Showing 1 - 10 of 101
to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk … loss distribution. The findings show that our VaR estimations are able to capture the tail risk and react to market …
Persistent link: https://www.econbiz.de/10011811561
Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult … by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and … allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail …
Persistent link: https://www.econbiz.de/10009754682
An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities … and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a … corresponding set of axioms which are well suited to analyze the risk due to events having a spatial extent, precisely such as …
Persistent link: https://www.econbiz.de/10012019126
mortality model and premium principle choice on the pricing, risk measurement, and modeling of survivor contracts. We present a …As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such … as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on …
Persistent link: https://www.econbiz.de/10015334597
margins for systematic biometric and financial risk are in practice typically chosen as time-constant percentages on top of … the best estimate transition intensities. We develop a risk-oriented method for the allocation of a total safety margin to …
Persistent link: https://www.econbiz.de/10010482069
result in a reduction in expected costs and equivalence premiums. However, due to the different impact of longevity risk on …, time restrictions reduce the duration of the provider’s liability, which should therefore be less exposed to financial risk … time frames for life annuity arrangements, first addressing longevity risk only, and then including also financial risk …
Persistent link: https://www.econbiz.de/10013365604
This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life …
Persistent link: https://www.econbiz.de/10012203435
framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … sensitivity analysis framework suitable for risk models. …
Persistent link: https://www.econbiz.de/10013364877
While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk …. In this paper, we introduce a new risk indicator that extends TCE to take into account higher-order risks. We compare the …
Persistent link: https://www.econbiz.de/10013368509
compound Hawkes process (GCHP), and for a capital R(t) (risk process) of an insurance company with the amount of claims … described by the risk model based on GCHP. The main approach in both cases is to use functional central limit theorem for the …
Persistent link: https://www.econbiz.de/10012598381