Showing 1 - 10 of 181
cost of market deposits and increasing the cost of using cash as insurance against external uncertainty. …
Persistent link: https://www.econbiz.de/10014230960
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspiration of the model comes from the bonus-malus...
Persistent link: https://www.econbiz.de/10011507555
most likely path of male mortality and the bands of uncertainty surrounding that path. The fan charts are based on a model … forecast-and that forecasts of future mortality uncertainty must also take account of uncertainty in the parameters of the …
Persistent link: https://www.econbiz.de/10011507620
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
Value at Risk (VaR) is used to illustrate the maximum potential loss under a given confidence level, and is just a single indicator to evaluate risk ignoring any information about income. The present paper will generalize one-dimensional VaR to two-dimensional VaR with income-risk double...
Persistent link: https://www.econbiz.de/10012015826
Risk perception is an idiosyncratic process of interpretation. It is a highly personal process of making a decision based on an individual’s frame of reference that has evolved over time. The purpose of this paper is to find out the risk perception level of equity investors and to identify the...
Persistent link: https://www.econbiz.de/10012018617
In this paper, we suggest a Bayesian multivariate approach for pricing a reverse mortgage, allowing for house price risk, interest rate risk and longevity risk. We adopt the principle of maximum entropy in risk-neutralisation of these three risk components simultaneously. Our numerical results...
Persistent link: https://www.econbiz.de/10012018623
One of the main challenges investors have to face is model uncertainty. Typically, the dynamic of the assets is modeled …/covariance parameter is assumed to be estimated with a certain level of confidence, we focus on drift uncertainty in this paper. Building …
Persistent link: https://www.econbiz.de/10012018698
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, provide more effective...
Persistent link: https://www.econbiz.de/10012018726
This work examines apportionment of multiplicative risks by considering three dominance orderings: first-degree stochastic dominance, Rothschild and Stiglitz’s increase in risk and downside risk increase. We use the relative nth-degree risk aversion measure and decreasing relative nth-degree...
Persistent link: https://www.econbiz.de/10012018921