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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
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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
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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
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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
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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
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/10005252257
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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
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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
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An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model
Brigo, Damiano; El-Bachir, Naoufel - Henley Business School, University of Reading - 2007
We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of the shifted square root jump diffusion (SSRJD) default intensity model. The formula consists of a decomposition of an option on a summation of survival probabilities in a summation...
Persistent link: https://www.econbiz.de/10008542369
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An analytically tractable time-changed jump-diffusion default intensity model
El-Bachir, Naoufel; Brigo, Damiano - Henley Business School, University of Reading - 2008
We present a stochastic default intensity model where the intensity follows a tractable jump-diffusion process obtained by applying a deterministic change of time to a non mean-reverting square root jump-diffusion process. The model generates higher implied volatilities for default swaptions...
Persistent link: https://www.econbiz.de/10008542370
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Implied Risk-Neutral probability Density functions from options prices : A comparison of estimation methods
Bedoui, Rihab; Hamdi, Haykel - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2010
This paper compares the goodness-of-fit of eight option-based approaches used to extract risk-neutral probability density functions from a high-frequency CAC 40 index options during a normal and troubled period. Our findings show that the kernel estimator generates a strong volatility smile with...
Persistent link: https://www.econbiz.de/10008568464