Browse Research
Viewing 1876 to 1900 of 7695 results
2008
Simultaneous modelling of operational risks occurring in different event type/business line cells poses a serious challenge for operational risk quantification. Here we invoke the new concept of Lévy copulas to model the dependence structure of operational loss events. We explain the consequences of this dependence concept for frequencies and severities of operational risk in detail.
2008
Climate change is expected to increase the frequency and severity of certain natural catastrophes, such as flooding. This is likely to increase the willingness to pay (WTP) for natural catastrophe insurances, even though it is uncertain how large this effect will be.
2008
Beta, as measured by the Capital Asset Pricing Model (CAPM), is widely used for pricing stocks, determining the cost of capital, and gauging the extent to which markets are integrated. The CAPM model assumes that equilibrium conditions prevail. The choice of which market portfolio to use in the regression - the home country or global index - depends on the level of global market integration.
2008
The gradient allocation principle, which generalizes the most popular specific allocation principles, is commonly proposed in the literature as a means of distributing a financial institution's risk capital to its constituents. This paper is concerned with the axioms defining the coherence of risk measures and capital allocations, and establishes results linking the two coherence concepts in the context of the gradient allocation principle.
2008
The optimal risk allocation problem, equivalently the optimal risk sharing problem, in a market with n traders endowed with risk measures [varrho]1,...,[varrho]n is a classical problem in insurance and mathematical finance. This problem however only makes sense under a condition motivated from game theory which is called Pareto equilibrium. There are many situations of practical interest, where this condition does not hold.
2008
This paper deals with a problem of guaranteed (robust) financial decision-making under model uncertainty. An efficient method is proposed for determining optimal robust portfolios of risky financial instruments in the presence of ambiguity (uncertainty) on the probabilistic model of the returns.
2008
We examine market risk, interest rate risk, and interdependencies in returns and return volatilities across three insurer segments within a System-GARCH framework.
2008
We employ a doubly-binomial process as in Gerber [Gerber, H.U., 1988. Mathematical fun with the compound binomial process. ASTIN Bull. 18, 161â168] to discretize and generalize the continuous ârandomized operational timeâ model of Chang et al. ([Chang, C.W., Chang, J.S.K., Yu, M.T., 1996. Pricing catastrophe insurance futures call spreads: A randomized operational time approach. J.
2008
This paper analyzes the implications of the advanced measurement approach (AMA) for the assessment of operational risk. Through a clinical case study on a matrix of two selected business lines and two event types of a large financial institution, we develop a procedure that addresses the major issues faced by banks in the implementation of the AMA.
2008
The IPCC 2007 report noted that both the frequency and strength of hurricanes, floods and droughts have increased during the past few years.
2008
By using a different derivation scheme, a new class of two-sided coherent risk measures is constructed in this paper. Different from existing coherent risk measures, both positive and negative deviations from the expected return are considered in the new measure simultaneously but differently.
2008
We give general conditions for monetary risk measures to be Gateaux-differentiable, strictly monotone with respect to almost sure inequality, strictly convex modulo translation, strictly convex modulo comonotonicity, or monotone with respect to different stochastic orders. Then we use the theoretical results to analyze various specific examples of risk measures. Some of them have appeared in earlier papers, others are new.
2008
We extend earlier representation results for monetary risk measures on Orlicz hearts. Then we give general conditions for such risk measures to be Gâteaux-differentiable, strictly monotone with respect to almost sure inequality, strictly convex modulo translation, strictly convex modulo comonotonicity, or monotone with respect to different stochastic orders. The theoretical results are used to analyze various specific examples of risk measures.
2008
For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a mean-risk model. We prove that the higher the weight of the risk functional, the smaller the order quantity. Our theoretical results are confirmed by sample-based optimization.
2008
A sensitivity analysis concept is introduced for prospective reserves of individual life insurance contracts as deterministic mappings of the actuarial assumptions interest rate, mortality probability, disability probability, etc. Upon modeling these assumptions as functions on a real time line, the prospective reserve is here a mapping with infinite dimensional domain.
2008
In [Christiansen, M.C., 2007. A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension. Insurance: Math. Econom. doi:10.1016/j.insmatheco.2007.07.005] a sensitivity analysis concept was introduced for the prospective reserve of individual life insurance contracts as functional of the technical basis parameters such as interest rate, mortality probability, disability probability, et cetera.
2008
This paper considers the threat of climate change in the U.K., especially flooding, with regard to the impact that it will have on small and medium-sized enterprises and on the insurance industry itself and the role it plays. It examines the current situation facing the U.K. and then examines the responses being made to this and what can be done in the future to help resolve this issue.
2008
This article features a presentation and discussant comments on hurricane and wind insurance organized by Richard A. Derrig for the American Risk and Insurance Association (ARIA) 2007 Annual Meeting in Quebec City, Quebec, Canada. The moderator, RichardA.Derrig, is President ofOPALConsulting LLC, Providence, RI. Richard formed OPAL after retiring in 2004 from the Auto Insurers and Insurance Fraud Bureaus of Massachusetts.
2008
Climate change matters to the insurance sector. In terms of underwriting, on one scenario, the economic cost of weather losses could reach over 1 trillion USD in a single year by 2040. The impacts will be worse in developing countries. The private sector needs to work with the public sector, as part of a ‘‘triple dividend’’ approach that coordinates adaptation, disaster management and sustainable economic development.
2008
Tasche [Tasche, D., 1999. Risk contributions and performance measurement. Working paper, Technische Universität München] introduces a capital allocation principle where the capital allocated to each risk unit can be expressed in terms of its contribution to the conditional tail expectation (CTE) of the aggregate risk. Panjer [Panjer, H.H., 2002. Measurement of risk, solvency requirements and allocation of capital within financial conglomerates.
2008
We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial institution. We demonstrate that the subadditivity condition that is often imposed on solvency capital principles can lead to the undesirable situation where the shortfall risk increases by a merger. We propose to complement the subadditivity condition by a regulator's condition.
2008
The European Commission has recently published the Solvency II proposals with the objective to fundamentally review the insurance supervisory framework. We test the Solvency II framework against seven criteria developed by Cummins et al. describing how best to duplicate the operation of an efficient and complete market. We conclude that Solvency II satisfies most of these criteria.
2008
This paper reviews a number of recent surveys relevant to risk management by UK insurers. These include the results of four surveys specifically on UK insurers. Our findings suggest that the risk management practices of UK insurers are variable, generally behind best practices in adjacent sectors, and in some cases are a cause of concern. However, we also find that they have been improving significantly.
2008
Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility functions. A number of problems are identified with both types of spectral risk measure.
2008
Extreme Events, Global Warming, and Insurance-Linked Securities: How to Trigger the "Tipping Point"
Large-scale disasters have occurred at an accelerated rhythm in the past 5 years. Further, the continuous increase of exposed values in high-risk areas and the potential impact of global warming on the intensity of weather-related events shall accelerate the number and increase the scale of mega-catastrophes in the near future.
