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Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 2: Crosshedging of Insurance Portfolios
quarter) is called S. As standard in nonlife actuarial techniques, assume 1. S -- Z u = 1 Ys - doubly ... Let us compute E[S] = (~t + E[•]) * E[Y] = (100 + 10) * 1 (1.4) = 110 Var[S] = (~t + E[k]) • E[F] ...- Authors: Hans Buhlmann
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Reinsurance
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Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 3: Pricing Insurance Derivatives: The Case of CAT Futures
natural filtra- tion belonging to (L,), F,=ty (L~, O<s<t). This essen- tially exposes a weakness in the ... and Y be ran- dom variables on (fl, F, (P, Q)). Px(s): =P[X<_s] de- notes the distribution of the random ...- Authors: Paul Embrechts, Steffen Meister
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Reinsurance
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Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 4: The Perfume of the Premium...or Pricing Insurance Derivatives
dedicated to trading options were set up in the U.S., so that now options are traded on a wide variety ... rates-on-line, which is the ratio of premium to exposure. Table 1 compares the theoretical ROLs of the 50 and 150 ...- Authors: John Finn, Morton Lane
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Reinsurance; Reinsurance>Pricing - Reinsurance
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Assessing Regime Switching Equity Return Models
used to assess the fit of several models to the S&P 500 log‐returns. We then complement this analysis ... innovations. Section 5 then assesses the models using the S&P total return index. This is done by first examining ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Finance & Investments; Modeling & Statistical Methods
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Analyzing Concentration Risk
assess risk, we must look beyond the average. TABLE 1 Example Measures for One Name Measure HSBC ... outweighed by the need for directed action. TABLE 2 HHI & HHI Contributions by Sector Industry ...- Authors: Diane M M T Reynolds
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Global Perspectives
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Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 1: Bounds on the Price of Catastrophe Insurance Options on Futures Contracts
present one way to allow for lack of information. Let S(t) denote the aggregate losses paid during the interval ... t]. The loss ratio on the set- tlement date T is S(T)/Q where Q is an estimate of the premiums written ...- Authors: Samuel Cox, Patrick L Brockett, James Smith
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Reinsurance
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Economic Assumptions - Actuarial Considerations in Insurance Mergers and Acquisitions: An International Perspective
Economic Assumptions - Actuarial Considerations in Insurance Mergers and Acquisitions: An International ... bankers, external actuaries, and the company's financial area research current and historic economic ...- Authors: Jim Toole
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments; Global Perspectives
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Modelling and Measuring Business Risk
andWessels (2005) or Pratt, Reilly and Schweihs (2000) for a more detailed description of this subject) ... = ( ) →∞ : lim P t P dE s tt( ) = ( ) + ( ) ≥∫0 00 , P t P e dE s tr s t( ) = ( ) + ( ) ≥− ( )∫0 00 ...- Authors: Klaus Bocker
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Two Explicit Formulae for Yield
i i y At y At w 1 1 1 )1( )1( , and S = (s1, s2, …, sn) is the set of the spot rates of ... Years ti si Ai Zi Ai*Zi Ai*DZ Ai*DZi*Si Ai*D2Zi Ai*D2Zi*S Ai*D2Zi*Si 0 0 ‐199.81945 1 1 0.0710 7 ...- Authors: Muhamed Borogovac
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Economic Impact of Capital Level in an Insurance Company
given by S = (p+ c)(1 +R)− L = Y + c(1 +R). (3.5) The rate of return on capital is ROC ≡ S − c c = ... default-free. As in (3.2) the net asset at time 1 is S = (p+ c)(1 +R)− L+D = Y + c(1 +R), (3.9) 15 where ...- Authors: Yingjie Zhang
- Date: Apr 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments