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Reliability of seismic performance assessments for individual buildings and portfolios

Thiel, Charles C.; Zsutty, Theodore C.; Lee, Yajie J. - In: Risks : open access journal 9 (2021) 7, pp. 1-46

uncertainties for such assessments. The essential issue is whether or not there is sufficient reliability in the result to use the … developed for evaluating the reliability of performance and/or loss assessments for both individual and portfolios of buildings … reliability measure is likely to be most useful for determining whether/or not a building has acceptable life safety performance …

Persistent link: https://www.econbiz.de/10012598979

A two-account life insurance model for scenario-based valuation including event risk

Jensen, Ninna Reitzel; Schomacker, Kristian Juul - In: Risks : open access journal 3 (2015) 2, pp. 183-218

Using a two-account model with event risk, we model life insurance contracts taking into account both guaranteed and non-guaranteed payments in participating life insurance as well as in unit-linked insurance. Here, event risk is used as a generic term for life insurance events, such as death,...

Persistent link: https://www.econbiz.de/10011300329

Gaussian and affine approximation of stochastic diffusion models for interest and mortality rates

Christiansen, Marcus C. - In: Risks : open access journal 1 (2013) 3, pp. 81-100

In the actuarial literature, it has become common practice to model future capital returns and mortality rates stochastically in order to capture market risk and forecasting risk. Although interest rates often should and mortality rates always have to be non-negative, many authors use stochastic...

Persistent link: https://www.econbiz.de/10010199021

Modeling and performance of bonus-malus systems : stationarity versus age-correction

Asmussen, Søren - In: Risks : open access journal 2 (2014) 1, pp. 49-73

In a bonus-malus system in car insurance, the bonus class of a customer is updated from one year to the next as a function of the current class and the number of claims in the year (assumed Poisson). Thus the sequence of classes of a customer in consecutive years forms a Markov chain, and most...

Persistent link: https://www.econbiz.de/10010338093

Catastrophe insurance modeled by shot-noise processes

Schmidt, Thorsten - In: Risks : open access journal 2 (2014) 1, pp. 3-24

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

Spouses' dependence across generations and pricing impact on reversionary annuities

Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - In: Risks : open access journal 4 (2016) 2, pp. 1-18

This paper studies the dependence between coupled lives, i.e., the spouses' dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. We find that a...

Persistent link: https://www.econbiz.de/10011507502

A unified pricing of variable annuity guarantees under the optimal stochastic control framework

Shevchenko, Pavel V.; Luo, Xiaolin - In: Risks : open access journal 4 (2016) 3, pp. 1-31

In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control...

Persistent link: https://www.econbiz.de/10011507624

Risk minimization for insurance products via F-doubly stochastic Markov chains

Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...

Persistent link: https://www.econbiz.de/10011507634

Joint asymptotic distributions of smallest and largest insurance claims

Albrecher, Hansjörg; Robert, Christian Yann; Teugels, … - In: Risks : open access journal 2 (2014) 3, pp. 289-314

Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...

Persistent link: https://www.econbiz.de/10010400269

Worst-case portfolio optimization under stochastic interest rate risk

Engler, Tina; Korn, Ralf - In: Risks : open access journal 2 (2014) 4, pp. 469-488

We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash....

Persistent link: https://www.econbiz.de/10010489062

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