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Optimal investment and premium policies under risk shifting and solvency regulation
Filipović, Damir; Kremslehner, Robert; Muermann, Alexander - 2011
Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It … the value policyholders attach to and premiums they are willing to pay for insurance coverage. We characterize Pareto … calibrate our model to a non-life insurer average portfolio. Risk Shifting, Insurance, Regulation, Pareto Optimality …
Persistent link: https://www.econbiz.de/10009009505
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Dividends: from refracting to ratcheting
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin - 2018
In this paper we consider an alternative dividend payment strategy in risk theory, where the dividend rate can never …
Persistent link: https://www.econbiz.de/10011899803
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Hybrid cat-bonds
Barrieu, Pauline (contributor); Loubergé, Henri (contributor) - 2007
analyzed in this paper reinsurance markets are unable to cope with this risk completely. Insurance-linked securities, such as …
Persistent link: https://www.econbiz.de/10003550859
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Claims run-off uncertainty : the full picture
Merz, Michael; Wüthrich, Mario V. - 2015 - This version: July 3, 2015
The aim of this contribution is to revisit, clarify and complete the picture of uncertainty estimates in the chain-ladder (CL) claims reserving method. Therefore, we consider the conditional mean square error of prediction (MSEP) of the total prediction uncertainty (using Mack's formula) and the...
Persistent link: https://www.econbiz.de/10011293560
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A large-scale optimization model for replicating portfolios in the life insurance industry
Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - 2016
Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the … valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance … liabilities as closely as possible. We minimize the L1 error between the discounted life insurance liability cash flows and the …
Persistent link: https://www.econbiz.de/10011515725
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Investors' expectations, management fees and the underperformance of mutual funds
Huesler, Andreas D.; Malevergne, Yannick; Sornette, Didier - 2012
Why do investors keep buying underperforming mutual funds? To address this issue, we develop a one-period principal-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the investors perception of the fund plays the key role...
Persistent link: https://www.econbiz.de/10009561613
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Optimal fund menus
Cvitanić, Jakša; Hugonnier, Julien - 2018
We study the optimal design of a menu of funds by a manager who is required to use linear pricing and does not observe the preferences of investors regarding one of the risky assets. The optimal menu involves bundling of assets and can be explicitly constructed from the solution to a calculus of...
Persistent link: https://www.econbiz.de/10011900225
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Dual representation of choice and aspirational preferences
Brown, David B.; De Giorgi, Enrico; Sim, Melvyn - 2010
The appendix can be found at: "http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2005194" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2005194 We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except...
Persistent link: https://www.econbiz.de/10003970449
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Portfolio selection with narrow framing : probability weighting matters
De Giorgi, Enrico; Legg, Shane - 2009 - This version: June 9, 2009
and a convex-concave value function reinforces previous applications of narrow framing and cumulative prospect theory to …
Persistent link: https://www.econbiz.de/10003970464
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Survival and evolutionary stability of the Kelly rule
Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - 2009
This chapter gives an overview of current research in evolutionary finance. We mainly focus on the survival and stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics of investment strategies is inspired by Darwinian ideas...
Persistent link: https://www.econbiz.de/10003971097