Browse Research
Viewing 1851 to 1875 of 7695 results
2008
This paper uses the financial data of some property-liability insurance companies in Egypt to develop a multivariate model that reflects the efficiency of financial performance. Data will be classified statistically among three categories of financial performance based on the results of fuzzy clustering.
2008
Motivation: Provide an introduction to data quality and data management directed at actuaries.
Method: Expand on the concepts in Actuarial Standard of Practice No. 23 (Data Quality), then introduce practical methods that actuaries, actuarial analysts, and management can apply to improve their situation, with references for more information.
2008
The capability for mortgage guaranty insurance companies to establish loss reserves conditioned on a dynamic risk characteristic, delinquency status, presents particular data issues. There is a need to collect, organize, warehouse, and analyze large data sets that contain loan-level detail over consecutive evaluation dates in order to measure the probability of claim, conditioned on delinquency status.
2008
This paper proposes a methodology to calculate the credibility risk premium based on the uncertainty on the risk premium, as estimated by the standard deviation of the risk premium estimator. An optimal estimator based on the
uncertainties involved in the pricing process is constructed.
2008
The chain ladder method may be the most commonly used and well‐known approach for estimating ultimate claims. As it is most often employed, the same development pattern is used to project each accident year and its results are generally considered by practitioners to be valid for each accident year.
2008
Enterprise Risk Management (hereinafter referred as ERM ) interests a wide range of professions (e.g., actuaries, corporate financial managers, underwriters, accountants, and internal auditors), however, current ERM solutions often do not cover all risks because they are motivated by the core professional ethics and principles of these professions who design and administer them.
2008
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management framework using a database of hedge funds returns chosen for their non-Gaussian features.
2008
We define CoVaR as the value at risk (VaR) of financial institutions conditional on other institutions being in distress. The increase of CoVaR relative to VaR measures spillover risk among institutions. We estimate CoVaR using quantile regressions and document significant CoVaR increases among financial institutions.
2008
The main objectives of this paper are to design and test the commercial viability of the introduction of different flood insurance schemes in Bangladesh, one of the poorest and most flood struck developing countries in the world.
2008
We model a continuous time one factor economy where stock prices are noisy proxies of the informationally efficient stock values. The pricing error process is modeled as a meanreverting process, which gives us a well-defined notion of over-pricing (positive pricing error) and under-pricing (negative pricing error) in the market. We show that in this economy, cap-weighting is a sub-optimal portfolio strategy.
2008
The 2005 hurricane season caused unprecedented levels of damage to coastal communities throughout the Gulf of Mexico. Hurricane Katrina and Hurricane Rita were of particular interest to petrochemical and refining companies, given the impacts they had to their onshore operations.
2008
This paper evaluates the performance of three extreme value distributions, i.e., generalized Pareto distribution (GPD), generalized extreme value distribution (GEV), and Box-Cox-GEV, and four skewed fat-tailed distributions, i.e., skewed generalized error distribution (SGED), skewed generalized t (SGT), exponential generalized beta of the second kind (EGB2), and inverse hyperbolic sign (IHS) in estimating conditional and unconditional value at ri
2008
This paper examines the equilibrium when stock market crashes can occur and investors have heterogeneous attitudes towards crash risk. The less crash averse insure the more crash averse through options markets that dynamically complete the economy.
2008
When estimating risk measures, whether from historical data or by Monte Carlo simulation, it is helpful to have confidence intervals that provide information about statistical uncertainty. We provide asymptotically valid confidence intervals and confidence regions involving value-at-risk (VaR), conditional tail expectation and expected shortfall (conditional VaR), based on three different methodologies.
2008
In this article, we examine liquidation strategies and asset allocation decisions for property and casualty insurance companies for different insurance product lines. We propose a cash-flow-based liquidation model of an insurance company and analyze selling strategies for a portfolio with liquid and illiquid assets.
2008
Revealed preferences are tastes that rationalize an economic agent‘s observed actions. Normative preferences represent the agent‘s actual interests. It sometimes makes sense to assume that revealed preferences are identical to normative preferences. But there are many cases where this assumption is violated.
2008
The ongoing subprime crisis raises many concerns about the possibility of much broader credit shocks in the economy. We use a simple linear version of the Longstaff and Rajan (2007) model to extract the information about macroeconomic credit risk embedded in the prices of tranches on the most-liquid credit indexes.
2008
We propose a valuation model for catastrophe insurance options written on a loss index. This kind of options distinguishes between a loss period [0,T1], during which the catastrophes may happen, and a development period [T1,T2], during which losses entered before T1 are reestimated.
2008
We specify a model for a catastrophe loss index, where the initial estimate of each catastrophe loss is reestimated immediately by a positive martingale starting from the random time of loss occurrence. We consider the pricing of catastrophe insurance options written on the loss index and obtain option pricing formulae by applying Fourier transform techniques.
