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The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees

Hilpert, Christian; Li, Jing; Szimayer, Alexander - University of Bonn, Germany - 2011

the insurance company's and the policyholders' perspectives and characterize the contract values by deriving the … secondary market characteristics such as accessibility and competition on the contract values. The pricing PDEs are solved … existence of a fair contract in this context and study the effect of the secondary market on fair contract design. …

Persistent link: https://www.econbiz.de/10009651600

Bilateral Trade, Openness and Asset Holdings

Li, Jing; Szimayer, Alexander - University of Bonn, Germany - 2010

method. We show that the rationality of the policyholders has a significant effect on average contract value and hence on the … fair contract design. We also present the separating boundary between purely exogenous surrender and endogenous surrender …

Persistent link: https://www.econbiz.de/10008764096

Methodological problems in solvency assessment of an insurance company

Cocozza, R; Di Lorenzo, E; Sibillo, M - Volkswirtschaftliche Fakultät, … - 2004

The recent wide development and changes in insurance markets highlighted the necessity to map out the solvency analysis in a more complete framework. The approach we present in the paper comes up with an integrated analysis of the risk profile of an insurance business, taking into account the...

Persistent link: https://www.econbiz.de/10008794657

Belief heterogeneity in the Arrow-Borch-Raviv insurance model

Ghossoub, Mario - Volkswirtschaftliche Fakultät, … - 2010

insurance contract for an insurance buyer – or decision maker (DM) – is a deductible contract, when the insurer is a risk … have preferences yielding different subjective beliefs. The DM seeks the insurance contract that will maximize her … (subjective) probability and on which an optimal insurance contract for the DM takes the form of what I will call a generalized …

Persistent link: https://www.econbiz.de/10011260481

Risk management under incomplete information: Exact upper and lower bounds for the Value at Risk

DE SCHEPPER, Ann; HEIJNEN, Bart - Faculteit Toegepaste Economische Wetenschappen, … - 2006

A key problem in financial and actuarial research, and particularly in the field of risk management, is the choice of models so as to avoid systematic biases in the measurement of risk. An alternative consists of working with incomplete information, by fixing only a number of parameters instead...

Persistent link: https://www.econbiz.de/10005588083

Can Insurance Companies Control their Financial Stability? Practical Solutions

Cristea, Mirela - Volkswirtschaftliche Fakultät, … - 2008

Taking into account the actual economic situation of the world with numerous financial crisis, the insurance companies should control their financial stability in order to avoid the insolvency or even bankruptcy state. Thus, the insurers should find the adequate methods of substantiating the...

Persistent link: https://www.econbiz.de/10005836220

Risk management under incomplete information: Exact upper and lower bounds for the probability to reach extreme values

DE SCHEPPER, Ann; HEIJNEN, Bart - Faculteit Toegepaste Economische Wetenschappen, … - 2006

Persistent link: https://www.econbiz.de/10005252257

Algunas aplicaciones de la Teoría de Lie a la Economía y las Finanzas = Some Applications of Lie Theory to Economics and Finance

Hernández Fernández, Isabel; Mateos Contreras, Consuelo; … - In: Revista de Métodos Cuantitativos para la Economía y … 6 (2008) 1, pp. 74-94

, both dealt with a Lie Theory approach. So, mathematical aspects for these approaches are put forward and discussed in …

Persistent link: https://www.econbiz.de/10005403970

Counterparty risk for CDS: Default clustering effects

Bo, Lijun; Capponi, Agostino - In: Journal of Banking & Finance 52 (2015) C, pp. 29-42

We derive a closed-form expression for the bilateral credit valuation adjustment of a credit default swap in presence of simultaneous defaults. We develop our analysis under a default intensity model specified by a class of three-dimensional subordinators, allowing for default dependence through...

Persistent link: https://www.econbiz.de/10011209864

Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model

Brigo, Damiano; El-Bachir, Naoufel - Henley Business School, University of Reading - 2006

We present a two-factor stochastic default intensity and interest rate model for pricing single-name default swaptions. The specific positive square root processes considered fall in the relatively tractable class of affine jump diffusions while allowing for inclusion of stochastic volatility...

Persistent link: https://www.econbiz.de/10005558331