Browse Research
Viewing 2176 to 2200 of 7695 results
2007
The recent trend in estimating Value-at-Risk for modern and increasingly complex portfolios is the introduction of conditional models accounting for the heteroscedasticity of market risk factors. In this work, the introduction of complex methodologies is justified in relation to the dynamical characteristics of portfolios, represented by the concept of entropy.
2007
We develop and test a statistical model to identify Australian general insurers experiencing financial distress over the 1999–2001 period. Using a logit model and two measures of financial distress we are able to predict, with reasonable confidence, the insurers more likely to be distressed. They are generally small and have low return on assets and cession ratios.
2007
What is the effect of non-tradeable idiosyncratic risk on asset-market risk premiums? Constantinides and Duffie [Constantinides, G.M., Duffie, D., 1996. Asset pricing with heterogeneous consumers. Journal of Political Economy 104, 219-240] and Mankiw [Mankiw, N.G., 1986. The equity premium and the concentration of aggregate shocks.
2007
Equity capital allocation plays a particularly important role for financial institutions such as banks, who issue equity infrequently but have continuous access to debt capital. In such a context this paper shows that EVA and RAROC based capital budgeting mechanisms have economic foundations.
2007
This purpose of this study is to compare the results of several risk allocation methods for a realistic insurance company example. The basis for the study is the fitted loss distributions of Bohra and Weist (2001), which were derived from the hypothetical data for DFA Insurance Company (DFAIC). This hypothetical data was distributed by the Casualty Actuarial Society's Committee on Dynamic Financial Analysis, as part of its 2001 call for papers.
2007
This paper presents a field study into the effects of statistical information concerning risks on willingness to take insurance, with special attention being paid to the usefulness of these effects for the clients (the insured). Unlike many academic studies, we were able to use in-depth individual interviews of a large representative sample from the general public (N = 476).
2007
This paper discusses methods of risk neutralizing statistical distributions by applying exponential tilting of the probability density of a risk X, with respect to a reference risk Y. It proposes a normalization procedure based on percentile matching to convert the reference risk Y to a standard normal variable Z. The resulting normalized exponential tilting extends classic theories of pricing risks, including CAPM and the Black- Merton-Scholes.
2007
Catastrophic events like Hurricane Andrew and Hurricane Katrina can result in mega property insurance claims that can wipe out a fledgling insurance or reinsurance company and shake up the balance sheets of the stronger ones. The scarcity of reinsurance industry capacity and appetite for certain risks has resulted in insurance companies and others seeking capital markets solutions to obtain needed insurance or reinsurance capacity.
2007
This article uses the FIGARCH(1,d,1) models to calculate daily Value-at-Risk (VaR) for T-bond interest rate futures returns of long and short trading positions based on the normal, Student-t, and skewed Student-t innovations distributions.
2007
For insurers and reinsurers, economic capital has become central to enterprise risk management and is used in financial decision-making including by-line pricing and capital allocation. The Value-at-Risk (VaR) measure is widely used for determining economic capital.
2007
In this paper, we establish a premium principle that calculates the premium as the sum of present values of claim liability, normal business expense, income tax and frictional cost. The principle provides a "fair" premium in the sense that it generates a fair return on capital. In other words, it automatically produces the correct cost of equity capital without knowing its value.
2007
The 9/11 attacks in the United States, as well as other attacks in different parts of the world, raise important questions related to the economic impact of terrorism. What are the most effective ways for a country to recover from these economic losses? Who should pay for the costs of future large-scale attacks? To address these two questions, we propose five principles to evaluate alternative programs.
2007
Although the importance of infrastructure sectors in achieving economic growth and poverty reduction is well established, raising debt and equity capital for infrastructure development and service provision has been a challenge for developing countries.
2007
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion functions underlying spectral risk measures. This paper addresses this issue by examining two popular risk aversion functions, based on exponential and power utility functions respectively.
2006
Coinsurance in insurance provided jointly with another or others. In primary property insurance, coinsurance is an arrangement by which the insurer and the insured share, in a specific ratio, payment for losses covered by the policy, after the deductible is met. Under a coinusrance arrangement, the person insured by the primary policy is regarded as a joint insurer and becomes jointly and proportionately responsible for losses.
2006
We analyze the pricing and hedging of catastrophe put options under stochastic interest rates with losses generated by a compound Poisson process. Asset prices are modeled through a jump-diffusion process which is correlated to the loss process. We obtain explicit closed form formulae for the price of the option, and the hedging parameters Delta, Gamma and Rho.
2006
In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models - studied in mathematical finance for several decades - have attracted attention in stochastic programming. We consider Conditional Value-at-Risk as risk measure in the framework of two-stage stochastic integer programming. The paper addresses structure, stability, and algorithms for this class of models.
2006
We investigate the problem of consistency of risk measures with respect to usual stochastic order and convex order. It is shown that under weak regularity conditions risk measures preserve these stochastic orders. This result is used to derive bounds for risk measures of portfolios. As a by-product, we extend the characterization of coherent, law-invariant risk measures with the Fatou property to unbounded random variables.
2006
In this article, we consider the evolution of the post-age-60 mortality curve in the United Kingdom and its impact on the pricing of the risk associated with aggregate mortality improvements over time: so-called longevity risk. We introduce a two-factor stochastic model for the development of this curve through time.
2006
This paper extends the methods introduced in England & Verrall (2002), and shows how predictive distributions of outstanding liabilities in general insurance can be obtained using bootstrap or Bayesian techniques for clearly defined statistical models. A general procedure for bootstrapping is described, by extending the methods introduced in England & Verrall (1999), England (2002) and Pinheiro et al. (2003).
2006
Kaas, Dannenburg & Goovaerts (1997) generalized Jewell's theorem on exact credibility, from the classical Bühlmann model to the (weighted) Bühlmann-Straub model. We extend this result further to the "Bühlmann-Straub model with a priori differences" (Bühlmann & Gisler, 2005).
2006
Motivation: Thousands of variables are contained in insurance data warehouses. In addition, external sources of information could be attached to the data contained in data warehouses. When actuaries build a predictive model, they are confronted with redundant variables which reduce the model efficiency (time to develop the model, interpretation of the results, and inflate variance of the estimates).
