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- where risk is driven by a geometric Brownian motion and Knightian uncertainty is realized through a so-called "k …
Persistent link: https://www.econbiz.de/10012198652
. Because death risk increases with age, the actuarial value of a life insurance policy increases over time and becomes positive …
Persistent link: https://www.econbiz.de/10012967612
The calculation of a fair premium is always a challenging topic in the real world insurance applications. In this paper, a nonlinear premium-reserve (P-R) model is presented and the premium is derived by minimizing a quadratic performance criterion. The reserve is a stochastic equation, which...
Persistent link: https://www.econbiz.de/10012968126
's retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee … insurance fees are charged respectively for the market exposure and for the protection from the downside risk. We investigate …
Persistent link: https://www.econbiz.de/10012956555
complex commercial model of natural catastrophe insurance risk. Working within an ambiguity-averse decision framework, we … presence of model risk …
Persistent link: https://www.econbiz.de/10013022005
This paper develops a general continuous-time framework for defining optimal corporate pension policy. Interactions between the firm's optimal investment and financing policies and the defined benefit pension plan optimal portfolio strategy are studied. We prove that the three decision rules are...
Persistent link: https://www.econbiz.de/10013113950
approach, called the “MV CVaR approach”, to manage tail risk of an insurer's asset-liability portfolios. Finally, we compare … numerical analysis provides empirical support for the effectiveness of the MV CVaR approach in controlling downside risk …
Persistent link: https://www.econbiz.de/10013114192
This paper develops a general continuous-time framework for defining the optimal corporate pension policy for defined benefit (DB) plans in the presence of PBGC insurance. Interactions between the firm's optimal investment and financing policies and the optimal portfolio strategy for DB plans...
Persistent link: https://www.econbiz.de/10013099581
The insurance linked securities (ILS) market is an increasingly important alternative asset class for which risk and … return analysis differs from other asset classes. Measures of portfolio risk and return for an ILS portfolio are based on the … expected losses and expected excess returns over the risk free rate. Multiple criteria decision making (MCDM) has found …
Persistent link: https://www.econbiz.de/10013109262
We introduce a new approach to model the market smile for inflation-linked derivatives by defining the Quadratic Gaussian Year-on-Year inflation model -- the QGY model. We directly define the model in terms of a year-on-year ratio of the inflation index on a discrete tenor structure, which,...
Persistent link: https://www.econbiz.de/10013081107