Browse Research
Viewing 2376 to 2400 of 7695 results
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.
2006
Hurricane Katrina not only devastated a large area of the nation's Gulf coast, it also raised fundamental questions about ways the nation can, and should, deal with the inevitable problems of economic risk and social responsibility. This volume gathers leading experts to examine lessons that Hurricane Katrina teaches us about better assessing, perceiving, and managing risks from future disasters.
2006
We propose a new decision criterion under risk in which people extract both utility from anticipatory feelings ex ante and disutility from disappointment ex post. The decision maker chooses his degree of optimism, given that more optimism raises both the utility of ex ante feelings and the risk of disappointment ex post.
2006
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and, except for having to choose a window length L for the bias-correction step, fully data driven.
2005
Renshaw and Verrall [11] specified the generalized linear model (GLM) underlying the chain-ladder technique and suggested some other GLMs which might be useful in claims reserving. The purpose of this paper is to construct bounds for the discounted loss reserve within the framework of GLMs.
2005
A multiperiod model is developed to measure the costs posed to the guaranty fund in a setting that incorporates risk-based capital regulations, interest rate risk and the possibility of catastrophic losses. The guaranty contract is modeled as a put option on the asset of the insurance company with a stochastic strike price and an uncertain maturity.
2005
This paper is aimed at the practicing actuary to introduce the theory of extreme values and a financial framework to price excess-of-loss reinsurance treaties. We introduce the reader to extreme value theory via the classical central limit theorem. Two key results in extreme value theory are presented and illustrated with concrete examples.
2005
Reinsurers typically face two problems when they want to use insurer claim severity experience to experience rate their liability excess of loss treaties. First, the claim severity data has insufficient volume to make credible projections of excess layer costs. Second, the data they do receive is not fully developed. Most claims that pierce the excess layers can take at least a few years to settle.
2005
Renshaw and Verrall specified the generalized linear model (GLM) underlying the chain-ladder technique and suggested some other GLMs which might be useful in claims reserving. The purpose of this paper is to construct bounds for the discounted loss reserve within the framework of GLMs.
2005
Motivation: Data Warehouses and Data Marts increase the power and efficiency of an Insurance company’s Business Intelligence capabilities by supporting queries, OLAP and data mining. Web-enabling of these applications makes them more user-friendly. The potential benefits greatly outweigh the costs.
2005
This paper tells of the importance of capital for insurance companies and how, as a result of the crises of 2000-2003, they have learned to better manage their capital and risk.
2005
In a recent paper, Salminen and Yor relate the distribution of the Dufresne's reflected perpetuity where Bµ is Brownian motion with drift µ>0, to the hitting time of a reflected Bessel process. In this contribution, we adapt the results of Salminen and Yor in several ways. First, we use spectral theory to obtain a series expansion for the distribution of I+ that renders this quantity applicable to actuarial purposes.
2005
Capital allocation techniques are of central importance in portfolio management and risk-based performance measurement. In this paper we propose an axiom system for capital allocation and analyze its satisfiability and completeness: it is shown that for a given risk measure 03C1 there exists a capital allocation 039B03C1 that satisfies the main axioms if and only if 03C1 is subadditive and positively homogeneous.
2005
The purpose of this study note is to explain the key accounting concepts and issues in the recording and evaluation of premium information, specifically with regard to financial reports.
2005
A general formulation of risk load for total cash flows is presented. It allows completely additive co-measures at any level of detail for any dependency structure between random variables constituting the total.
2005
When insurance claims are governed by fat-tailed distributions considerable uncertainty about the value of the tail-index is often inescapable. In this paper, using the theory of risk aversion, a new premium principle (the power principle - analogous to the exponential principle for thin-tailed claims) is established and its properties investigated.
2005
The paper discusses the development and operation of terrorism insurance programmes established in France, Germany and the U.S as reaction to 9/11. These three programmes are all based upon a public-private partnership with government backup. However, there are some fundamental differences regarding issues such as exclusions, price differentiation, risk mutualization, current level of terrorism insurance demand and the government exit strategy.
2005
The large number of high severity D&O losses of the past few years has affected the D&O market place creating a serious capacity crunch. The pricing of this line of business has increased dramatically while restricting coverage. This paper will present an objective methodology based on financial market theory to quantify the risk of writing a large D&O reinsurance portfolio.
2005
We consider a class of compound renewal (Sparre Andersen) risk process with claim inter-arrival times having a discrete Km distribution, i.e., the probability generating function (p.g.f.) of its distribution function is a ratio of two polynomials of order . The classical compound binomial risk model is a special case when m=1. Li [16] gives a recursive formula for the Gerber-Shiu function.
2005
Phase-type distributions, defined as the distributions of absorption times of certain Markov jump processes, constitue a class of distributions on the positive real axis which seems sto strike a balance between generality and tractability.
