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The Relationship between Insurance Growth and Economic Development : 80 Empirical Papers for a Review of the Literature
Outreville, J. Francois - 2011
The objective is to examine the determinants of the relationship between insurance growth and economic development … factors that affect the demand) and the development side (insurance is a determinant of growth) …
Persistent link: https://www.econbiz.de/10013122482
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NatCats and insurance in a developing economy : new theoretical and empirical evidence
Hott, Christian; Xuyen Thi Tran - 2020
Our paper analyses the effect of natural catastrophes on insurance demand in a developing economy and the specific role … of insurance regulation in this relationship. We base our analysis on a theoretical model as well as a panel regression … insurance regulation in recent years. The theoretical results indicate that a loss experience should have a less positive effect …
Persistent link: https://www.econbiz.de/10012425915
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The determinants of economic growth in developing countries with a special emphasis on insurance sector
Mohagheghzadeh, Fatemeh; Najafizadeh, Abbas; … - In: International journal of economic perspectives : IJEP 11 (2017) 3, pp. 1787-1799
Persistent link: https://www.econbiz.de/10012211841
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Pricing of Asian temperature risk
Benth, Fred Espen; Härdle, Wolfgang; Cabrera, Brenda López - 2009
Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...
Persistent link: https://www.econbiz.de/10003893132
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Forecast based pricing of weather derivatives
Härdle, Wolfgang; López Cabrera, Brenda; Ritter, Matthias - 2012
Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...
Persistent link: https://www.econbiz.de/10009511156
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Localising temperature risk
Härdle, Wolfgang; López Cabrera, Brenda; Okhrin, Ostap; … - 2010
On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for temperature dynamics is a stochastic model with...
Persistent link: https://www.econbiz.de/10008772624
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Improved Analytic VaR that Avoids Previous Inconsistencies
Crousillat, Cesar - 2015
VaR_Delta-Normal fails in two counts: subadditivity and potentially producing losses larger than its portfolio value. This paper solves the second inconsistency developing formulas derived from a put option, named PVaR_Delta-Normal and Put_Expected_Shortfall, PSF_Delta-Normal; the latter also...
Persistent link: https://www.econbiz.de/10013014636
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A Multiplicative Factor for Analytic VaR to Avoid Previous Inconsistencies
Crousillat, Cesar - 2015
VaR_Delta-Normal is derived from a Put option, named PVaR_Delta-Normal and Expected_Shortfall, PSF_Delta-Normal – the latter a coherent measure – guaranteeing VaR can never be larger than the fund value. Current standard VaR_Delta-Normal uses covariances calculated from the entire...
Persistent link: https://www.econbiz.de/10013009682
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Is Systematic Risk Diversifiable? Presentation of a Portfolio Model that Eliminates Systematic Risk
Scholtz, Hellmut D. - 2014
The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy long/sell short strategy that takes into account, that the market model is kinky. The equation of the market model – including a beta plus for increasing markets and a beta...
Persistent link: https://www.econbiz.de/10013043076
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Portfoliooptimierung auf der Grundlage eines Marktneutralen Zweifaktormodells - eine theoretische Ableitung mit Beispielen - Theory of Optimizing Portfolios by Eliminating the Impa...
Scholtz, Hellmut D. - 2022
The approach shows the scientific background of eliminating the market risk of an optimized portfolio and the use of marginal probabilities of ruin for optimized amounts of investments.For this reason the mathematical expectations of the parameters of the market model in the portfolio result to...
Persistent link: https://www.econbiz.de/10014235784