Browse Research
Viewing 1976 to 2000 of 7695 results
2008
The cyclical disconnect between demand and supply for reinsurance protection from natural catastrophe risks led insurers to look for solutions outside of the traditional insurance markets.
2008
Due to the highly skewed and heavy-tailed distributions associated with the insurance claims process, we evaluate the Rubinstein-Leland (RL) model for its ability to improve the cost of equity estimates of insurance companies because of its distribution-free feature.
2008
Previous studies identify limited potential efficacy of weather derivatives in hedging agricultural exposures. In contrast to earlier studies which investigate the problem at low levels of aggregation, we find that better weather hedging opportunities may exist at higher levels of spatial aggregation.
2008
This paper investigates the optimal design of weather bonds for reinsurance purposes. The motivation for this task comes from an empirical study showing that German farmers are not willing to pay the premiums for weather insurance that insurers ask for.
2008
Enterprise risk management has become a major focus for insrurers and reinsurers, Capitalization and pricing decisions are recognized as critical to firm value maximization.
2008
This paper develops a financial model of insurance pricing that is able to price insurance by line in a multi-line property & casualty insurance company based on the Full Information Underwriting Beta Methodology. It extends the existing literature in insurance pricing in that the model is suitable for multi-line pricing and rejects the systematic risk of different business lines.
2008
In this note we describe some important default risk mitigation mechanisms employed in derivatives markets. We focus on those mitigation mechanisms that differ across contracts traded in today's derivatives markets. We analyze netting, margining, rehypothecation, and central counterparties.
2008
In this article, I evaluate the relative performance of momentum, size and book-to-market factors versus higher systematic co-moments in explaining the cross-section of returns, using both the OLS and GLS estimations, and tests whether the momentum factor (WML) proxies for higher co-moments.
2008
This paper examines the two-factor model of Liu (2006) using the recent CRSP compilation of daily trading volume data between 1926 and 1962. I find that the liquidity premium is as strong for the early period as for the post 1963-period, and it is the most significant and persistent premium compared with those associated with size, book-to-market, turnover, return-to-volume ratio, and past return.
2008
Worldwide banks are keen to find ways of effectively measuring and managing operational risk , yet many find themselves poorly equipped to do this. Operational risk includes concerns about such issues as transaction processing errors, liability situations, and back-office failure.
2008
This book provides introductory material about enterprise risk management, and the role of risk in decision making. It presents enterprise risk management from perspectives of finance, accounting, insurance, supply chain operations, and project management.
2008
It is a challenging task to read the balance sheet of an insurance company.This derives from the fact that different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market prices whereas liabilities are often measured by established actuarial methods."Market-Consistent Actuarial Valuation" presents powerful methods to measure liabilities and assets in the same way.
2008
This landmark book covers a range of issues concerning the consequences of terrorist attacks. Beginning with a discussion of new policies and strategies, it then delves into specific areas of concern, modelling a range of possible scenarios and ways to mitigate or pre-empt damages.
2008
Solvency II is being developed by the European Union in response to a desire harmonise insurance supervision and to effect greater consistency across the measurement of assets and liabililities of insurance companies across the European Union. Also it will improve the link between minimum solvency and the risks borne by EU insurance firms.
2008
The price of catastrophe risks is viewed by many to be too high and/or too volatile. Catastrophe risk practitioners point out that, contrary to standard insurance, such as automobile insurance, catastrophe re-insurance is exposed to infrequent but potentially very large losses. It thus requires keeping a large amount of capital in hand, generating a cost of capital to be added to the long-term expected loss.
2007
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties.
2007
This brief review paper covers the use of risk measures for assessing economic capital requirements and considers the problem of allocating aggregate capital to sub-portfolios.
2007
The formulation of generalized linear models in Klugman, Panjer and Willmot (2004) is a bit more general than is often seen, in that the residuals are not restricted to following a member of the exponential family. Some of the distributions this allows have potentially useful applications. The cost is that there is no longer a single form for the likelihood function, so each has to be fit directly.
2007
The objective of this paper is to present an analysis of a bonus-malus system (BMS) within the framework of the theory of ergodic Markov set-chains. It is shown that this type of Markov chains enables the evaluation of BMS, even in steady-state, under the assumption that transition probabilities change in a definite range. We introduce a model that allows the determination of the consequences of changes in the claim frequency of a policyholder.
2007
In this study, we propose a flexible and comprehensive iteration algorithm called “general iteration algorithm” (GIA) to model insurance ratemaking data.
2007
The formulation of generalized linear models in Loss Models by Klugman, Panjer, and Willmot [5] is a bit more general than is often seen, in that the residuals are not restricted to following a member of the exponential family. Some of the distributions this allows have potentially useful applications. The cost is that there is no longer a single form for the likelihood function, so each has to be fit directly.
2007
This paper covers experiences in modeling mortgage insurance claims. In Section 2, mortgage insurance claims are considered an absorbing state in a Markov chain that involves transitions between the states of healthy, in arrears, property in possession, property sold, loan discharged, and claim.
2007
Starting in the 1990's many of the larger US personal lines carriers began to implement predictive modeling techniques in the form of generalized linear modeling (GLM). Because of the early success realized by those companies, the vast majority of companies are now rushing to employ these techniques too.
2007
The Practitioner's Guide to Generalized Linear Models is written for the practicing actuary who would like to understand generalized linear models (GLMs) and use them to analyze insurance data. The guide is divided into three sections.
SECTION 1. Provides a foundation for the statistical theory and gives illustrative examples and intuitive explanations which clarify the theory.
