Showing 1 - 10 of 192
This paper provides a complete program for the valuation of aggregate non-life insurance liability cash flows based on … claims triangle data. The valuation is fully consistent with the principle of valuation by considering the costs associated … with a transfer of the liability to a so-called reference undertaking subject to capital requirements throughout the runoff …
Persistent link: https://www.econbiz.de/10011688265
innovation project. These specifically concern the choices of the methods of attribution of indirect costs in innovation projects … of a matrix of correspondence for a set of costs by the stages of an innovation project (event-based matrix accounting …
Persistent link: https://www.econbiz.de/10012632031
The use of personalization mechanisms should allow the insurance distributor to reduce exploration costs and adjust the … liability should be allocated when the process of the personalization of an insurance product does not result in the client … Directive (IDD). From the consumer's perspective, our analysis makes the case for the insurance distributor's liability for …
Persistent link: https://www.econbiz.de/10012508803
cost of market deposits and increasing the cost of using cash as insurance against external uncertainty. …
Persistent link: https://www.econbiz.de/10014230960
.) increase noise trades and trading costs; (2) arbitrary risk factors can neutralize alpha; (3) "standardized" industries are …
Persistent link: https://www.econbiz.de/10011299524
market with reinvestment risk, since in this case the total liability cannot easily be separated into hedgeable and non …
Persistent link: https://www.econbiz.de/10011300314
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
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
We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the...
Persistent link: https://www.econbiz.de/10010199019
This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them all. Numerical examples are given in order to...
Persistent link: https://www.econbiz.de/10010199029