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Efficiency of Insurance Firms with Endogenous Risk Management and Financial Intermediation Activities

Dionne, Georges - 2014

-liability insurance industry …

Persistent link: https://www.econbiz.de/10012709777

Lohmaier, Dominik - 2015

properties of different risk management instruments influence subjects' propensity to invest in self-insurance or self …-protection. Our results show that subjects act more risk averse over time because self-insurance take-up rates increase when learners … for risk management investments against low probability risks and can be used to predict developments in new insurance …

Persistent link: https://www.econbiz.de/10013019703

Some risk analysis problems in cyber insurance economics

Ríos Insua, David; Couce-Vieira, Aitor; Musaraj, Kreshnik - In: Estudios de economía aplicada : revista promovida por … 36 (2018) 1, pp. 181-194

Persistent link: https://www.econbiz.de/10011972713

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

Persistent link: https://www.econbiz.de/10009613611

Asset Risk Management of Participating Contracts

Bernard, Carole - 2017

In this paper we study the asset-liability management of an insurance company selling “participating contracts …”. Participating contracts are typical insurance policies sold worldwide.The payoff of a participating policy is linked to the … portfolio or the surplus of the insurance company. We examine the impact of the choice of assets' investment strategy on the …

Persistent link: https://www.econbiz.de/10012963607

Time-Series Forecasting of Mortality Rates using Deep Learning

Perla, Francesca - 2020

The time-series nature of mortality rates lends itself to processing through neural networks that are specialized to deal with sequential data, such as recurrent and convolutional networks. Although appealing intuitively, a naive implementation of these networks does not lead to enhanced...

Persistent link: https://www.econbiz.de/10012834751

Ordinary and Markov-Switching Autoregressive Models for Firm-Level Underwriting Data

Feng, Frank Yulin - 2018

formed an important topic in insurance research. In the present article, we study the characteristics of firm …

Persistent link: https://www.econbiz.de/10012909485

Individual Property Risk Management

Belasco, Eric - 2010

This paper reviews household property risk management and estimates normatively optimal choice under theoretical assumptions. Although risk retention limits are common in the financial planning industry, estimates of optimal risk retention that include both financial and human wealth far exceed...

Persistent link: https://www.econbiz.de/10013146583

Multi-population Mortality Projection : The Augmented Common Factor Model with Structural Breaks

WANG, PENGJIE - 2020

Multi-population mortality forecasting has become an increasingly important area in actuarial science and demography, as a means to avoid long-run divergence in mortality projection. This paper aims to establish a unified state-space Bayesian framework to model, estimate and forecast mortality...

Persistent link: https://www.econbiz.de/10012832560

Affine Mortality Models with Jumps : Parameter Estimation and Forecasting

Garces, Len Patrick; Kolar, Jovana; Sherris, Michael; … - 2022

In this paper, we investigate the dynamics of age-cohort survival curves under the assumption that the instantaneous mortality intensity is driven by an affine jump-diffusion (AJD) process. Advantages of an AJD specification of mortality dynamics include the availability of closed-form...

Persistent link: https://www.econbiz.de/10014076956

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