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Empirical evidences on the interconnectedness between sampling and asset returns' distributions

Orlando, Guiseppe; Bufalo, Michele - In: Risks : open access journal 9 (2021) 5, pp. 1-35

The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (since inception to Q2-2020). Contrarily to some...

Persistent link: https://www.econbiz.de/10012596311

Distinguishing log-concavity from heavy tails

Asmussen, Søren; Lehtomaa, Jaakko - In: Risks : open access journal 5 (2017) 1, pp. 1-14

Well-behaved densities are typically log-convex with heavy tails and log-concave with light ones. We discuss a benchmark for distinguishing between the two cases, based on the observation that large values of a sum X1+X2 occur as result of a single big jump with heavy tails whereas X1,X2 are of...

Persistent link: https://www.econbiz.de/10011636459

An EM algorithm for Double-Pareto-lognormal generalized linear model applied to heavy-tailed insurance claims

Calderín-Ojeda, Enrique; Fergusson, Kevin; Wu, Xueyuan - In: Risks : open access journal 5 (2017) 4, pp. 1-24

used to model insurance claim amounts for various data sets. The performance is compared with those of the generalized beta …

Persistent link: https://www.econbiz.de/10011783746

Risk aversion loss aversion, and the demand for insurance

Eeckhoudt, Louis R.; Fiori, Anna Maria; Rosazza Gianin, … - In: Risks : open access journal 6 (2018) 2, pp. 1-19

In this paper we analyze insurance demand when the utility function depends both upon final wealth and the level of … documented in real insurance markets. …

Persistent link: https://www.econbiz.de/10011867426

Risk factors affecting bancassurance development in Poland

Sliwinski, Adam; Dropia, Joanna; Duczkowski, Norbert - In: Risks : open access journal 9 (2021) 7, pp. 1-19

variables directly related to the insurance product (e.g., a regulatory restriction of insurance acquisition costs) as well as … importance of insurance distribution in banks. Significant risk factors (statistically significant) which determine gross … cooperation between banks and insurers as well as the specificity of insurance products distribution (also local) in the …

Persistent link: https://www.econbiz.de/10012598986

Liability for incorrect client personalization in the distribution of consumer insurance

Tereszkiewicz, Piotr; Południak-Gierz, Katarzyna - In: Risks : open access journal 9 (2021) 5, pp. 1-15

The use of personalization mechanisms should allow the insurance distributor to reduce exploration costs and adjust the … offered insurance product to the needs, features, and situation of each individual client. This study seeks to examine how … liability should be allocated when the process of the personalization of an insurance product does not result in the client …

Persistent link: https://www.econbiz.de/10012508803

Financial risk and profitability management in Russian insurance companies in the context of digitalization

Ilkevich, Sergey Viktorovich; Listopad, Ekaterina … - In: Risks : open access journal 10 (2022) 11, pp. 1-12

risks and profitability in Russian insurance companies in the context of digitalization. Structurally, the study consisted … of a comprehensive analysis of the insurance market in the Russian Federation, as well as an identification of the … components of the risk management process of insurance companies in the context of digitalization. Documents containing key …

Persistent link: https://www.econbiz.de/10014228830

The risk of the COVID-19 pandemic and its influence on the business insurance market in the medium- and long-term horizon

Przybytniowski, Jarosław Wenancjusz; Borkowski, Stanisław - In: Risks : open access journal 10 (2022) 5, pp. 1-13

on the business insurance market in the medium- and long-term horizon. The first section of this elaboration presents the … measurement rules and the third describes the potential effects of COVID-19 on the insurance market. Contrary to other … in relation to the insurance company client, e.g., change in the amount of the insurance premium under the insurance …

Persistent link: https://www.econbiz.de/10013358888

Forming a risk management system based on the process approach in the conditions of economic transformation

Sidorova, Elena; Kostyukhin, Yuri; Korshunova, Lyudmila; … - In: Risks : open access journal 10 (2022) 5, pp. 1-15

guarantor of financial insurance. The goal of this study is the formation of a process approach in enterprise management …

Persistent link: https://www.econbiz.de/10013359055

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 maturity, annuity-type payments and payments at the time of a …

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