Showing 1 - 10 of 163
Nat Cat risks are not insurable by traditional insurance mainly because of producing highly correlated losses. The source of such correlation among buildings of a region subject to a natural hazard is discussed. A decomposition method is proposed to split Nat Cat risk into idiosyncratic (and...
Persistent link: https://www.econbiz.de/10012705095
determinants of the wiped-off coupon and principal by both the magnitude and intensity of the natural disaster events involved. As … the trigger indicators resulting from the potential catastrophic disaster might be associated with heavy-tailed margins …
Persistent link: https://www.econbiz.de/10014370493
Shot-noise processes generalize compound Poisson processes in the following way: a jump (the shot) is followed by a decline (noise). This constitutes a useful model for insurance claims in many circumstances; claims due to natural disasters or self-exciting processes exhibit similar features. We...
Persistent link: https://www.econbiz.de/10010338102
This paper models the gradual elements of catastrophic events on non-life insurance capital with a particular focus on the impact of pandemics, such as COVID-19. A combination of actuarial and epidemiological models are handled by the Markovian probabilistic approach, with Feynman's path...
Persistent link: https://www.econbiz.de/10012391664
The aim of this paper is to merge order statistics with natural catastrophe reinsurance pricing to develop new theoretical and practical insights relevant to market practice and model development. We present a novel framework to quantify the role that occurrence losses (order statistics) play in...
Persistent link: https://www.econbiz.de/10012508519
mechanisms by studying the feedback loops governing complex systems connected to the disaster insurance mechanism. Instead of … addressing the disaster's underlying risk, the traditional disaster insurance strategy largely focuses on providing financial … security for asset recovery after a disaster. This constraint becomes especially concerning as the threat of climate …
Persistent link: https://www.econbiz.de/10014497445
This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalization of common reinsurance methodologies...
Persistent link: https://www.econbiz.de/10014246287
change. This increase has an impact on the disaster insurance field, particularly in the calculation of premiums. Many … growth. Therefore, this research aims to develop premium models of natural disaster insurance that uniquely involve two new …, this study uses the model to estimate the premiums for natural disaster insurance in each province of Indonesia. The …
Persistent link: https://www.econbiz.de/10014637187
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 …
Persistent link: https://www.econbiz.de/10011783323
Our objective is to test for evidence of information asymmetry in the mortgage servicing market. Does the sale of mortgage servicing rights (MSR) by the initial lender to a second servicing institution unveil any residual asymmetric information? We are the first to analyze the originator's...
Persistent link: https://www.econbiz.de/10015327697