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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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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
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Securitization of Insurance Risk: The 1995 Bowles Symposium: Introduction
potential for earthquake and storm losses in the U.S. exceeds insurance market capacity. Reinsurers, ... the first session, Stephen P. Lowe dis- cussed U.S. property/casualty risk-based capital and some of ...- Authors: Hans Buhlmann
- Date: Oct 1997
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Reinsurance