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Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements
Campana, Antonella; Ferretti, Paola - Dipartimento di Matematica Applicata, Università Ca' … - 2010
reinstatements in the case in which the aggregate claims are generated by a discrete distribution. In particular, we focus our study … on conditions ensuring feasibility of the initial premium, for example with reference to the limit on the payment of each … claim. Comonotonic exchangeability shows the way forward to a more general definition of the initial premium: some …
Persistent link: https://www.econbiz.de/10008682221
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What do distortion risk measures tell us on excess of loss reinsurance with reinstatements ?
Campana, Antonella; Ferretti, Paola - Dipartimento di Matematica Applicata, Università Ca' … - 2008
In this paper we focused our attention to the study of an excess of loss reinsurance with reinstatements, a problem …
Persistent link: https://www.econbiz.de/10005076144
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A Dynamic Analysis of the Demand for Health Insurance and Health Care
Bolhaar, Jonneke; Lindeboom, Maarten; van der Klaauw, Bas - Institute for the Study of Labor (IZA) - 2008
We investigate the presence of moral hazard and advantageous or adverse selection in a market for supplementary health insurance. For this we specify and estimate dynamic models for health insurance decisions and health care utilization. Estimates of the health care utilization models indicate...
Persistent link: https://www.econbiz.de/10005822176
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The Dynamics of Market Insurance, Insurable Assets, and Wealth Accumulation
Koeniger, Winfried - Institute for the Study of Labor (IZA) - 2002
We analyze dynamic interactions between market insurance, the stock of insurable assets and liquid wealth accumulation in a model with non-durable and durable consumption. The stock of the durable is exposed to risk against which households can insure. Since the model does not have a closed form...
Persistent link: https://www.econbiz.de/10005822601
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Adverse Selection in the Annuity Market When Profits Vary over the Time of Retirement
Brunner, Johann K.; Pech, Susanne - In: Journal of Institutional and Theoretical Economics (JITE) 161 (2005) 1, pp. 155-155
This study deals with a specific implication of adverse selection for annuity pricing. Varying the time path of the payoffs over the retirement periods affects the annuity demand and welfare of individuals with low and with high life expectancy in different ways. Therefore they can be separated...
Persistent link: https://www.econbiz.de/10005823434
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Tax Incentives for Private Life Annuities and the Social Security Reform: Effects on Consumption and on Adverse Selection
Pech, Susanne - In: FinanzArchiv: Public Finance Analysis 60 (2004) 4, pp. 556-556
In a two-period model with uncertainty about life expectancy, we analyze several measures that are typically included in a social security reform: tax incentives for private life annuities, a cut in the social security benefits, and an increase in the social security tax. First, we look at the...
Persistent link: https://www.econbiz.de/10005823482
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Insuring California earthquakes and the role for catastrophe bonds
Penalva, José - Department of Economics and Business, Universitat … - 2001
The 1994 Northridge earthquake sent ripples to insurance conpanies everywhere. This was one in a series of natural disasters such as Hurricane Andrew which together with the problems in Lloyd's of London have insurance companies running for cover. This paper presents a calibration of the U.S....
Persistent link: https://www.econbiz.de/10005827500
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Estate Taxes, Life Insurance, and Small Business
Rosen, Harvey; Holtz-Eakin, Douglas; Phillips, John W. - National Bureau of Economic Research (NBER) - 1999
One criticism of the estate tax is that it prevents the owners of family businesses from passing their enterprises to their children. The problem is that it may be difficult to pay estate taxes without liquidating the business. A natural question is why individuals with such concerns do not...
Persistent link: https://www.econbiz.de/10005828959
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Money in Motion: Dynamic Portfolio Choice in Retirement
Mitchell, Olivia; Horneff, Wolfram J.; Maurer, Raimond H.; … - National Bureau of Economic Research (NBER) - 2007
Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial...
Persistent link: https://www.econbiz.de/10005828977
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Testing for Asymmetric Information Using 'Unused Observables' in Insurance Markets: Evidence from the U.K. Annuity Market
Poterba, James; Finkelstein, Amy - National Bureau of Economic Research (NBER) - 2006
This paper tests for asymmetric information in the U.K. annuity market of the 1990s by trying to identify 'unused observables,' attributes of individual insurance buyers that are correlated both with subsequent claims experience and with insurance demand but that insurance companies did not use...
Persistent link: https://www.econbiz.de/10005830029