Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Time Consistent Investment And Reinsurance Strategies For Insurers Under Multi Period Mean Variance Formulation With Generalized Correlated Returns
Download Time Consistent Investment And Reinsurance Strategies For Insurers Under Multi Period Mean Variance Formulation With Generalized Correlated Returns full books in PDF, epub, and Kindle. Read online Time Consistent Investment And Reinsurance Strategies For Insurers Under Multi Period Mean Variance Formulation With Generalized Correlated Returns ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Time-Consistent Investment and Reinsurance Strategies for Insurers Under Multi-Period Mean-Variance Formulation with Generalized Correlated Returns by : Zhongbao Zhou
Download or read book Time-Consistent Investment and Reinsurance Strategies for Insurers Under Multi-Period Mean-Variance Formulation with Generalized Correlated Returns written by Zhongbao Zhou and published by . This book was released on 2020 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The existing literature on investment and reinsurance is limited to the study of continuous-time problems, while discrete-time problems are always ignored by researchers. In this study, we first discuss a multi-period investment and reinsurance optimization problem under the classical mean-variance framework. When the asset returns with a serially correlated structure, the time-consistent investment and reinsurance strategies are acquired via backward induction. In addition, we propose an alternative time-consistent mean-variance optimization model that contrasts with the classical mean-variance model, and the corresponding optimal strategy and value function are also derived. We find that the investment and reinsurance strategies are both independent of the current wealth for the above two optimization problems, which coincides with the conclusion presented in the continuous-time problems. Most importantly, the above investment strategies with serially correlated structures are both conditional mean-based strategies, rather than unconditional ones. Finally, we compare the investment and reinsurance strategies suggested above based on the simulation approach, to shed light on which investment-reinsurance strategies are more suitable for insurers.
Book Synopsis Time-Consistent Investment-Reinsurance Strategy for Mean-Variance Insurers With a Defaultable Security by : Hui Zhao
Download or read book Time-Consistent Investment-Reinsurance Strategy for Mean-Variance Insurers With a Defaultable Security written by Hui Zhao and published by . This book was released on 2015 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers an optimal investment and reinsurance problem involving a defaultable security for an insurer under the mean-variance criterion in a jump-diffusion risk model. The insurer is allowed to purchase proportional reinsurance or acquire new business and invest in a financial market consisting of a risk-free bank account, a stock and a defaultable bond. From a game theoretic perspective, the extended Hamilton-Jacobi-Bellman systems are established for the post-default case and the pre-default case, respectively. Furthermore, for the two cases, closed-form expressions for the optimal time-consistent investment-reinsurance strategies and the corresponding optimal value functions are derived, and some properties of the strategies are analyzed. Finally, some special cases of our model are presented, and numerical analysis is provided to illustrate our results.
Book Synopsis Advances in Swarm Intelligence by : Ying Tan
Download or read book Advances in Swarm Intelligence written by Ying Tan and published by Springer Nature. This book was released on 2020-07-12 with total page 689 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the proceedings of the 11th International Conference on Advances in Swarm Intelligence, ICSI 2020, held in July 2020 in Belgrade, Serbia. Due to the COVID-19 pandemic the conference was held virtually. The 63 papers included in this volume were carefully reviewed and selected from 127 submissions. The papers are organized in 12 cohesive topical sections as follows: Swarm intelligence and nature-inspired computing; swarm-based computing algorithms for optimization; particle swarm optimization; ant colony optimization; brain storm optimization algorithm; bacterial foraging optimization; genetic algorithm and evolutionary computation; multi-objective optimization; machine learning; data mining; multi-agent system and robotic swarm, and other applications.
Book Synopsis Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models by : Hui Zhao
Download or read book Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models written by Hui Zhao and published by . This book was released on 2017 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present paper studies time-consistent solutions to an investment-reinsurance problem under a mean-variance framework. The paper is distinguished from other literature by taking into account the interests of both an insurer and a reinsurer jointly. The claim process of the insurer is governed by a Brownian motion with a drift. A proportional reinsurance treaty is considered and the premium is calculated according to the expected value principle. Both the insurer and the reinsurer are assumed to invest in a risky asset, which is distinct for each other and driven by a constant elasticity of variance model. The optimal decision is formulated on a weighted sum of the insurer's and the reinsurer's surplus processes. Upon a verification theorem, which is established with a formal proof for a more general problem, explicit solutions are obtained for the proposed investment-reinsurance model. Moreover, numerous mathematical analysis and numerical examples are provided to demonstrate those derived results as well as the economic implications behind.
Book Synopsis Time-Consistent Mean-Variance Reinsurance-Investment Problems Under Unbounded Random Parameters by : Bingyan Han
Download or read book Time-Consistent Mean-Variance Reinsurance-Investment Problems Under Unbounded Random Parameters written by Bingyan Han and published by . This book was released on 2019 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: To strike the best balance between insurance risk and profit, insurers transfer insurable risk through reinsurance and enhance yield by participating into the financial market. The long-term commitment of insurance contracts makes insurers necessary to consider time-consistent (TC) reinsurance-investment policies. Using the open-loop TC mean-variance (MV) reinsurance-investment framework, we investigate the equilibrium reinsurance-investment problems for the financial market with unbounded random coefficients or, specifically, an unbounded risk premium. We characterize the problem via a backward stochastic differential equation (BSDE) framework. An explicit solution to the equilibrium strategies is derived for a constant risk aversion under a general class of stochastic models, embracing the constant elasticity of variance (CEV) and Ornstein-Uhlenbeck (OU) processes as special cases. For state-dependent risk aversions, the problem is related to the existence of a solution to a quadratic BSDE with unbounded parameters. A semi-closed form solution is derived, up to the solution to a nonlinear partial differential equation. By examining properties of the equilibrium strategies numerically, we find that the reinsurance decision is greatly affected by the market situation under the state-dependent risk aversion case. We prove the uniqueness of equilibrium strategies for both cases.
Book Synopsis A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities by :
Download or read book A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a geometric approach to discrete time multiperiod mean variance portfolio optimization that largely simplifies the mathematical analysis and the economic interpretation of such model settings. We show that multiperiod mean variance optimal policies can be decomposed in an orthogonal set of basis strategies, each having a clear economic interpretation. This implies that the corresponding multi period mean variance frontiers are spanned by an orthogonal basis of dynamic returns. Specifically, in a k-period model the optimal strategy is a linear combination of a single k-period global minimum second moment strategy and a sequence of k local excess return strategies which expose the dynamic portfolio optimally to each single-period asset excess return. This decomposition is a multi period version of Hansen and Richard (1987) orthogonal representation of single-period mean variance frontiers and naturally extends the basic economic intuition of the static Markowitz model to the multiperiod context. Using the geometric approach to dynamic mean variance optimization we obtain closed form solutions in the i.i.d. setting for portfolios consisting of both assets and liabilities (AL), each modelled by a distinct state variable. As a special case, the solution of the mean variance problem for the asset only case in Li and Ng (2000) follows directly and can be represented in terms of simple products of some single period orthogonal returns. We illustrate the usefulness of our geometric representation of multi-periods optimal policies and mean variance frontiers by discussing specific issued related to AL portfolios: The impact of taking liabilities into account on the implied mean variance frontiers, the quantification of the impact of the investment horizon and the determination of the optimal initial funding ratio.
Book Synopsis A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities by : Markus Leippold
Download or read book A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities written by Markus Leippold and published by . This book was released on 2002 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Robust Equilibrium Excess-of-Loss Reinsurance and CDS Investment Strategies for a Mean-Variance Insurer with Ambiguity Aversion by : Hui Zhao
Download or read book Robust Equilibrium Excess-of-Loss Reinsurance and CDS Investment Strategies for a Mean-Variance Insurer with Ambiguity Aversion written by Hui Zhao and published by . This book was released on 2018 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the robust equilibrium reinsurance and investment strategies for an ambiguity-averse insurer under a dynamic mean-variance criterion. The insurer is allowed to purchase excess-of-loss reinsurance and invest in a financial market consisting of a risk-free asset and a credit default swap (CDS). Following a game theoretic approach, robust equilibrium strategies and equilibrium value functions for the pre-default case and the post-default case are derived, respectively. For the ambiguity-averse insurer, in general the equilibrium strategies can be characterized by unique solutions to some algebraic equations. For the degenerate case with an ambiguity-neutral insurer, closed-form expressions of equilibrium strategies and equilibrium value functions are obtained. Moreover, we provide a simple condition under which the insurer should hold long/short positions in the CDS. Numerical examples demonstrate that the consideration of model uncertainty and CDS investment improves the insurer's utility. In this regard, our paper establishes theoretical and numerical support for the importance of ambiguity aversion, credit risk and their interplay in insurance business.
Download or read book Reinsurance written by Hansjörg Albrecher and published by John Wiley & Sons. This book was released on 2017-11-06 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reinsurance: Actuarial and Statistical Aspects provides a survey of both the academic literature in the field as well as challenges appearing in reinsurance practice and puts the two in perspective. The book is written for researchers with an interest in reinsurance problems, for graduate students with a basic knowledge of probability and statistics as well as for reinsurance practitioners. The focus of the book is on modelling together with the statistical challenges that go along with it. The discussed statistical approaches are illustrated alongside six case studies of insurance loss data sets, ranging from MTPL over fire to storm and flood loss data. Some of the presented material also contains new results that have not yet been published in the research literature. An extensive bibliography provides readers with links for further study.
Book Synopsis Risk Modeling for Appraising Named Peril Index Insurance Products by : Shadreck Mapfumo
Download or read book Risk Modeling for Appraising Named Peril Index Insurance Products written by Shadreck Mapfumo and published by World Bank Publications. This book was released on 2017-04-13 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Named peril index insurance has great potential to address unmet risk management needs for agricultural insurance in developing economies, potentially contributing to increased agricultural sustainability and improved food security. However, the development and appraisal of index insurance business lines is not without challenges. Insurers must rigorously evaluate the quality of the products they offer and take care to ensure that distributors and policyholders understand the benefits and limits of the purchased coverage. Without these important steps to ensure responsible insurance practices, insurers can damage the implementation and potential of index insurance in the market. Risk Modeling for Appraising Named Peril Index Insurance Products: A Guide for Practitioners helps stakeholders in the named peril index insurance industry appraise new and existing products. Part 1 of the guide provides a summary of the insights and decisions required for the insurer to make an informed decision to launch and expand an index insurance business line. Insurance managers are the primary audience for part 1. Part 2 provides a step-by-step guide to calculating the decision metrics used by the insurance manager in part 1. These metrics are calculated using probabilistic modeling that provides insights into risks related to the index insurance product. Actuarial analysts are the primary audience for part 2. In an increasingly competitive insurance market, creative product development and imaginative business strategies are becoming the norm. This guide will help emerging market insurers who seek to stay on the cutting edge to successfully and sustainably penetrate new market segments.
Book Synopsis Reinsurance Reference Guide 2012 Edition by : Albert Amato
Download or read book Reinsurance Reference Guide 2012 Edition written by Albert Amato and published by Lulu.com. This book was released on 2012-01-01 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reference book of reinsurance concepts with background information on commercial insurance policies, captives, risk retention groups and more. This book is practical for professionals in the reinsurance industry or for novices wanting to have a better understanding of reinsurance concepts.
Download or read book Reinsurance written by R.L. Carter and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: There may be some readers of this book who are expecting a sort of Mrs Beeton of reinsurance, whose indications if carefully followed will ensure the satisfactory outcome of any reinsurance operation undertaken. They will, I fear, be disappointed for reinsurance is first and foremost a commercial enterprise, whose successful conduct depends upon so much that cannot be written in books or committed to paper. Above all else, it depends upon people and on the personalities of people as much as on their technical skills. Most reinsurers are born and only some are made, but none the less for either sort this book will be of inestimable benefit as a guide to the principles that lie behind the transaction of a business at once as complex and widespread as reinsurance is by its very nature. One of the main characteristics of this highly specialized business is the infinite variety of situations to which the reinsurer is called upon to adapt his business methods making any standardization of practice possible only on a broad, as opposed to a detailed, basis. This renders any attempt to encompass in one book all the practical alternatives and differences in approach to technical reinsurance problems a virtual impossibility.
Book Synopsis Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference by : Kathrin Glau
Download or read book Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference written by Kathrin Glau and published by World Scientific. This book was released on 2018-09-14 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017.The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance.This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view.
Book Synopsis Optimal Decision on Dynamic Insurance Price and Investment Portfolio of An Insurer with Multi-Dimensional Time-Varying Correlation by : Hong Mao
Download or read book Optimal Decision on Dynamic Insurance Price and Investment Portfolio of An Insurer with Multi-Dimensional Time-Varying Correlation written by Hong Mao and published by . This book was released on 2018 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, a model of optimal insurance pricing and investment strategies is established. The insurance price, investment returns and insured losses are assumed to be correlated stochastic processes. N kinds of invested risky assets following multi-Vasicek model with time-varying correlation are discussed in the investment portfolio. Demand of insurance contracts is considered to affect the price of the contracts. The utility is a performance process and is specified for time t and t is equal to or greater than zero. Dynamical optimal price of an insurance contract and the optimal investment portfolio of an insurer are found simultaneously by maximizing the performance of the insurer. Finally, numerical analysis is carried out with an example. The results show that Treasure Bills, generally considered as a risk-free asset, has been examined to follow the similar pattern as other risky assets in the long run; multi-Vasicek model is an appropriate model to describe the change pattern of the return of risky assets invested. The sensitivity of the change of important parameters on the optimal solutions is analyzed. Particularly, the equally weighted investment portfolio can be an optimal investment strategy under some conditions. The proposed model in this paper can be used to obtain optimal solutions easily even in the situation of high dimensional investment portfolio.
Book Synopsis Multi-period Mean-variance Option Portfolio Strategies by : Jeffrey Cheong Kee Lim
Download or read book Multi-period Mean-variance Option Portfolio Strategies written by Jeffrey Cheong Kee Lim and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Investment Policy for Insurers Under the Constant Elasticity of Variance Model by : Xiaotao Liu
Download or read book Optimal Investment Policy for Insurers Under the Constant Elasticity of Variance Model written by Xiaotao Liu and published by . This book was released on 2018 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We solve in explicit form the optimal portfolio choice problem for an insurer with negative exponential utility over terminal wealth under the constant elasticity of variance (CEV) price model. The surplus process is assumed to follow a Brownian motion with drift and whose risk is correlated with the Brownian motion driving the risky assets. We first derive the corresponding Hamilton-Jacobi-Bellman (HJB) equation, and then simplify it into two parabolic partial differential equations (PDEs) via the variable change techniques. Finally, by the Feynman-Kac formula we solve the two PDEs and obtain the explicit solution of value function as well as the optimal investment policy. We identify four independent components of the optimal investment policy: the myopic, dynamic, static, and delta hedging demands. Previous literature, besides the myopic investment demands, in contrast, only determines either dynamic or static hedge demands, but not the both, not to mention the delta hedge demands. The delta hedging demands can be expressed as integrals of confluent hypergeometric function. We demonstrate that the static hedging demands are to hedge against the hedgeable risk of the surplus and the delta hedging demands further help to reduce the time-varying risk of the static hedged surplus process. Asymptotic analysis shows that as the variance elasticity parameter approaches to zero, both the dynamic and delta hedging demands vanish.
Book Synopsis Optimal Per-Loss Reinsurance and Investment Problem Under Negative Correlation Assumption by : Fudong Wang
Download or read book Optimal Per-Loss Reinsurance and Investment Problem Under Negative Correlation Assumption written by Fudong Wang and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we consider the optimal reinsurance and investment problem for the insurance company, where the insurer can purchase per-loss reinsurance and invest the surplus in a financial market, and the insurer's claim liabilities and capital gains in financial market are negatively correlated which makes our problems more complicated and challenging. We study two optimization problems: minimizing the probability of absolute ruin and maximizing the expected utility of the terminal wealth. By using the dynamic programming and Lagrange multiplier methods, we reduce the infinite-dimensional problem to the one-dimensional problem, and obtain the explicit form of the optimal reinsurance and investment strategies as well as the corresponding value functions. Furthermore, we investigate the impacts of the negative correlation on the optimal strategies, and find that they are totally different in these two problems. For the former, it strongly depends on the wealth level, which means that with the different wealth level, the negative correlation has different influence on the optimal results; but for the latter, both the retained claims and the amount invested in the risky asset increase as the negative correlation becomes stronger.
