Showing 1 - 10 of 12,691
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
Risk management is now present in many economic sectors. This paper investigates the role of risk management in creating value for financial institutions by analyzing U.S. property-liability insurers. Property-liability insurers are financial intermediaries whose primary role in the economy is...
Persistent link: https://www.econbiz.de/10012709777
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...
Persistent link: https://www.econbiz.de/10012963607
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
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
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
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
For many decades, the analysis of underwriting-profitability regimes (i.e., successive “hard” and “soft” markets) has formed an important topic in insurance research. In the present article, we study the characteristics of firm-level underwriting behavior by applying both ordinary and...
Persistent link: https://www.econbiz.de/10012909485
Affine mortality models are well suited for theoretical and practical application in pricing and risk management of mortality risk. They produce consistent, closed-form stochastic survival curves allowing for the efficient valuation of mortality-linked claims. We model USA age-cohort mortality...
Persistent link: https://www.econbiz.de/10013368640
One of the most important risks in the actuarial industry is the longevity risk. The accurate prediction of mortality rates plays a crucial role in the management of the aforementioned risk. Such predictions are performed by modelling the mortality rates using mortality models. Aiming at...
Persistent link: https://www.econbiz.de/10013492264