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An insurance risk model with stochastic volatility
Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 52-66
Persistent link: https://www.econbiz.de/10003953303
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Estimating the volatility of non-life premium risk under Solvency II : discussion of Danish fire insurance data
Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks : open access journal 8 (2020) 3/74, pp. 1-19
empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared … to the present literature, this paper innovates the fitting of Danish fire insurance data using a composite model with a … random threshold. Secondly we prove, by fitting the Danish fire insurance data, that for large insurance companies the …
Persistent link: https://www.econbiz.de/10012293140
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ETF Risk Models
Kakushadze, Zura; Yu, Willie - 2021
We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based on these risk factors by utilizing the heterotic risk...
Persistent link: https://www.econbiz.de/10013213003
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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The fluctuations of insurers' risk appetite
Luciano, Elisa; Rochet, Jean-Charles - In: Journal of economic dynamics & control 144 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013543144
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Kapitalmarktmodelle mit nicht konstanter Volatilität und ihre Anwendung unter Solvency II
Reichart, Stefanie - 2011
Persistent link: https://www.econbiz.de/10014007962
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Analysis of systemic risk in the insurance industry
Bobtcheff, Catherine; Chaney, Thomas; Gollier, Christian - In: The Geneva risk and insurance review 41 (2016) 1, pp. 73-106
Persistent link: https://www.econbiz.de/10011447290
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Risk Appetite Fluctuations in the Insurance Industry
Luciano, Elisa; Rochet, Jean Charles - 2022
The risk appetite of insurance companies fluctuates over time in a quasi cyclical fashion. When their capitalization is … the same source as the underwriting cycle, namely recapitalization costs. We build a simple dynamic model of the insurance …-standing empirical evidence on underwriting cycles and more recent evidence on the fluctuations of insurance companies’ risk appetite …
Persistent link: https://www.econbiz.de/10013297302
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Income volatility and household commercial insurance allocation
Guo, Wei - In: Finance research letters 66 (2024), pp. 1-7
Persistent link: https://www.econbiz.de/10015057701
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Volatility as an asset class : obvious benefits and hidden risks
Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.
Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment strategies -- Predictive properties of the volatility term...
Persistent link: https://www.econbiz.de/10010528411