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Optimal insurance for a minimal expected retention : the case of an ambiguity-seeking insurer
Amarante, Massimiliano; Ghossoub, Mario - In: Risks : open access journal 4 (2016) 1, pp. 1-27
beliefs represented by a non-additive probability measure, as in Schmeidler, this equivalence no longer holds. Recently … ambiguous beliefs. In particular, they showed that when the insurer is ambiguity-seeking, with a concave distortion of the … insured's probability measure, then the optimal indemnity schedule is a state-contingent deductible schedule, in which the …
Persistent link: https://www.econbiz.de/10011443689
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Money as insurance
Laurila, Hannu - In: Risks : open access journal 10 (2022) 12, pp. 1-13
cost of market deposits and increasing the cost of using cash as insurance against external uncertainty. …
Persistent link: https://www.econbiz.de/10014230960
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Custom v. standardized risk models
Kakushadze, Zura; Liew, Jim Kyung-Soo - In: Risks : open access journal 3 (2015) 2, pp. 112-138
We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is...
Persistent link: https://www.econbiz.de/10011299524
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Best-estimates in bond markets with reinvestment risk
MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276
The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...
Persistent link: https://www.econbiz.de/10011300314
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Surrounding risks
Steffensen, Mogens - In: Risks : open access journal 1 (2013) 1, pp. 43-44
incidentally and mercilessly, but the uncertainty of economic consequences can be more or less cleverly distributed by the …
Persistent link: https://www.econbiz.de/10009754658
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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, Riċardas - In: Risks : open access journal 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/10009754682
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Optimal deterministic investment strategies for insurers
Bäuerle, Nicole; Rieder, Ulrich - In: Risks : open access journal 1 (2013) 3, pp. 101-118
with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that …
Persistent link: https://www.econbiz.de/10010199019
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Optimal reinsurance : a risk sharing approach
Balbás de la Corte, Alejandro; Balbas, Beatriz; … - In: Risks : open access journal 1 (2013) 2, pp. 45-56
-null probability of “global ruin” after the design of the optimal risk sharing strategy. To overcome this caveat, one can use more …
Persistent link: https://www.econbiz.de/10010199029
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Publishing risks
Steffensen, Mogens - In: Risks : open access journal 2 (2014) 1, pp. 1-2
, innovation, and power of penetration. Creativity sessions and innovative tasks are most elegant and powerful when they are …
Persistent link: https://www.econbiz.de/10010338107
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Impact of climate change on heat wave risk
Biard, Romain; Blanchet-Scalliet, Christophette; … - In: Risks : open access journal 1 (2013) 3, pp. 176-191
We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk measure and its sensitivities can be computed in practice for relevant temperature stochastic processes. This is in particular useful for measuring the potential impact of...
Persistent link: https://www.econbiz.de/10010338320