Insurance companies have to estimate reserves and provisions to cover the payment of either unreported claims or unsettled claims. In this paper, we apply the Chain-Ladder method to obtain a point estimate of reserves, and then we use the bootstrap technique to estimate the margin of error and...

This work focuses on developing an internal model for equity risk under Solvency II. We have used monthly data for the series of Ibex 35, Cac 40, FTSE 100 and Dax in the period between January 1992 and December 2008. This work fits by maximum likelihood method the model of normal returns, based...

This paper presents the analysis and valuation of an individual, temporary, and leveled-prime life insurance. It starting point is an analogy between contract rules and a financial exotic option. In particular, a cash or nothing option. Several cases are presented from a person with different...

The object of study of this paper is the analysis of the level of reserves in a non-life insurance portfolio. The approach to this tool as an indicator of the solvency of the portfolio poses an initial dilemma between the security necessary to be able to respond to the losses that have occurred...

In this paper, the problems linked to renewable wind power energy production are analyzed and a model to define the variables in which the wind power business plan relies on is proposed. The viability plan shows that the shareholder's cash flows obtained in this kind of projects make it possible...

At emerging financial markets, the R&D, intangible and technological basis firms (TBF) valuation, they make the traditional real option binomial approach questionable. For that, a numerical model that modified the traditional binomial model is proposed, incorporating trinomial lattice, changing...

The paper introduces the average internal rate of return (AIRR) into the mathematic fuzzy's frame, like alternative method for estimating returns in ambiguity situations. In the first part it is developed the AIRR and its fuzzy version like an alternative of return determination under ambiguity...

This study has as its main objective to develop an analysis of decision making under uncertainty using the real options application in the evaluation of investments in mining projects. It is also proposed to study the behaviour of gold prices, for the specific case of Peru, using historic prices...