1
-
6
of
6
results (0.69 seconds)
Sort By:
-
Securitization of Insurance Risk: The 1995 Bowles Symposium, Chapter 5: The Emerging Asset Class: Insurance Risk
authors for this article are Kenneth A. Froot, Brian S. Murphy, Aaron B. Stem, and Stephen E. Usher. Professor ... of the insurance/reinsurance infra- structure. U.S. property and casualty (P&C) premiums totaled $264 ...- Authors: Kenneth A Froot, Brian S Murphy, Aaron B Stern, Stephen E Usher
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Reinsurance
-
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
-
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
-
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
-
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
-
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