Browse Research
Viewing 1926 to 1950 of 7695 results
2008
The study of natural catastrophe models plays an important role in the prevention and mitigation of disasters. After the occurrence of a natural disaster, the reconstruction can be financed with catastrophe bonds (CAT bonds) or reinsurance.
2008
We develop a model for markets for catastrophic risk. The model explains why insurance providers may choose not to offer insurance for catastrophic risks and not to participate in reinsurance markets, even though there is a large enough market capacity to reach full risk sharing through diversification in a reinsurance market. This is a nondiversification trap.
2008
This paper proposes long-term insurance (LTI) as an alternative to the standard annual homeowners policy using lessons from the mortgage market as a benchmark. LTI has the potential to significantly increase social welfare by reducing insurers‘ administrative costs, lowering search costs and uncertainty for consumers and providing incentives for long-term investment in mitigation measures to protect property.
2008
The recent epidemiologic and clinical literature is filled with studies evaluating statistical models for predicting disease or some other adverse event. Risk stratification tables are a new way to evaluate the benefit of adding a new risk marker to a risk prediction model that includes an established set of markers. This approach involves cross-tabulating risk predictions from models with and without the new marker.
2008
To quantify the aggregate losses from operational risk, we employ an actuarial risk model, ie, we consider the compound Cox model of operational risk to deal with the stochastic nature of its frequency rate in real situations. A shot noise process is used for this purpose. A compound Poisson model is also considered as its counterpart for the case where the operational loss frequency rate is deterministic.
2008
The valuation of options embedded in insurance contracts using concepts from financial mathematics (in particular, from option pricing theory), typically referred to as fair valuation, has recently attracted considerable interest in academia as well as among practitioners.
2008
This study examines the relationship between regulatory intervention in private Canadian auto insurance markets and the size of the involuntary market, insured losses and industry wide loss ratios. Fundamentally, the Canadian experience is significantly different from the U.S. experience. The presence of prior-approval regulation does not impact the size of involuntary markets in Canada.
2008
This paper proposes a risk-based explanation for the accrual anomaly. Risk is measured using a four-factor model motivated by the Intertemporal Capital Asset Pricing Model. Tests of the model suggest that a considerable portion of the cross-sectional variation in average returns to high and low accrual firms is explained by risk.
2008
It is well known that the Wang transform [Wang, S.S., 2002. A universal framework for pricing financial and insurance risks. Astin Bull. 32, 213-234] for the pricing of financial and insurance risks is derived from Bühlmann's economic premium principle [Bühlmann, H., 1980. An economic premium principle. Astin Bull. 11, 52-60]. The transform is extended to the multivariate setting by [Kijima M., 2006.
2008
This paper analyzes the regulation of property insurance markets affected by the risk of hurricanes in the US and initiates an exploration of the political economy of catastrophe risk. The severe storm seasons of 2004-2005 and subsequent market developments prompted a range of government reactions in various states. The paper examines the interaction of catastrophe risk, loss shocks, insurance market responses, and government actions.
2008
We consider an insurance risk model for the cashflow of an insurance company, which invests its reserve into a portfolio consisting of risky and riskless assets. The price of the risky asset is modeled by an exponential Lévy process. We derive the integrated risk process and the corresponding discounted net loss process. We calculate certain quantities as characteristic functions and moments.
2008
Hyman P. Minsky’s financial fragility hypothesis appears highly relevant in understanding the current crisis in the financial systems of developed countries.
2008
We theoretically and empirically investigate the role of information on the cross section of stock returns and firms' cost of capital when investors face estimation risk and learn from noisy signals of uncertain quality. The resultant equilibrium is an information-dependent conditional CAPM. We find strong empirical support for the model.
2008
This paper examines the role that insurance and mitigation can play in reducing losses from natural disasters using data collected as part of a large-scale study on catastrophic risk jointly undertaken by the Wharton Risk Management Center in conjunction with Georgia State University and the Insurance Information Institute.
2008
Empirical research has demonstrated that a lower feedback frequency combined with a longer period of commitment decreases myopia and thereby increases the willingness to invest in a risky asset. In an experimental study, we disentangle the intertwined manipulation of feedback frequency and commitment to analyze how each individual variable contributes to the change in myopia and how they interact.
2008
On September 14, 2005, a press report announced the Mississippi Attorney General’s intention to file a suit against the insurance industry forcing homeowners’ insurers to pay flood damage claims despite the standard water damage exclusion. This increase in uncertainty regarding whether insurance contracts would be upheld in Mississippi resulted in an increase in political risk.
2008
Using a sample of property–liability insurers over the period 1995–2004, we develop and test a model that explains performance as a function of line-of-business diversification and other correlates. Our results indicate that undiversified insurers consistently outperform diversified insurers. In terms of accounting performance, we find a diversification penalty of at least 1 percent of return on assets or 2 percent of return on equity.
2008
Securitization with payments linked to explicit mortality events provides a new investment opportunity to investors and financial institutions. Moreover, mortality-linked securities provide an alternative risk management tool for insurers. As a step toward understanding these securities, we develop an asset pricing model for mortality-based securities in an incomplete market framework with jump processes.
2008
The consumption-based CAPM pricing rule is sometimes interpreted as implying that the price of an asset with a random payoff falls short of its expected payoff if and only if the random payoff positively correlates with consumption. This note demonstrates that this interpretation to C-CAPM is not generally correct. More importantly, it investigates under what qualifications this intuitive interpretation still holds.
2008
This paper assumes that the underlying aggregate catastrophe claims process is the compound Poisson process and applies the recursive evaluation approach to compute the compound Poisson distribution. A novel, practical pricing model is developed for catastrophe insurance derivatives.
2008
This study investigates optimal production and hedging decisions for firms facing price risk that can be hedged with vulnerable contracts, i.e., exposed to nonhedgeable endogenous counterparty credit risk. When vulnerable forward contracts are the only hedging instruments available, the firm's optimal level of production is lower than without credit risk.
2008
The relation between the excess return of each security and its beta, where beta is defined as its regression against the return on the market portfolio, is linear in the Sharpe-Lintner capital asset pricing model. This linear relation is often interpreted to mean that CAPM investors are paid for bearing systematic risk.
2008
Climate change is already affecting the global insurance industry. These changes are often seen as being negative, although opportunities also exist. Other areas of insurance coverage may also be affected in addition to property damage. The potential for third-party liability claims from climate change is less well understood but has even greater potential to affect the industry.
2008
We assume that the claims liability process satisfies the distribution-free chain-ladder model assumptions. For claims reserving at time I we predict the total ultimate claim with the information available at time I and, similarly, at time I +1 we predict the same total ultimate claim with the (updated) information available at time I +1.
