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Chapter 5. Insurance and Insurance Markets
Dionne, Georges; Harrington, Scott E. - In: Handbook of the economics of risk and uncertainty : volume 1, (pp. 203-261). 2014
Kenneth Arrow and Karl Borch published several important articles in the early 1960s that can be viewed as the beginning of modern economic analysis of insurance activity. This chapter reviews the main theoretical and empirical contributions in insurance economics since that time. The review...
Persistent link: https://www.econbiz.de/10014025527
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Pareto Optimal Allocations and Optimal Risk Sharing for Quasiconvex Risk Measures
Mastrogiacomo, Elisa - 2014
Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance prices have been studied widely in the literature. In particular, Pareto optimal allocations have been characterized by applying inf-convolution of risk measures and convex...
Persistent link: https://www.econbiz.de/10013060083
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A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures
Herdegen, Martin - 2020
portfolios exist. We call this situation regulatory arbitrage, and prove that it cannot be excluded – unless ρ is as conservative … measures, and give a necessary and sufficient characterization for regulatory arbitrage. We show that the presence or absence … of regulatory arbitrage for ρ is intimately linked to the interplay between the set of equivalent martingale measures …
Persistent link: https://www.econbiz.de/10012823360
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Insurance and insurance markets
Dionne, Georges; Harrington, Scott E. - 2014
Persistent link: https://www.econbiz.de/10010366837
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Communicating pension risk to DC plan members : the Chilean case of a pension risk simulator
Antolín Nicolás, Pablo; Fuentes, Olga - 2012
The purpose of this paper is to discuss a few issues related to how best to communicate uncertainty about projections of future pension benefits to members of DC plans, and especially to present a pension risk simulator developed by the Chilean regulator (Superintendencia de Pensiones, SP) that...
Persistent link: https://www.econbiz.de/10009684018
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Risk-sharing in higher education : a policy proposal
Webber, Douglas A. - 2018
As concerns over growing levels of student loan debt continue to mount for both students and taxpayers, many have called for an improved accountability system in the U.S. higher education system. In this policy brief, I discuss the many flaws in our current system, and outline how a system known...
Persistent link: https://www.econbiz.de/10011901980
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Dynamics in Risk Taking with a Low-Probability Hazard
Royal, Andrew - 2016
The experiment reported in this paper identifies the effect of experience on revealed risk attitudes by examining “one-shot” insurance choices made by subjects faced with a low-probability risk and their choices when they are faced with repeated exposure to an identical risk. I find that...
Persistent link: https://www.econbiz.de/10012978485
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Limited liability and the demand for coinsurance by individuals and corporations
Bergesio, Andrea; Koch Medina, Pablo; Munari, Cosimo-Andrea - 2021
fair, any amount of coinsurance can be optimal depending on the nature of the loss …
Persistent link: https://www.econbiz.de/10012614542
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Statistical Arbitrage with Uncertain Fat Tails
Hu, Bo - 2018
I develop a model of statistical arbitrage trading in an environment with "fat-tailed" information. If risk …
Persistent link: https://www.econbiz.de/10012907804
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Risk Arbitrage Opportunities for Stock Index Options
Post, Thierry - 2019
developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general … portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index …
Persistent link: https://www.econbiz.de/10012899380