Browse Research
Viewing 2351 to 2375 of 7695 results
2006
This paper proposes a multivariate extension of the equilibrium pricing transforms for pricing general financial and insurance risks. The multivariate Esscher and Wang transforms are derived from Bühlmann's equilibrium pricing model (1980) under some assumptions on the aggregate risk. It is shown that the Esscher and Wang transforms coincide with each other when the underlying risks are normally distributed.
2006
The paper investigates the demand for reinsurance in insurer risk management. The insurer's objective is to maximize shareholder value under a solvency constraint imposed by a regulatory authority. In a one period model of a regulated market where the required solvency level is fixed, an insurer is assumed to maintain solvency using two control variables: reinsurance and risk capital supplied by shareholders.
2006
We consider optimization problems for minimizing conditional value-at-risk (CVaR) from a computational point of view, with an emphasis on financial applications. As a general solution approach, we suggest to reformulate these CVaR optimization problems as two-stage recourse problems of stochastic programming. Specializing the L-shaped method leads to a new algorithm for minimizing conditional value-at-risk.
2006
Given the growing need for managing financial risk, risk prediction plays an increasing role in banking and finance. In this study we compare the out-of-sample performance of existing methods and some new models for predicting value-at-risk (VaR) in a univariate context.
2006
Hurricane Katrina illustrates the natural disaster syndrome. Prior to a disaster, individuals in hazard-prone regions do not voluntarily adopt cost-effective loss reduction measures. The federal government then comes to the rescue with disaster assistance even if it claimed it had no intention of doing so prior to the event. There are a number of reasons why individuals do not protect themselves prior to a disaster.
2006
The ICAPM is used to study the underwriting profit margin of the P/L insurance company, including the insurances of automobile damage, automobile liability and fire, in which the parameters are the symmetric or non-symmetric triangular fuzzy numbers. From the ten-year data of a company in Taiwan we determine the lower and upper limits associated with the various α-level of the fuzzy numbers.
2006
Catastrophe bonds feature full collateralization of the underlying risk transfer, and thus abandon the insurance principle of economizing on collateral through diversification.
2006
We study the asset-pricing implications of value-at-risk (VaR) regulation in incomplete continuous-time economies with intermediate expenditure, stochastic opportunity set, and heterogeneous attitudes to risk. Our findings show that because of an anticipatory effect of VaR constraints on the optimal hedging demand, the partial equilibrium incentives of VaR regulation can lead banks to increase their risk exposure in high-volatility states.
2006
Recent studies suggest that the conditional CAPM holds, period by period, and that time-variation in risk and expected returns can explain why the unconditional CAPM fails. In contrast, we argue that variation in betas and the equity premium would have to be implausibly large to explain important asset-pricing anomalies like momentum and the value premium.
2006
In the context of the quantitative requirements under pillar 1 of Solvency II, internal risk models quantify a specific company's risk position, that is, measure the risk capital it requires. Because the individual insurance company's situation is modelled, its risk landscape is reflected more accurately than if a standard model approach were used.
2006
Using a new measure of liquidity, this paper documents a significant liquidity premium robust to the CAPM and the Fama-French three-factor model and shows that liquidity is an important source of priced risk.
2006
We derive an intertemporal asset pricing model and explore its implications for trading volume and asset returns. We show that investors trade in only two portfolios: the market portfolio, and a hedging portfolio that is used to hedge the risk of changing market conditions. We empirically identify the hedging portfolio using weekly volume and returns data for U.S.
2006
We propose an estimation procedure for value-at-risk (VaR) and expected shortfall (TailVaR) for conditional distributions of a time series of returns on a financial asset. Our approach combines a local polynomial estimator of conditional mean and volatility functions in a conditional heterocedastic autoregressive nonlinear (CHARN) model with Extreme Value Theory for estimating quantiles of the conditional distribution.
2006
Portfolio value-at-risk (PVAR) is widely used in practice, but recent criticisms have focused on risks arising from biased PVAR estimates due to model specification errors and other problems.
2006
Due to published statistical analyses of operational risk data, methodological approaches to the AMA modeling of operational risk can be discussed more in detail. In this paper we raise some issues concerning correlation (or diversification) effects, the use of extreme value theory and the overall quantitative risk management consequences of extremely heavy-tailed data. We especially highlight issues around infinite mean models.
2006
Measures of risk appear in two categories: Risk capital measures serve to determine the necessary amount of risk capital in order to avoid ruin if the outcomes of an economic activity are uncertain and their negative values may be interpreted as acceptability measures (safety measures). Pure risk measures (risk deviation measures) are natural generalizations of the standard deviation.
2006
This paper aims at examining risk perception, worry and demand for risk mitigation in transport and to compare judgements made by lay people, politicians and experts. The results are based on three questionnaire surveys carried out during autumn and winter 2004.
2006
These lecture notes give a survey on recent developments in the theory of risk measures. The first part outlines the general representation theory of risk measures in a static one-period setting. In particular, it provides structure theorems for law-invariant risk measures. Examples include Value at Risk, Average Value at Risk, distortion risk measures, and risk measures arising from robust preferences.
2006
Insurance companies sell products without knowing what the ultimate costs will be. Moreover, in many cases the time between receipt of premium and the payment of claims could span many years. To manage the risk that companies have assumed, they need special tools to monitor the ongoing profitability of their products. In this paper we introduce one tool—retrospective analysis—to monitor profitability.
2006
The aim of this paper is to test the performance of capital asset pricing model (CAPM) in an evolutionary framework.
2006
Societal conflicts with regard to risk management are common. The public has different beliefs than many experts and administrators with regard to such issues as the citing of a repository for spent nuclear fuel or whether genetically modified organisms should be allowed to enter the human food chain. As a result, political tensions arise and there may be a skew allocation of resources for risk mitigation.
2006
Natural disasters and the challenge of extreme events: risk management from an insurance perspective
Loss statistics for natural disasters demonstrate, also after correction for inflation, a dramatic increase of the loss burden since 1950. This increase is driven by a concentration of population and values in urban areas, the development of highly exposed coastal and valley regions, the complexity of modern societies and technologies and probably, also by the beginning consequences of global warming.
2006
Frechet bounds for distribution of sum of dependent risks and Farlie-Gumbel-Morgenstein (FGM) distribution family are suggested for the analysis of dependent risks. Behaviour of the coefficient of dependency in FGM distribution is investigated by fuzzy approach. Deliberations are made for the dependency and uncertainty context.
2006
In Germany, flood insurance is provided by private insurers as a supplement to building or contents insurance. This article presents the results of a survey of insurance companies with regard to eligibility conditions for flood insurance changes after August 2002, when a severe flood caused 1.8 billion euro of insured losses in the Elbe and the Danube catchment areas, and the general role of insurance in flood risk management in Germany.
2006
Summary In this paper we analyze the value creation for an insurance company. We concentrate only on the underwriting risk. We use a multivariate normal random vector in order to model the underwriting risk of the insurer. Our model accounts for correlations between risks and between lines of business.
