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The combined stop-loss and quota-share reinsurance : conditional tail expectation-based optimization from the joint perspective of insurer and reinsurer

Syuhada, Khreshna; Hakim, Arief; Sari, Suci - In: Risks : open access journal 9 (2021) 7, pp. 1-21

In the presence of reinsurance, an insurer may effectively reduce its (aggregated) loss by partially ceding such a loss … to a reinsurer. Stop-loss and quota-share reinsurance contracts are commonly agreed between these two parties. In this … are firstly investigated. Optimizing such a reinsurance design is then carried out from the joint perspective of the …

Persistent link: https://www.econbiz.de/10012598952

Optimal form of retention for securitized loans under moral hazard

Dionne, Georges; Malekan, Sara - In: Risks 5 (2017) 4, pp. 1-13

We address the moral hazard problem of securitization using a principal-agent model where the investor is the principal and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement (tranching) procedure. We assume that the originator can...

Persistent link: https://www.econbiz.de/10011996550

Optimal form of retention for securitized loans under moral hazard

Dionne, Georges; Malekan, Sara - In: Risks : open access journal 5 (2017) 4, pp. 1-13

Persistent link: https://www.econbiz.de/10011783323

Securitization and Optimal Retention under Moral Hazard

Malekan, Sara; Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2012

Securitization is one of the most important innovations in financial markets. It is a process of converting illiquid loans that cannot be sold readily to third-party investors into liquid securities and selling them to dispersed investors. As a result, securitization improves liquidity in...

Persistent link: https://www.econbiz.de/10010541212

Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations

Chen, Qian - 2011

Forecasting financial risk and risk measurement methods have been of increasing interest for financial market regulators and financial institutions in the past two decades. While the parametric and semi-parametric models have been widely reviewed in the academic literature, the non-parametric...

Persistent link: https://www.econbiz.de/10009480085

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk: The multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riçcardas - In: Risks 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10010421285

Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed bene ts. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010491391

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010464782

Market-implied systemic risk and shadow capital adequacy

Chatterjee, Somnath; Jobst, Andreas A. - 2019

Persistent link: https://www.econbiz.de/10012202397

Estimation of Zenga's new index of economic inequality in heavy tailed populations

Greselin, Francesca; Pasquazzi, Leo - Volkswirtschaftliche Fakultät, … - 2011

In this work we propose a new estimator for Zenga's inequality measure in heavy tailed populations. The new estimator is based on the Weissman estimator for high quantiles. We will show that, under fairly general conditions, it has asymptotic normal distribution. Further we present the results...

Persistent link: https://www.econbiz.de/10009644149

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