical point of view, due to a lack of convexity, and since it does not reward diversification (which is an essential feature in portfolio optimization). Furthermore, it is also known as having poor behavior in risk estimation (which has been justified to impose the use of parametric models, but which induces then model errors).
2009
A multiple-regime threshold generalized autoregressive conditionally heteroskedastic capital asset pricing model is introduced. The model captures asymmetric risk through allowing market beta to change discretely between regimes that are driven by market information. Asymmetric volatility and mean equation dynamics are also captured.
2009
This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. We treat the functional form of the habit as unknown, and estimate it along with the rest of the model's finite dimensional parameters.
2009
Consistent with mental accounting, we document that investors sometimes choose the asset allocation for one account without considering the asset allocation of their other accounts. The setting is a firm that changed its 401(k) matching rules. Initially, 401(k) enrollees chose the allocation of their own contributions, but the firm chose the match allocation.
2009
We show that individual investors over-extrapolate from their personal experience when making savings decisions. Investors who experience particularly rewarding outcomes from saving in their 401(k)-a high average and/or low variance return-increase their 401(k) savings rate more than investors who have less rewarding experiences with saving.
2009
The article reviews the major hazard mitigation measures considered for the Gulf Coast following hurricanes between 2005 and 2008, especially Hurricanes Katrina and Ike. Basic similarities among and between the hazard events are noted, along with a wide variety of efforts to eliminate or reduce risks from natural hazards in establishing mitigation as the major protector of affected areas.
2009
Financial risk model validation is a key part of the internal model-based approach to market risk management as laid out by the Basle Committee on Banking Supervision (2004). In this paper, we apply three backtesting methods - the binomial test, the interval forecast backtest and the density forecast backtest to assess the adequacy of conditional risk models for tail events.
2009
The central insight of asset pricing is that a security‘s value depends both on its distribution of payoffs across economic states and on state prices. In fixed income markets, many investors focus exclusively on estimates of expected payoffs, such as credit ratings, without considering the state of the economy in which default occurs.
2009
Purpose – Property and casualty (“P&C”) insurance companies rely on “risk capital” to absorb large losses that unexpectedly deplete claims-paying resources and reduce underwriting capacity.
2009
Purchasing reinsurance reduces insurers insolvency risk by stabilizing loss experience, increasing capacity, limiting liability on specific risks, and/or protecting against catastrophes. Consequently, reinsurance purchase should reduce capital costs. However, transferring risk to reinsurers is expensive. The cost of reinsurance for an insurer can be much larger than the actuarial price of the risk transferred.
2009
Under perfect market conditions, standard capital budgeting theory predicts that the discount rates on projects should reflect only non-diversifiable risk and be constant across firms.
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
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to its business units. The approach relies on an optimisation argument, requiring that the weighted sum of measures for the deviations of the business unit’s losses from their respective allocated capitals be minimised.
2009
The aim of this paper is to transfer the concept of market consistent embedded value (MCEV) from life to non-life insurance. This is an important task since the differences between management techniques used in life and non-life insurance make management at group level very difficult. Our methodology might be a way out of this unfavorable situation.
2009
This article proposes that risk management be viewed as an integral part of the corporate value-creation process— one in which the concept of economic capital can provide companies with the financial cushion and confidence to carry out their strategic plans.
2009
Theorem 15 of Embrechts et al. [Embrechts, Paul, Höing, Andrea, Puccetti, Giovanni, 2005. Worst VaR scenarios. Insurance: Math. Econom. 37, 115-134] proves that comonotonicity gives rise to the on-average-most-adverse Value-at-Risk scenario for a function of dependent risks, when the marginal distributions are known but the dependence structure between the risks is unknown.
2009
I study asset prices in a two-agent macroeconomic model with two key features: limited stock market participation and heterogeneity in the elasticity of intertemporal substitution in consumption (EIS).
2009
The paper discusses key issues and reflects the current debates around two important regulatory projects: Solvency II and International Financial Reporting Standards (IFRS) Phase II. The Solvency II project is based on an economic balance sheet and proposes an economic valuation of insurance liabilities that is very close to the European industry position on assessment of risks and solvency requirements based on how the business is managed.
2009
The aim of this paper is to develop an alternative approach for assessing an insurer's solvency as a proposal for a standard model for Solvency II. Instead of deriving minimum capital requirements-as is done in solvency regulation-our model provides company-specific minimum standards for risk and return of investment performance, given the distribution structure of liabilities and a predefined safety level.
2009
We study the influence of nonlinear dependencies on a non-life insurer's risk and return profile. To achieve this, we integrate several copula models in a dynamic financial analysis framework and conduct numerical tests. We also test risk management strategies in response to adverse outcomes. Nonlinear dependencies have a crucial influence on the insurer's risk profile that can hardly be affected by the analyzed management strategies.
2009
Mainly due to new capital adequacy standards for banking and insurance, an increased interest exists in the aggregation properties of risk measures like Value-at-Risk (VaR). We show how VaR can change from sub to superadditivity depending on the properties of the underlying model. Mainly, the switch from a finite to an infinite mean model gives a completely different asymptotic behaviour. Our main result proves a conjecture made in Barbe et al.
2009
Banks and other financial institutions should allocate capital in proportion to the marginal default value of each line of business, which is the derivative of the value of the bank’s default put with respect to a change in the scale of the business. Marginal default values give a unique allocation that adds up exactly.
