Browse Research
Viewing 2351 to 2375 of 7690 results
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.
2006
In this paper it is proved that a concave distortion function is a necessary and sufficient condition for coherence, and a strictly concave distortion function is a necessary and sufficient condition for strict consistency with second order stochastic dominance.
2006
When utility is nonseparable in nondurable and durable consumption and the elasticity of substitution between the two consumption goods is sufficiently high, marginal utility rises when durable consumption falls. The model explains both the cross-sectional variation in expected stock returns and the time variation in the equity premium.
2006
We model tipping as a game-theoretic phenomenon and investigate the connection between supermodular games, tipping of equilibria and cascading, and apply the results to issues that arise in the context of homeland security and computer security. We show that tipping and cascading can occur in supermodular games and that "increasing differences"is a sufficient condition for tipping. Supermodularity and tipping of equilibria are closely related.
2006
Discover how to optimize business strategies from both qualitative and quantitative points of view Operational Risk: Modeling Analytics is organized around the principle that the analysis of operational risk consists, in part, of the collection of data and the building of mathematical models to describe risk.
