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Pareto Optimal Reinsurance Policies With Maximal Synergy
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Book Synopsis Pareto-optimal Reinsurance Policies with Maximal Synergy by : Wenjun Jiang
Download or read book Pareto-optimal Reinsurance Policies with Maximal Synergy written by Wenjun Jiang and published by . This book was released on 2019 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimal reinsurance policies have been studied extensively in the economics and insurance literature. Two types of optimality criteria are commonly used: maximizing the expected utility (EU) or minimizing risks. Understandably, applying the two types of criteria usually will result in different “optimal” policies. To strike a balance between maximizing utility and minimizing risk, Borch (1960b) derived the EU-maximizing reinsurance policies assuming that the admissible policies are those that minimize the total variance of the losses borne by the two parties. This in fact implies that only quota-share policies are admissible and greatly simplifies the problem. In this paper, we follow the approach in Borch (1960b). However, we assume that the two parties apply distortion risk measures instead of variance. We first identify a set of reinsurance policies that minimize the total risk shared by the two parties, then we take this set of policies as admissible and determine the Pareto-optimal policies that maximize the EU of the two parties. In contrast to the results in Borch (1960b), we show that applying risk measures such as the Value at Risk (VaR) and the Tail Value at Risk (TVaR) results in multi-layered policies.
Book Synopsis On Pareto-Optimal Reinsurance with Constraints Under Distortion Risk Measures by : Wenjun Jiang
Download or read book On Pareto-Optimal Reinsurance with Constraints Under Distortion Risk Measures written by Wenjun Jiang and published by . This book was released on 2017 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the Pareto-optimal reinsurance policies, where both the insurer's and the reinsurer's risks and returns are considered. We assume that the risks of the insurer and the reinsurer, as well as the reinsurance premium, are determined by some distortion risk measures with different distortion operators. Under the constraint that a reinsurance policy is feasible only if the resulting risk of each party is below some pre-determined values, we derive explicit expressions for the optimal reinsurance polices. Methodologically, we show that the generalized Neyman-Pearson method, the Lagrange multiplier method, and the dynamic control methods can be utilized to solve the optimization problem with constraints. Special cases when both parties' risks are measured by Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) are studied in great details. Numerical examples are provided to illustrate practical implications of the results.
Book Synopsis Optimal Reinsurance Policies When the Interests of Both the Cedent and the Reinsurer are Taken Into Account by : Wenjun Jiang
Download or read book Optimal Reinsurance Policies When the Interests of Both the Cedent and the Reinsurer are Taken Into Account written by Wenjun Jiang and published by . This book was released on 2018 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimal forms of reinsurance policies have been studied for a long time in actuarial literature. Most existing results are from the insurer's point of view, aiming at maximizing the expected utility or minimizing the risk of the insurer. However, as pointed out by Borch (1969), it is understandable that a reinsurance arrangement which might be very attractive to one party (e.g., insurer) can be quite unacceptable to the other party (e.g., reinsurer). In this paper, we follow this point of view and study forms of Pareto-optimal reinsurance policies whereby one party's risk, measured by its value-at-risk (VaR), cannot be reduced without increasing the VaR of the counter-party in the reinsurance transaction. We show that the Pareto-optimal policies can be determined by minimizing linear combinations of the VaRs of the two parties in the reinsurance transaction. Consequently, we succeed in deriving user-friendly, closed-form, optimal reinsurance policies and their parameter values.
Book Synopsis Actuarial Theory for Dependent Risks by : Michel Denuit
Download or read book Actuarial Theory for Dependent Risks written by Michel Denuit and published by John Wiley & Sons. This book was released on 2006-05-01 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: The increasing complexity of insurance and reinsurance products has seen a growing interest amongst actuaries in the modelling of dependent risks. For efficient risk management, actuaries need to be able to answer fundamental questions such as: Is the correlation structure dangerous? And, if yes, to what extent? Therefore tools to quantify, compare, and model the strength of dependence between different risks are vital. Combining coverage of stochastic order and risk measure theories with the basics of risk management and stochastic dependence, this book provides an essential guide to managing modern financial risk. * Describes how to model risks in incomplete markets, emphasising insurance risks. * Explains how to measure and compare the danger of risks, model their interactions, and measure the strength of their association. * Examines the type of dependence induced by GLM-based credibility models, the bounds on functions of dependent risks, and probabilistic distances between actuarial models. * Detailed presentation of risk measures, stochastic orderings, copula models, dependence concepts and dependence orderings. * Includes numerous exercises allowing a cementing of the concepts by all levels of readers. * Solutions to tasks as well as further examples and exercises can be found on a supporting website. An invaluable reference for both academics and practitioners alike, Actuarial Theory for Dependent Risks will appeal to all those eager to master the up-to-date modelling tools for dependent risks. The inclusion of exercises and practical examples makes the book suitable for advanced courses on risk management in incomplete markets. Traders looking for practical advice on insurance markets will also find much of interest.
Book Synopsis Insurance Economics by : Peter Zweifel
Download or read book Insurance Economics written by Peter Zweifel and published by Springer Science & Business Media. This book was released on 2012-02-24 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting theoretical foundations and empirical research, this text introduces the reader to the core issues and analytical tools of insurance economics, examining in detail a host of key factors including supply and demand, regulation and social insurance.
Book Synopsis Optimal Insurance and Generalized Deductibles by : Kenneth Joseph Arrow
Download or read book Optimal Insurance and Generalized Deductibles written by Kenneth Joseph Arrow and published by . This book was released on 1973 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Slovenia written by Mojmir Mrak and published by World Bank Publications. This book was released on 2004-01-01 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thirteen years after independence from the former Socialist Republic of Yugoslavia, Slovenia has become one of the most advanced transition economies in Central and Eastern Europe and will become a member of the EU in May 2004. This publication examines the country's recent political and socio-economic history, its transition to a market economy and the challenges that lie ahead. It includes contributions from Slovenia's president, a former vice prime minister, the current and previous ministers of finance, the minister of European Affairs, the current and former governors of the Bank of Slovenia, as well as from leading development scholars in Slovenia and abroad.
Book Synopsis Macroeconomic Risk Management Against Natural Disasters by : Stefan Hochrainer
Download or read book Macroeconomic Risk Management Against Natural Disasters written by Stefan Hochrainer and published by Springer Science & Business Media. This book was released on 2007-12-14 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stefan Hochrainer develops a catastrophe risk management model. It illustrates which trade-offs and choices a country must make in managing economic risks due to natural disasters. Budgetary resources are allocated to pre-disaster risk management strategies to reduce the probability of financing gaps. The framework and model approach allows cross country comparisons as well as the assessment of financial vulnerability, macroeconomic risk, and risk management strategies. Three case studies demonstrate its flexibility and coherent approach.
Book Synopsis Insurance Abstracts and Reviews by :
Download or read book Insurance Abstracts and Reviews written by and published by . This book was released on 1987 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Climate Change 2007 by : Intergovernmental Panel on Climate Change. Working Group 2
Download or read book Climate Change 2007 written by Intergovernmental Panel on Climate Change. Working Group 2 and published by . This book was released on 2007 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Supply Chain Risk Management by : Donald Waters
Download or read book Supply Chain Risk Management written by Donald Waters and published by Kogan Page Publishers. This book was released on 2011-10-03 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vulnerability to sudden supply chain disruption is one of the major threats facing companies today. The challenge for businesses today is to mitigate this risk through creating resilient supply chains. Addressing this need, Supply Chain Risk Management guides you through the whole risk management process from start to finish. Using jargon-free language, this accessible book covers the fundamentals of managing risk in supply chains. From identifying the risks to developing and implementing a risk management strategy, this essential text covers everything you need to know about this critical topic. It assesses the growing impact of risk on supply chains, how to plan for and manage disruptions and disasters, and how to mitigate their effects. It examines a whole range of risks to supply chains, from traffic congestion to major environmental disasters. Highly practical, Supply Chain Risk Management provides a range of useful tables, diagrams and tools and is interspersed with real life case study examples from leading companies, including Nokia, IBM, and BP. The 2nd edition has been completely revised with brand new case studies on the Chilean Mining Disaster and BP oil spill.
Book Synopsis Financial Economics by : Thorsten Hens
Download or read book Financial Economics written by Thorsten Hens and published by Springer Science & Business Media. This book was released on 2010-07-01 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial economics is a fascinating topic where ideas from economics, mathematics and, most recently, psychology are combined to understand financial markets. This book gives a concise introduction into this field and includes for the first time recent results from behavioral finance that help to understand many puzzles in traditional finance. The book is tailor made for master and PhD students and includes tests and exercises that enable the students to keep track of their progress. Parts of the book can also be used on a bachelor level. Researchers will find it particularly useful as a source for recent results in behavioral finance and decision theory.
Book Synopsis Catastrophe Insurance by : Martin F. Grace
Download or read book Catastrophe Insurance written by Martin F. Grace and published by Springer Science & Business Media. This book was released on 2003-06-30 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. THE PROBLEM OF CATASTROPHE RISK The risk of large losses from natural disasters in the U.S. has significantly increased in recent years, straining private insurance markets and creating troublesome problems for disaster-prone areas. The threat of mega-catastrophes resulting from intense hurricanes or earthquakes striking major population centers has dramatically altered the insurance environment. Estimates of probable maximum losses (PMLs) to insurers from a mega catastrophe striking the U.S. range up to $100 billion depending on the location and intensity of the event (Applied Insurance Research, 2001).1 A severe disaster could have a significant financial impact on the industry (Cummins, Doherty, and Lo, 2002; Insurance Services Office, 1996a). Estimates of industry gross losses from the terrorist attack on September 11, 2001 range from $30 billion to $50 billion, and the attack's effect on insurance markets underscores the need to understand the dynamics of the supply of and the demand for insurance against extreme events, including natural disasters. Increased catastrophe risk poses difficult challenges for insurers, reinsurers, property owners and public officials (Kleindorfer and Kunreuther, 1999). The fundamental dilemma concerns insurers' ability to handle low-probability, high-consequence (LPHC) events, which generates a host of interrelated issues with respect to how the risk of such events are 1 These probable maximum loss (PML) estimates are based on a SOD-year "return" period.
Book Synopsis Principles of Infrastructure by : Hideo Nakamura
Download or read book Principles of Infrastructure written by Hideo Nakamura and published by . This book was released on 2019-09-24 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: Infrastructure is a priority around the world for all stakeholders. Infrastructure projects can continue for several years, from planning and construction to the provision of services. As development in Asia and the Pacific accelerates, governments must invest more in infrastructure to ensure continued economic growth. This book draws on lessons and case studies from Japan and worldwide, covering broad and long-term infrastructure projects. It describes the principles of developing quality infrastructure and focuses on the various steps of a project--from design, planning, and construction to operation and management. It also discusses overseas development assistance, taking examples from Asian Development Bank and World Bank projects. This book is an important reference tool for policy makers in Asia who are planning and implementing large-scale public infrastructure.
Book Synopsis Economic Development and Islamic Finance by : Zamir Iqbal
Download or read book Economic Development and Islamic Finance written by Zamir Iqbal and published by World Bank Publications. This book was released on 2013-08-05 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although Islamic finance is one of the fastest growing segments of emerging global financial markets, its concepts are not fully exploited especially in the areas of economic development, inclusion, access to finance, and public policy. This volume is to improve understanding of the perspective of Islamic finance on economic development, social and economic justice, human welfare, and economic growth.
Book Synopsis Operational Risk Management in Banks by : Giuliana Birindelli
Download or read book Operational Risk Management in Banks written by Giuliana Birindelli and published by Springer. This book was released on 2017-07-26 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on several topical issues related to the operational risk management in bank: regulation, organisation and strategy. It analyses the connections between the different key-players involved in the operational risk process and the most relevant implications, both operational and strategic, arising from the implementation of the prudential framework.
Book Synopsis The Handbook of Electronic Trading by : Joseph Rosen
Download or read book The Handbook of Electronic Trading written by Joseph Rosen and published by . This book was released on 2009-06-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive look at the challenges of keeping up with liquidity needs and technology advancements. It is also a sourcebook for understandable, practical solutions on trading and technology.
