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Kotsovilis, V. "The revised law of cargo marine insurance : The Institute Cargo Clauses (A), (B) and (C) - 1/1/82." Thesis, University of Essex, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.381870.
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Monemar, Magnus, and Erik Wallin. "Premium Allocation for the Electrolux Cargo Insurance Program using Generalized Linear Models." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-106904.
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Abstract The authors of this report has performed this Master Thesis at the Group Risk Management department of Electrolux AB. Electrolux is a world leading company regarding home appliances. It is a multinational company that operates in over 150 countries worldwide. The Net Sales during 2014 was 112 Billion SEK. With this in mind it leads to the fact that the company generates an extensive amount of transports carrying valuable goods, that is made daily all over the world. Every single transport itself entails a risk for the company, due to the exposure of a claim that can occur. Our study involved that, with the help of statistical modelling identify and quantify risk, which would lie as a basis for a relevant allocation of Electrolux´s cargo insurance policy. The premiums should be allocated to the company´s 190 internal sales companies. Partly by perfoming a survey of Electrolux´s transportflows and a compilation of their claim statistics, we have provided the Risk Management department with underlying facts of the current situation of the companies logistics. With these facts, and the use of generalized linear models, we have managed to provide risks of relevant variables that affect the cargo insurance. These lied as a basis for our final allocation program delivered to Electrolux. The results from this study has given the Risk Management department deeper knowledge of the underlying risks that cause the claims concerning their cargo insurance policy. We have also provided a user-friendly allocation program that will be used when allocating the premiums in the future. From the results we have concluded, we are certain of that Latin America is the region of our study with the highest risk. By the results of our premium allocation program we have also seen that the business sector Major Appliances EMEA has historically payed a lower premium than what they should have done. By this study we have highlighted the issues that can occur when trying to determine risks, due to inconsistent results. To conclude this has been a highly interesting study and by the goals set in the beginning of the project, we feel that they have been accompliched.Sammanfattning Detta examensarbete är utfört på Riskavdelningen på Electrolux AB. Electrolux är ett världsledande företag inom försäljningen av hushållsprodukter. De är ett stort multinationellt företag verksam i fler än 150 länder. Under 2014 hade Electrolux en omsättning på 112 miljarder SEK. Dessa fakta genererar i sig faktumet att företaget utför ett stort antal transporter innehållande värdefulla varor som sker varje dag runt om i världen. Varje transport som utfärdas medför i sin tur en risk för företaget, då det under en transport kan ske en skada. Vårt uppdrag var att, med hjälp av statistisk modellering indentifiera, samt kvantifiera risker vilka skulle ligga som grund till en rättvis allokering av Electrolux transportförsäkringspremie till företagets ca 190 interna säljbolag. Genom en kartläggning av Electrolux transportflöden samt en sammanställning av skadestatistik, har vi försett riskavdelningen med underliggande fakta av hur situationen ser ut i dagsläget. Genom dessa fakta har vi använt generaliserade linjära modeller kunde vi få fram riskbilden för relevanta faktorer som berörde denna transportförsäkring. Dessa låg i sin tur som grund till det slutgiltiga allokeringsprogrammet vi levererade till Electrolux. Reslutaten från vår studie har dels gett Electrolux en djupare förståelse om de bakomliggande riskerna som orsakar de skador som sker under en transport. Vi har också levererat en användarvänlig allokeringsmodell som i framtiden ska allokera ut den centralt förhandlade försäkringspremien. Vi är överygande om att Latinamerika är den mest riskfulla regionen i vår studie. Genom våra allokeringsresultat påvisas det bland annat att business sektorn Major Appliances EMEA historiskt sett haft en för låg premie. Genom denna rapport har vi dock belyst svårigheten med att göra vissa riskbedömningar då vi märkt att resultaten kan skilja sig mycket åt. Detta har varit ett mycket intressant examensarbete för oss och att vi har uppfyllt projektets mål.
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Ababneh, M. M. A. "Underwriting cargo risks under the institute cargo clauses 1982 against the backdrop of English and Jordanian marine insurance law and practice." Thesis, University of East Anglia, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.267995.
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In January 1982 marine cargo insurance was the subject of a very radical change on the London marine insurance market. The changes included the abandonment of the historical S. G. policy and institute clauses of 1963. The market introduced the new MAR policy and a new set of standard cargo clauses, designated A, B, and C. The new Institute Cargo Clauses were designed for use on an international basis and have been adopted in many foreign maritime insurance markets. Subsequent to their introduction they have attracted much attention and debate. The main aim of this research is to thoroughly examine, explain and evaluate all the provisions of the Institute Cargo Clauses, and to assess their success and points of weakness. As the clauses constitute the terms of the relevant contract of marine insurance they must be considered in the context of the Marine Insurance Act of 1906, and also the applicable law cases. The clauses have been investigated on the presumption that English law and practice applies. This thesis also includes a comparison with Jordanian law, with an ancillary section concerned with the placing of marine cargo cover in the Jordanian market where the Institute Cargo Clauses have been adopted, and with the relevant marine insurance provisions in the Jordan Maritime Commercial Law of 1972 also examined. The thesis comprises 11 chapters: except for the first three chapters all follow the structure of the clauses. In summary, the first chapter describes the basic features of the London market and defines its role as the overseer of insurance conditions. This is coupled with an overview of developments in the practical stages of placing cargo cover. The second chapter deals with features of the Jordanian insurance market and reviews the statutes governing its activities, including cargo cover, and the system adopted in placing insurance cover. The third chapter is a linking chapter which gives a brief account of the old system of marine cargo cover and discusses the reasons behind the radical changes in the London market in 1982. Chapter Four deals with the risks covered in the A, B, and C clauses respectively, particular attention being given to all risks cover as it is the most common form used in cargo insurance. Chapter Five analyses the exclusions in the Institute Cargo Clauses with special reference to the General Exclusions Clauses (cl . 4) and the War Exclusion Clause(cl 6) as these provide the most common intersection between `perils insured' and `perils excluded'. Chapter Six discusses the `Duration Clauses', with special consideration being given to the Transit Clause. `Deviation' and `Change of Voyage' are discussed and compared with the relevant statutory provisions in the M. I. A 1906. Chapter Seven deals with claims. Consideration, in particular, is given to the Insurable Interest and Constructive Total Loss clauses. Chapter Eight is devoted to evaluating the effect of inserting the `Benefit of Insurance' Clause in a carriage of goods by sea contract and the impact of the `Not to inure' Clause in marine cargo cover. Chapter Nine examines, in considerable depth, the minimising losses clauses, by discussing the impact of the `Duty of the Assured' Clause and the contradiction between the statutory sue and labour clause in section 78 and section 55 of the M. I. A of 1906. Chapter Ten is concerned with the ambit and the function of the Reasonable Dispatch clause. The last chapter is the conclusion. It is hoped that this work will contribute, with other works in the relevant field, towards a better understanding of underwriting marine cargo cover both in_ the London and the Jordanian markets, and that it may also prove of use and interest to Middle Eastern insurance practitioners and academics.
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Chudá, Klára. "Analýza pojištění obchodně dopravní společnosti." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-124894.
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This thesis on a topic of "Analysis of insurance in trading and transport company" is about insurance products connected with cargo transport. The thesis analysis current insurance products, that a company should have, while in business. These products should secure the company in case of an unexpected insurance event and consists of several type sof insurance, such as liability motor insurance, car insurance, legal protection insurance and third-party insurance. The thesis main point is to show the importace of insurance in cargo transport and describes a komplex view to all the insurance avers that are suitable, useful, redquired and offered by insurance companies, for a company with such a nature of business.
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Бурмістр, В. В. "Страхування морських вантажів." Thesis, Одеський національний економічний університет, 2021. http://local.lib/diploma/Burmistr.pdf.
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Доступ до роботи тільки на території бібліотеки ОНЕУ, для переходу натисніть на посилання нижчеУ роботі розглядаються основи теоретичні основи страхування морських вантажів в Україні - розглянуті основи морського страхування; охарактеризовані страхові компанії на ринку страхування морських вантажів в Україні; охарактеризовані особливості ліцензійних умов страхування морських вантажів в Україні. Оцінені тенденції страхових операцій морських вантажів в Україні; проведена аналітику страхування морських вантажів в СК «Альянс»; оцінена динаміка фінансових показників СК «Альянс». Запропоновано визначити проблеми розвитку страхування морських вантажів в Україні та шляхи їх вирішення; охарактеризована специфіка страхування морських вантажів в ЕС; охарактеризована перспективи страхування морських вантажів в Україні з умовою Євроінтеграції.
The paper considers the basics of the theoretical foundations of marine cargo insurance in Ukraine - the basics of marine insurance; characterized insurance companies in the market of marine cargo insurance in Ukraine; features of licensing conditions of sea cargo insurance in Ukraine are characterized; The tendencies of insurance operations of sea cargoes in Ukraine are estimated; conducted analysis of marine cargo insurance in the Alliance Insurance Company; the dynamics of financial indicators of Alliance Insurance Company is estimated. It is offered to define problems of development of insurance of sea cargoes in Ukraine and ways of their decision; the specifics of marine cargo insurance in the EU are characterized; the prospects of sea cargo insurance in Ukraine with the condition of European integration are characterized.
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Ponocná, Lenka. "Pojistné produkty v souvislosti s přepravou." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-18822.
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First part of this thesis is focused on general characteristic of transport insurance. It describes main distinctions between Cargo Insurance,Liability Insurance for Road Carriers and Liability Insurance for Freight Forwarders. The last part analyses current Czech insurance market related to transport insurance. It targets products of Kooperativa, Allianz and Česká pojišťovna, the biggest non-life insurer on the market. The thesis compares insured risks, territorial extent and claims handling procedures of these products.
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Pereira, Fernanda Chaves. "Bayesian Markov chain Monte Carlo methods in general insurance." Thesis, City University London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.342720.
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Costa, Jorge Filipe Baptista da. "Portfolio Insurance : a comparison of alternative investment strategies." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/10260.
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Mestrado em FinançasEste estudo realiza uma comparação entre as estratégias mais populares de Portfolio Insurance, através da Simulação de Monte Carlo. Este trabalho tem como objectivo definir a melhor estratégia através de diversas comparações e dar um contributo para resolver algumas divergências na literatura. A maioria das comparações realizadas anteriormente não têm em consideração todas as estratégias presentes neste estudo e esta análise pretende acrescentar algumas conclusões relevantes. As estratégias OBPI, CPPI e SLPI são avaliadas através dos momentos da distribuição, rácios de desempenho (Sharpe ratio, Sortino ratio, Omega ratio e Upside Potential ratio) e dominâncias estocásticas nas diversas condições de mercado representadas pelo activo subjacente que segue um movimento Browniano geométrico. De forma a ter uma compreensão da realidade dos mercados financeiros, as estratégias também são aplicadas a três dos maiores índices de acções. Concluímos que as estratégias CPPI 1 e SLPI devem ser preferidas em todos os cenários devido aos elevados rácios de desempenho, elevadas rendibilidades esperadas e a outras medidas. A escolha entre as duas estratégias é feita com base nas preferências do investidor ou gestor, mas também concluímos que a estratégia CPPI 1 domina estocásticamente, a segunda e terceira ordem, todas as restantes estratégias em cenários de mercado bear. De acordo com os resultados obtidos podemos afirmar que um floor de 100% deve ser escolhido devido aos resultados dos rácios de desempenho, rendibilidades esperadas e outras medidas. Esta comparação permite melhorar a eficiência da tomada de decisão de um investidor ou gestor num investimento de Portfolio Insurance.
This study makes a comparison between the most popular strategies of Portfolio Insurance based on Monte Carlo simulation. This work aims to define the best strategy at comparing different strategies and provide a contribution to solving some divergences in literature. Most of the previous comparisons do not take into consideration all the strategies discussed in this study and this analysis intends to add some relevant findings. The OBPI, CPPI and SLPI strategies are evaluated in terms of moments of the distribution, performance ratios (Sharpe ratio, Sortino ratio, Omega ratio and Upside Potential ratio) and stochastic dominance in different market conditions represented by an underlying asset that follows a geometric Brownian motion. In order to have a perception of a real situation in financial markets, the strategies are later also applied to three major stock indices. We find that CPPI 1 and SLPI strategies should be preferred in all scenarios according to the higher performance ratios, the higher expected returns and other measures. The choice between them is based on the preferences of the investor or manager, but we also find that the CPPI 1 strategy stochastically dominates, on second and third order, the others strategies in bear market scenarios. From our results we can state that a value of 100% for the floor should be preferred in terms of performance ratios, expected returns and other measures. This comparison allows improving the efficiency of decision making of an investor or manager in a Portfolio Insurance investment.
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Gertsch, Stefan. "Shortfall Risks of Pension Funds Advantages and Disadvantages of Portfolio Insurance /." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01650381001/$FILE/01650381001.pdf.
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Lindblad, Kalle. "How big is large? : A study of the limit for large insurance claims in case reserves." Thesis, KTH, Matematisk statistik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-102795.
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A company issuing an insurance will provide, in return for a monetary premium, acceptance of the liability to make certain payments to the insured person or company if some beforehand specified event occurs. There will always be a delay between occurrence of this event and actual payment from the insurance company. It is therefore necessary for the company to put aside money for this liability. This money is called the reserve. When a claim is reported, a claim handler will make an estimate of how much the company will have to pay to the claimant. This amount is booked as a liability. This type of reserve is called; "case reserve". When making the estimate, the claim handler has the option of giving the claim a standard reserve or a manual reserve. A standard reserve is a statistically calculated amount based on historical claim costs. This type of reserve is more often used in small claims. A manual reserve is a reserve subjectively decided by the claim handler. This type of reserve is more often used in large claims. This thesis propose a theory to model and calculate an optimal limit above which a claim should be considered large. An application of the method is also applied to some different types of claims.
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Carvalho, João Pereira. "Portfolio insurance strategies : an analysis of path dependencies." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/5893.
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Mestrado em Ciências EmpresariaisThis thesis makes an evaluation of the path-dependency/independency of the most widespread Portfolio Insurance strategies, i.e. CPPI, OBPI and SLPI, using Monte Carlo simulations. Also, it is known that for the CPPI with multiplier higher than 1, an undesirable path-dependent behavior called ‘cash-lock’, can occur in some market scenarios. But in what scenarios and how often? In this thesis we show on an empirical level, that for most of the chosen market scenarios, CPPI 3 and CPPI 5 strategies can in fact get cash-locked easily. This is a rather undesirable feature to investors, particularly if it occurs on investments whose return has to be paid at a long maturity, which is the case for many of the CPPIs offered by financing institutions. To clearly show the path dependency we assume we know the value of the underlying risky asset not only at inception but also at maturity, and study the payoff distributions for the different PI under different market conditions and product specifications. To do so, we proceed with Monte Carlo simulations of the underlying risky asset paths, all conditioned to the same final value using Gaussian Processes for Machine Learning Regression. We model the risky asset as geometric Brownian motion. We expect that this study will contribute to reinforce the idea that CPPI products need affordable solutions to prevent cash-locked investments, which is a major drawback to investors.
Esta tese faz uma avaliação das (in)dependências do caminho das estratégias mais difundidas de Portfolio Insurance (PI), ou seja, CPPI, OBPI e SLPI, utilizando simulações de Monte Carlo. Além disso, sabe-se que para a estratégia CPPI com multiplicador superior a 1, um comportamento dependente do caminho e indesejável chamado ‘cashlock’, i.e bloqueio no activo sem risco, pode ocorrer em alguns cenários de mercado. Mas em que situações e com que frequência? Neste trabalho mostramos por via de simulações, que para a maioria dos cenários de mercado escolhidos, as estratégias CPPI 3 e CPPI 5 podem facilmente ficar . Esta é uma característica muito indesejável para os investidores, especialmente se ocorrer em investimentos que não estão totalmente cobertos e cujo retorno tem que ser pago num longo prazo de vencimento, que é o caso de muitos dos CPPIs oferecidos pelas instituições financeiras. Para destacar a dependência do caminho, assumimos que se sabe o valor do activo de risco na maturidade. Estudamos, assim, as distribuições do valor na maturidade das diferentes estratégias PI sob diferentes condições de mercado e de produto. Para isso, procedemos com simulações de Monte Carlo dos caminhos do activo de risco subjacente, todos condicionados com o mesmo valor final, usando a regressão de Processos Gaussianos para Aprendizagem Automática. Neste estudo, modelou-se o activo de risco de acordo com o movimento Browniano geométrico. Esperamos que este estudo contribua para reforçar a ideia de que os produtos CPPI com m > 1 precisam de soluções acessíveis para evitar que os investimentos terminem em cash-lock, o que é uma grande desvantagem para os investidores.
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Schwarz, Maria. "Constant Proportion Portfolio Insurance Eine empirische Analyse der CPPI-Investmentstrategie unter Berücksichtigung höherer Momente /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04608659001/$FILE/04608659001.pdf.
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Krah, Anne-Sophie [Verfasser], and Ralf [Akademischer Betreuer] Korn. "Least-Squares Monte Carlo Methods in the Life Insurance Sector / Anne-Sophie Krah ; Betreuer: Ralf Korn." Kaiserslautern : Technische Universität Kaiserslautern, 2021. http://d-nb.info/1241117659/34.
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Cathcart, Mark J. "Monte Carlo simulation approaches to the valuation and risk management of unit-linked insurance products with guarantees." Thesis, Heriot-Watt University, 2012. http://hdl.handle.net/10399/2598.
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With the introduction of the Solvency II regulatory framework, insurers face the challenge of managing the risk arising from selling unit-linked products on the market. In this thesis two approaches to this problem are considered: Firstly, an insurer could project the value of their liabilities to some future time using Monte Carlo simulation in order to reserve adequate capital to cover these with a high level of confidence. However, the complex nature of many liabilities means that valuation is a task requiring further simulation. The resulting `nested-simulation' is computationally inefficient and a regression-based approximation technique known as least-squares Monte Carlo (LSMC) simulation is a possible solution. In this thesis, the problem of configuring the LSMC method to efficiently project complex insurance liabilities is considered. The findings are illustrated by applying the technique to a realistic unit-linked life insurance product. Secondly, an insurer could implement a hedging strategy to mitigate their exposure from such products. This requires the calculation of market risk sensitivities (or `Greeks'). For complex, path-dependent liabilities, these sensitivities are typically estimated using simulation. Standard practice is to use a `bump and revalue' method. As well as requiring multiple valuations, this approach can be unreliable for higher order Greeks. In this thesis some alternative estimators are developed. These are implemented for a realistic unit-linked life insurance product within an advanced economic scenario generator model, incorporating stochastic interest rates and stochastic equity volatility.
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Webb, Jared Anthony. "A Topics Analysis Model for Health Insurance Claims." BYU ScholarsArchive, 2013. https://scholarsarchive.byu.edu/etd/3805.
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Mathematical probability has a rich theory and powerful applications. Of particular note is the Markov chain Monte Carlo (MCMC) method for sampling from high dimensional distributions that may not admit a naive analysis. We develop the theory of the MCMC method from first principles and prove its relevance. We also define a Bayesian hierarchical model for generating data. By understanding how data are generated we may infer hidden structure about these models. We use a specific MCMC method called a Gibbs' sampler to discover topic distributions in a hierarchical Bayesian model called Topics Over Time. We propose an innovative use of this model to discover disease and treatment topics in a corpus of health insurance claims data. By representing individuals as mixtures of topics, we are able to consider their future costs on an individual level rather than as part of a large collective.
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Dedes, Vasilis. "How to determine fair value for life insurance policies in a secondary market." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-45168.
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In this study a methodological approach is presented on how transactions in the secondary market for life insurance policies can be fairly priced for both policyholders and life settlement companies. Monte Carlo simulation of mortality on a pool constructed based on actual data of 85 life settlement transactions shows that a realistic assumption for the range of offered prices is limited to 15% and 20% of the face amount of the policy, given a required return of 7%. The power of the proffered pricing approach is ensured by assessing and managing mortality risk along with the other pertinent risks using stress testing, where mortality risk appears to be analogous to some extent with systematic risk on other markets of assets.
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Zárubová, Radka. "Simulační model vývoje penzijního připojištění." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-73034.
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First, this thesis introduces the system of pension insurance with state contribution including its proposed amendment made in 2009. Its aim is to forecast and to analyse expected development in pension insurance with state contribution. The main part of the thesis is focused on the simulation model of this insurance product. Within this model, annual interest on contributions is randomly generated and the amount of money a client of a hypothetical pension fund would receive is calculated. To facilitate this simulation, I programmed and attached (as a part of the thesis) an application in VBA language which enables to run this simulation in the preset number of replications. The thesis gives four examples of simulation experiments -- a simulation of pension insurance, and a simulation of pension saving, both versions both with and without contributions made by client's employer. The comparison of the expected efficiency of the both systems from the point of view of the government and a client is drawn at the end of the thesis.
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Assad, Alaim Mosciaro. "Aplicação da metodologia LDA para gestão do risco operacional de companhia seguradora." Universidade Presbiteriana Mackenzie, 2013. http://tede.mackenzie.br/jspui/handle/tede/599.
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Previous issue date: 2013-08-19Fundo Mackenzie de Pesquisa
The Operational Risk did not receive much attention from firms, regulators and the market until the event of the fraud on Bahrings Bank, in 1995. The regulatory agencies have issued more complex and rigorous regulations in reply to this and to many other events of operational losses. Their goal is to improve the quality of the controls of the financial institutions, as well as to mitigate the occurrence of new events of this kind. As a new discipline, the regulatory agencies have been incentivizing the financial firms to develop advance approaches based on internal models. In response, they shall have a decrease on the regulatory capital applicable. In other hand, the financial firms themselves shall benefit from na internal model that fits their characteristics, and so, as taylor made. The goal of this research is to study the development of an internal model for operational risk, based on LDA, which has been largely used by financial firms worldwide. The focus on an Insurance company is due to the expressive growth of this market in the later years, which has giving it an increasing importance to the national economy as well as institutional investors role.
Até 1995, com a fraude do Banco Bahrings, não era dada maior relevância ao Risco Operacional pelas firmas, órgãos reguladores e pelo mercado em geral. Após esse e uma série de outros eventos de perdas, algumas delas com consequências desastrosas para o mercado financeiro, os órgãos reguladores passaram a publicar regulamentações cada vez mais rigorosas, para melhorar o controle das instituições financeiras, e evitar a ocorrência de novas perdas. Esses requerimentos regulatórios, dado o seu caráter ainda incipiente, estimulam o desenvolvimento de técnicas de abordagens avançadas, calcadas em modelos internos, com a promessa que, como um modelo de gestão adequado às características de cada instituição será mais eficiente, em consequência, reduzirá a necessidade de capital regulatório. Esta pesquisa encaixa-se no rol desse desenvolvimento do conhecimento das técnicas de gestão avançadas do Risco Operacional, ao abordar o desenvolvimento de um modelo de gestão de Riscos Operacionais baseado numa dessas técnicas avançadas: a distribuição de perdas operacionais (LDA). A LDA vem sendo cada vez mais utilizada pelas instituições financeiras internacionais, e seu uso já é previsto nos normativos regulamentares nacionais em fase de audiência pública. A ênfase da aplicação desta pesquisa numa companhia seguradora se deve ao expressivo crescimento do setor nos últimos anos, que vem lhe conferindo importância cada vez maior na economia, especialmente quanto ao seu papel de investidor institucional.
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Szarková, Lucia. "Podnikateľské riziká v poisťovníctve a ich kvantifikácia." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-192614.
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Diploma thesis Business risks in insurance and their quantification describes the business risks to which insurance companies are exposed in their activities. Thesis is focused on market risk and quantification of market risk in insurance companies. It includes determination of the specifications for the activities of insurance companies, regulation and characteric of business risks in insurance. Large part of the thesis deals with the method of Value at Risk as a tool to measure market risk as well as individual methods to calculate it. In the conclusion, thesis describes the processes of quantification of market risk in Generali PPF Holding and in Česká poisťovňa, which gives a practical insight into the issues of market risk in insurance companies.
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Mraoua, Mohammed. "Gestion du risque climatique par l'utilisation des produits dérivés d'assurance." Phd thesis, INSA de Rouen, 2013. http://tel.archives-ouvertes.fr/tel-00845895.
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Cette thèse s'intéresse à la gestion du risque climatique par l'utilisation des produits dérivés climatiques. Les travaux réalisés dans le cadre de cette thèse sont une contribution aux aspects statistiques, économétriques et financiers de la modélisation et de l'évaluation des produits dérivés climatiques. Un intérêt particulier a été accordé au contexte marocain aussi bien au niveau du volet qualitatif que quantitatif. En plus des développements théoriques que nous avons apportés (tests statistiques pour vérifier l'impact du climat sur l'économie, amélioration d'un modèle de prévision de la température moyenne quotidienne, confirmation du choix de la température moyenne, au lieu des températures extrêmes, comme sous-jacent pour les contrats basés sur la température, etc.), nous avons proposé des cas de gestion entre opérateurs économiques marocains exerçant des activités sensibles à l'aléa climatique avec des profils de risque différents en leur apportant des solutions de couverture basées sur l'utilisation de produits dérivés climatiques.
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Mostoufi, Mina. "Eléments de théorie du risque en finance et assurance." Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010044/document.
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Cette thèse traite de la théorie du risque en finance et en assurance. La mise en pratique du concept de comonotonie, la dépendance du risque au sens fort, est décrite pour identifier l’optimum de Pareto et les allocations individuellement rationnelles Pareto optimales, la tarification des options et la quantification des risques. De plus, il est démontré que l’aversion au risque monotone à gauche, un raffinement pertinent de l’aversion forte au risque, caractérise tout décideur à la Yaari, pour qui, l’assurance avec franchise est optimale. Le concept de comonotonie est introduit et discuté dans le chapitre 1. Dans le cas de risques multiples, on adopte l’idée qu’une forme naturelle pour les compagnies d’assurance de partager les risques est la Pareto optimalité risque par risque. De plus, l’optimum de Pareto et les allocations individuelles Pareto optimales sont caractérisées. Le chapitre 2 étudie l’application du concept de comonotonie dans la tarification des options et la quantification des risques. Une nouvelle variable de contrôle de la méthode de Monte Carlo est introduite et appliquée aux “basket options”, aux options asiatiques et à la TVaR. Finalement dans le chapitre 3, l’aversion au risque au sens fort est raffinée par l’introduction de l’aversion au risque monotone à gauche qui caractérise l’optimalité de l’assurance avec franchise dans le modèle de Yaari. De plus, il est montré que le calcul de la franchise s’effectue aisémentThis thesis deals with the risk theory in Finance and Insurance. Application of the Comonotonicity concept, the strongest risk dependence, is described for identifying the Pareto optima and Individually Rational Pareto optima allocations, option pricing and quantification of risk. Furthermore it is shown that the left monotone risk aversion, a meaningful refinement of strong risk aversion, characterizes Yaari’s decision makers for whom deductible insurance is optimal. The concept of Comonotonicity is introduced and discussed in Chapter 1. In case of multiple risks, the idea that a natural way for insurance companies to optimally share risks is risk by risk Pareto-optimality is adopted. Moreover, the Pareto optimal and individually Pareto optimal allocations are characterized. The Chapter 2 investigates the application of the Comonotonicity concept in option pricing and quantification of risk. A novel control variate Monte Carlo method is introduced and its application is explained for basket options, Asian options and TVaR. Finally in Chapter 3 the strong risk aversion is refined by introducing the left-monotone risk aversion which characterizes the optimality of deductible insurance within the Yaari’s model. More importantly, it is shown that the computation of the deductible is tractable
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CHEN, CHIA-WEI, and 陳嘉緯. "Insurable Interest in Marine Cargo Insurance." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/44962137651533323153.
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碩士國立高雄大學
財經法律學系碩士班
105
Taiwan is located in the intersection of Southeast and Northeast Asian countries, which is an advantageous geographical location for a country that bases its development on imports and exports. Marine cargo plays a critical role in international trading, which is largely reliant on marine transport despite the current development of air transport. Marine transport is however vulnerable to risks of damages of varying types. Given the business philosophy of risk distribution and sustainable management, purchasing marine cargo insurance is necessary to divert the risk from the marine trader to the insurer. Thus, the policyholder can receive compensations when a large amount of loss is incurred as a result of an accidental incident on the sea. However, the insurable interest in the policyholder’s marine cargo insurance is based on economic benefits as well as the risks involved. In this study, we analyze the meaning of insurable interest based on the concept of marine insurance and examine the time point at which insurable interest should exist. Subsequently, the insurable interest in marine cargo insurance for everyone involved is described and substantiated with examples of international trading practice. A discussion is conducted on the third-party benefit of the marine cargo insurance. Finally, a conclusion is drawn and recommendations are proposed on the basis of the aforementioned content. This study involves discussing the legal problems pertaining to the insurable interest in marine cargo insurance. In the international community, disputes concerning marine insurance are largely handled by following the U.K. legal system. Therefore, the statutory law and opinions of the court are crucial in practice, such as the Marine Insurance Act 1906, which stipulates regulations relevant to insurable interest in Articles 4 to 15. In Taiwan, legal policies to regulate insurable interest are currently inadequate. According to Article 1 of the Civil Code, the U.K. laws may be adopted where necessary.
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Luo, Zun-Wei, and 羅俊瑋. "The new Institute Cargo Insurance Clauses Research." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/19448857693551911003.
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Yun-Yen, Chuang, and 莊雲雁. "The Study on Duration of Marine Cargo Insurance." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/10792630122406089677.
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碩士長榮大學
航運管理研究所
96
Abstract Taiwan is an island which surrounded with sea. Each trade act all relies on the sea and air transportation. Therefore marine transit becomes one of the main transportation modes to foreign trade. The ships and goods sailing on the sea, which in the face of varied risks. The marine transportation and marine trade proprietors used to use marine insurance to transfer the risks. So that when the perils take place they can obtain prompt compensation to reduce their attack on finance. However, in marine insurance practice, insurance duration is one of the accounts to judge weather the cargo claim will come into existence. To the insurer, insurance duration is the account to judge weather he should responsible for the claim. To the assured insurance duration is the account to judge weather he has the right to make claim for compensation. Thus insurance duration will have great effect to both parties. Therefore it goes without saying that the importance of duration to marine cargo insurance. This study discusses and compares Institute Cargo Clauses 1982, Institute Cargo Clauses (AIR) 1982, American Institute Cargo Clauses 2004, UNCTAD Cargo Clause and China Insurance Clause about cargo insurance duration’s regulations, then discover that almost all regulations about duration are the same. However, there is reduction of duration to 30 days after unloading in ICC (AIR) and in UNCTAD Cargo Clause the duration about after unloading is decide by both parties. In UNCTAD Cargo Clause there has the regulation about take insured cargo by any authorized persons in termination of insurance. And UNCTAD Cargo Clause and China Insurance Clause for change of voyage all without regulation of Held Cover to assured. In AICC 2004, it regulate the effect of insurance can extend 30 days by assured and the termination by carriage of contract doesn’t affect the effect of insurance. Besides, AICC 2004 also have the regulation on below: the effect of insurance on insured cargo sells after unloading, the duration about change of voyage and the effects of transit paused by insurer for the purpose of establishment of loss or damage. Further, AICC 2004 has the regulation that distinct from ICC 1982 about the circumstances of shipments returned or refused and Consolidation/ Deconsolidation. Finally, from the circumstances on duration of marine cargo insurance in practice to suggest when insured and assured to accord the contract could add the clause in AICC 2004 and UNCTAD Clause that different from ICC 1982 to cater to transportation demand. And assured should fully aware which stage is his risk and according this to arrange insurance. Beside should confirm the risk of loading/unloading on the policy. Keywords: marine insurance, insurance duration, voyage policy, cargo insurance clause.
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Lin, Show Yuan, and 林秀圓. "Research For United States Marine Cargo Insurance Modle Clauses." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/86920802591975861383.
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Chen, Amy, and 陳是旭. "The Working Process Integration of Manufacturer’s Marine Cargo Insurance." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/73un4h.
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碩士國立臺灣科技大學
管理研究所
95
Competitive advantage of an enterprise mainly consist of efficiency and cost leadership where continuous improvement on working process and efficiency through innovative adoption of computer technology are the approaches widely used. All these efforts are aiming at the goal of increasing value for the customers. The purpose of this research is to study and to propose an integrated solution, combining the resources contributed from the expertise of supplier’s respective professions in order to impress customers by value added service. The research is made from the perspective of an export-orientated manufacturer, focusing on marine cargo related insurance issues. The implementation process are based upon the eight steps for organizational changes as outlined in Kotter’s“Leading Change”(1998) in association with critical elements such as preparation of marine cargo insurance; design of large size insurance policy; insurance fee adjustment factor; loss/damage prevention and after service mechanism that happen in real business environment. This is a research that involves academic theory and factual business practice, I hope to present findings that will provide good references, hopefully helpful for enterprises to achieve cost leadership and competitive advantage.
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JEN, TE-CHIH, and 任德智. "The Comparison of Carriers'' Liability for Marine Cargo and Marine Insurance." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/11536795375700640083.
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Chen, Chen Chien, and 陳芊蓁. "A Study of Liability of Cargo Damages in International Logisticsand Insurance." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/80260007969336226401.
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碩士國立高雄海洋科技大學
航運管理研究所
97
When our government is plan for developing Taiwan as an Asia-Pacific Regional Operations Center and international trading business, we could find the importance of the logistics industry to link other country by looking into the logistics data for Taiwan and other countries in Asia. In order to provide a more complete service to their customers, logistics companies not only work on professional job assignments but also provide wider services for customers. Traditional storages and transports also upgraded into a logistics centers. Hence, companies now bear more logistics liabilities while their businesses grow wider and deeper. This article analyzes legislation definitions for different logistics stages. It also discusses how domestic legislations regulate logistics companies on cargo damages during transportation. In addition, this article also provides appropriate international regulations when merchandises are shipped internationally. International logistics companies now encounter greater risks, when transportation damage compensations might become huge operational risks and financial burdens. Therefore, how intentional logistics providers utilize logistics liability insurances to hedge their risks away has become a critical lesson for every company. After analyzing and comparing liability insurance contracts from different insurance companies, we found that domestic insurance providers have not put the concept of “logistics liability” into integration. Besides, the fact that insurance contracts are divided into each different contracts based on different logistics operation stages has caused logistics companies troubles when they purchase insurance products. Regarding international insurance contracts, this article analyzes and differentiates contracts from PICC Property & Casualty Co. Ltd and Through Transport Mutual Insurance Association Limited. Lastly, after different researches above, this article suggests international logistics companies to choose their contract contents cautiously. Domestic insurance providers are also expected to design individual liability contracts for international logistics companies to develop a win-win situation for both international logistics and insurance companies.
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Li, Chi-Wei, and 李紀薇. "The blockage and countermeasure of Subrogation Right in Marine Cargo Insurance." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/16111289652544006358.
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碩士長榮大學
航運管理研究所
95
The subrogation right is very important operation segment for marine cargo insurances; it is arising from the principle of indemnity. The subrogation rights could prevent the insured from getting more illegal compensation from the insurance company. Besides, regarding to the responsible third party, they could not escape their responsibilities through the insurance system. Subrogation right is also a bridge to combine the law and the social justice. However, when the subrogation right belonged to the insured and the insured do not protect the right quite well, it would be accessibly the insurer to administer it, and has accounted for the blockage of subrogation right. Unfortunately, there is no clear and precise definition of subrogation right in Taiwan’s Insurance Law. Thus; this study discusses all kind of the marine cargo insurance subrogation right blockage by induction and comparison. The study found that the efficacy of the subrogation right blockage is different before the reparation and after the reparation. Before get the reparation, the subrogation right blockage is no efficacy, and the insurer could to ask amends. Adversely, if the insured had already got the reparation, the efficacy of the subrogation right blockage is invalid. Aside from these, if the blockage of Subrogation Right are made from the insured, that the efficacy are the same before getting the reparation. Finally, we make three proposals of the blockage of the subrogation right deductively: 1.Remodels the insurance law; 2.Making the endorsement as special clauses; 3.Inquired the item of the subrogation right in the application form. And we hope it could protect the insurer, and carry out the objective in law of subrogation right.
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Cheng, Jiun-Wei, and 鄭鈞瑋. "A study on the claim practice of marine cargo insurance and subrogation law." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/34gtva.
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Fang, Ya-Hsin, and 方雅欣. "A Study on Bear Risk of International Commercial Terms and Duration of Cargo Insurance." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/82593146533733170031.
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碩士國立高雄海洋科技大學
航運管理研究所
101
Bear risk of International Commercial Terms and duration of cargo insurance are usually not the same. In marine insurance practice, to determine whether the claims are founded depends on the following factors：risk points does the claimant have an insurable interest, and whether the loss occurs within the period of insurance coverage. This study based on Incoterms®2010, summarizes the relevant literature about Incoterms background and content of the amendments. Besides, the definition, existing point and transfer of the insurance interest in practical area are discussed. Furthermore, this study analyzes the convergence point of duration of Institute Cargo Clauses and Incoterms risk transfer. The conclusion of this study is that buyers and sellers both usually follow trade regulations and agree "risk transfer" therefore confirm their risk transfer point. It not only clarifies trade disputes, but helps insurers recognize insurance interest, as a basis of damage compensation. Hence, the risk-bearer is the one with insurable interest. According to ICC clause 8, the valid and terminative timing of duration of insurance are necessary for judgments of indemnity. In ICC, 2009, some clauses have been modified and the coverage is widened to offer more protections to the assured. For international trade both buyers and sellers should follow the regulations of risk transfer and pay attention to the risk transfer timing. To avoid the window period of insurance, this study generalizes some ways to arrange the duration of the insurances and gives advices of insurance to both buyers and sellers.
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Hao, Wang-Shih, and 王世豪. "A Study on Marine Cargo Claims and Insurance Survey between both sides of the Taiwan Strait." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/67990123297886087510.
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碩士國立臺灣海洋大學
海洋法律研究所
92
Marine cargo claimant attorneys are haunted by three recurring fears which may at time reach nightmare proportions. They are concerned that they will not take suit in time, that they will proceed against the wrong party, or that they will take suit in the name of a person who does not have a right to claim. Who may claim or take suit depends on numbers factors including whether suit is taken in contract or in tort, whether the contract of carriage is covered by bill of lading or by a waybill, what law is applicable to the carriage contract, and, where the carriage contract is tied into a larger transaction involving a contract of sale, the conditions of the sale between the shipper and the consignee and the law applicable to that sale. R.O.C and P.R.O.C joined World Trade Organization, insurance market and national trade market are more close than before. Marine surveyor is very important of part of the marine cargo claims. About regulation governing of Marine Surveyor in Taiwan and Mainland china. The content including with Insurance Law of R.O.C and Regulation Governing of Loss Adjuster of Insurance in R.O.C; the content including with Insurance Law of P.R.O.C and Regulation Governing of Insurance Survey Organization in P.R.O.C . The objective of this paper is to the study for the comparison of marine cargo claims and insurance survey between both of the Taiwan Strait.
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Hsu, Seng-Chih, and 許聖之. "The Legal Principle of Marine Insurance for Insured's claim is on the Basis of Cargo Claim Procedure." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/03025607260995267353.
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碩士國立臺灣海洋大學
海洋法律研究所
92
Abstract The consignors or the owners of cargo have to effectively use the less economic cost to take all kinds of procedures in order to manage and control the uncertain risks of the cargo transported over seas. To take marine cargo insurance can effectively to disperse the risks but the only problem is the owners of the cargo certainly have to understand the complicated and trivial cargo claim procedure after they participate in the marine insurance. Secondary, when the cargo loss or damaged during the transportation over seas, there are two objects that the owner of the cargo can claim their right to. One is on the basis of carriage contract and the Tort they can ask cargo claim and the other is on the relationship of the insurance contract they can claim the payment of insurance amount. Because the different objects to use the right, the matters to be attended are also different. So as to give evidence and counterplea to be faced with are also different. This article develops on the opinion of the insured to discuss the problems the owner of cargo will face with during the cargo claim procedure and the resolutions. It is expected to sum up the related laws and practice to help the owner of cargo to claim more smoothly. This article describes the things to be attended before the contracts of the cargo claim are agreed and how to deal with the cargo and keep the related evidence after the cargo claim happened. It discussed about the content, function and efficiency of the survey report which to decide cargo claim or not. It is further to discuss the importance of the marine survey report on the cargo claim. It presents the difference between the theory and practice on the conclusion. It is expected to make the marine insurance to get perfect by clarifying the right and obligation between the interests and decreasing the argument. Keyword：Marine Insurance、Insured、Claim、Cargo Claim、Marine Survey Report.
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LIN, ZE-JING, and 林澤青. "A Study On Marine Cargo Conveyance Insurance－Focusing On Maritime Law Between Both Sides of The Taiwan Strait." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/61520157530776975348.
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Liang, Jui-Hwa, and 梁銳華. "The Strategy for Insurers on the Global Logistic Risk- A Case Study on the Marine Cargo Insurance of Electronic Industry." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/05490055515134208204.
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碩士國立政治大學
風險管理與保險研究所
95
With the blooming growth of high-tech industry, the electronic industry pursued for swiftness and clients satisfaction as well as the fast development of logistics business, risk of cargo distribution had transformed from the traditionally low-risk lineal “door to door” model to a high-risk complex structure of network composed by Hubs, Configuration Centers, warehouses, contractors, and sub-tractors. Moreover, the intense competitiveness among insurers and insurance agents as well as the cost-down strategy on cargo transit insurance premium of high-tech companies even make the loss-claim ratio have stayed high for such a long time. By studying cases of specific high-tech company claiming for great loss amount, we herby conclude several main causes of loss during transit and bring up suggestions on Underwriting, Claim Adjustment, Logistics Warehouse, Carrier Loss Prevention, and Logistics Management for your reference. In the future, in terms of risk management and diversification, we should not only aggressively adjust our underwriting strategy, enhance co-insurance policy but also strengthen investigations on the warehouse staffs and designate supplier adequate responsibilities. Besides, what’s more important is to alter the myth of being purely interest-oriented and to discard the thought of expanding market percentage by cutting prices, only then we could really make a sound foundation at the market instead of suffering malignant competition with each other. Key Word：Electronic Industry，Global Logistic，Supply Chain，Risk Management，Loss Frequency，Loss Severity，Underwriting Strategy，Claim Management，Loss Ratio。
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Novotný, Filip. "Pojištění v námořní nákladní přepravě z mezinárodního hlediska - vybrané aspekty." Master's thesis, 2018. http://www.nusl.cz/ntk/nusl-389745.
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The thesis diploma is focused on the issue of insurance in maritime transport of goods from international point of view. Marine insurance is very important part of sea transport and belongs among the most important components of its smooth functioning. The objective of the thesis diploma is to introduce and explain the topic of marine insurance in comprehensive manner, using domestic and foreing law, literature and judicial decisions. The thesis diploma is focused on English law which is considered to be the most developed in this field. The reason I chose this topic is my personal interest in both marine insurance and sea transport, since I consider both fields to be very important part of international commerce. The first chapter is dedicated to the definition of relevant terms, subsumption of sea transport into a legal framework of carriage and forwardning relations and division of sea transport. The first chapter provides as well a list of important legal enactments relevant to the topic of the thesis diploma. The second chapter is the core of the work, since it provides closer explanation of the contract of insurance in Czech and English law. In terms of the second chapter the work pays attention to the process of formation of insurance contracts in English law, and to the importance of a...
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Жемалдінов, Д. О. "Сучасний стан та перспективи розвитку морського страхування в Україні." Thesis, 2018. http://dspace.oneu.edu.ua/jspui/handle/123456789/7363.
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Кваліфікаційна робота магістра складається з трьох розділів.
Об’єкт дослідження – теоретичні, методологічні та практичні положення щодо здійснення морського страхування.
Проаналізовано - історичні аспекти зародження морського страхування, показники діяльності страхових компаній з морського страхування, відносини між страховиком та страхувальником з приводу здійснення морського страхування, виділені головні проблеми розвитку морського страхування.
Запропоновано - поліпшення умов проведення морського страхування завдяки внесення змін в правову базу, переймання іноземного досвіду впровадження морського страхування, вдосконалення продуктів для морського страхування та методів їх впровадження.Квалификационная работа магистра состоит из трех разделов. Объект исследования – теоретические, методологические и практические положения относительно осуществления морского страхования. Проанализированы исторические аспекты зарождения морского страхования, показатели деятельности страховых компаний с морского страхования, отношения между страховщиком и страхователем по поводу осуществления морского страхования, выделены главные проблемы развития морского страхования. Предложено улучшение условий проведения морского страхования благодаря внесению изменений в правовую базу, перенимание иностранного опыта внедрения морского страхования, совершенствование продуктов для морского страхования и методов их внедрения.
Thesis consists of three chapters. Object of study - theoretical, methodological and practical provisions for the implementation of maritime insurance. Analyzed - historical aspects of the origin of marine insurance, indicators of the activity of insurance companies in marine insurance, the relationship between the insurer and the insured on the implementation of maritime insurance, highlighted the main problems of the development of marine insurance. It is proposed to improve the conditions for maritime insurance through the introduction of changes in the legal framework, the adoption of foreign experience in the implementation of maritime insurance, the improvement of products for marine insurance and the methods of their implementation.
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SOUKUP, Václav. "Problematika přepravy v mezinárodním obchodě." Master's thesis, 2014. http://www.nusl.cz/ntk/nusl-173467.
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This diploma thesis deals with international shipping. Transportation in international trade holds, despite unstable developments during the last few years, is of vital importance. The main factor that affects most of the weaknesses associated with the current issue of transportation, the effect of the impact of the global economic crisis. The thesis also focuses on detail to frequent damage of cargo and proposes measures for their elimination.
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Lin, Chi, and 林琪. "Monte Carlo Valuation of Surrender Option in Life Insurance." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/33250562605679430746.
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碩士國立高雄第一科技大學
金融系碩士班理財組
103
After the financial tsunami, Investment-oriented insurance products become less attractive due to the characteristic of financially autonomous cause investors experienced a great loss. Life insurance products which emphasize capital preservation become more popular than before. Therefore, life insurance companies may be affected if the interest rates change in the future. For example, investors may surrender their life insurance policies and ask for cash surrender value. This study will examine the surrender value on life insurance policies by using stochastic interest rate and mortality rates. We hope the result could provide life insurance companies in estimating the cost of policies in order to reduce the surrendered risk. The results show that surrender option value would become higher and would lead to surrender insurance policies if the level of interest rates and interest rate volatility getting higher or surrender costs and customer loyalty become lower. This would cause insurance companies sudden a great risk of liquidation.
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Yu, Teng-Yuan, and 游登媛. "Valuation of Guaranteed Lifelong Withdrawal Benefits for Insurance Products : Monte Carlo Approach." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/f6xuu4.
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碩士東吳大學
財務工程與精算數學系
102
In this thesis, we deal with the problem of financial valuation of Variable Annuities (VAs)with guaranteed lifelong withdrawal benefits （GLWB）. We assume the invested fund of the GLWB follows a Geometric Brownian Motion （GBM）. We consider products without accumulation period and discrete withdrawal scheme. This study proposes three variations of Monte Carlo simulation methods. These methods utilize the concept of control variates. The results show that variance can be reduced to two hundred times as much.
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Hsu, Yun-Hsin, and 許勻馨. "A Premium Ratemaking for Environmental Pollution Liability Insurance with Monde Carlo Method." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/93884893786306289544.
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碩士銘傳大學
風險管理與保險學系碩士班
103
Since severe environmental pollution events have been happened in Taiwan, Taiwan Environmental Protection Administration enacted “Soil and Groundwater Pollution Remediation Act“ in 2000 on the basis of conservation for sustainable resources. To establish complete mechanisms for prevention of environmental pollution, loss compensation and recovery of natural resources, Taiwan Environmental Protection Administration planned a draft “Environmental Liability” in 2011. Liability insurance for environmental pollution is an effective risk financial strategy to transfer loss and risk of environmental pollution for common enterprises. This research collected historical loss data for soil and groundwater pollution sites to evaluate premium rates with VaR (Value at Risk) and CVaR (Conditional Value at Risk) based on compulsory insurance. This research also estimate pure premium with Monde Carlo method at confident level of 95% and 99%, and consider varied amount of insurance and deductible. The study used two simulation softwares. The @risk has more functions and test methods, which can fit close data''s distribution structure, than Crystal Ball. However, Crystal ball shows clearer charts than @Risk for presenting simuluated VaR and CVaR values. The historical cost data for domestic soil and groundwater pollution loss could match with a fat-tail distribution function. The best fit distribution function is the @risk Lognormal function. Sensitivity analysis on simulation numbers demonstrated the consistency over 0.1 million; however, the simulated numbers was set as 2 million to keep stabilization in this study. The VaR values are closer in line with historical values than CVaR values. Due to function fat-tail characteristic, casts have overestimated in CVaR.
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Ha, Hongjun. "Essays on Computational Problems in Insurance." 2016. http://scholarworks.gsu.edu/rmi_diss/40.
Full textAbstract:
This dissertation consists of two chapters. The first chapter establishes an algorithm for calculating capital requirements. The calculation of capital requirements for financial institutions usually entails a reevaluation of the company's assets and liabilities at some future point in time for a (large) number of stochastic forecasts of economic and firm-specific variables. The complexity of this nested valuation problem leads many companies to struggle with the implementation. The current chapter proposes and analyzes a novel approach to this computational problem based on least-squares regression and Monte Carlo simulations. Our approach is motivated by a well-known method for pricing non-European derivatives. We study convergence of the algorithm and analyze the resulting estimate for practically important risk measures. Moreover, we address the problem of how to choose the regressors, and show that an optimal choice is given by the left singular functions of the corresponding valuation operator. Our numerical examples demonstrate that the algorithm can produce accurate results at relatively low computational costs, particularly when relying on the optimal basis functions. The second chapter discusses another application of regression-based methods, in the context of pricing variable annuities. Advanced life insurance products with exercise-dependent financial guarantees present challenging problems in view of pricing and risk management. In particular, due to the complexity of the guarantees and since practical valuation frameworks include a variety of stochastic risk factors, conventional methods that are based on the discretization of the underlying (Markov) state space may not be feasible. As a practical alternative, this chapter explores the applicability of Least-Squares Monte Carlo (LSM) methods familiar from American option pricing in this context. Unlike previous literature we consider optionality beyond surrendering the contract, where we focus on popular withdrawal benefits - so-called GMWBs - within Variable Annuities. We introduce different LSM variants, particularly the regression-now and regression-later approaches, and explore their viability and potential pitfalls. We commence our numerical analysis in a basic Black-Scholes framework, where we compare the LSM results to those from a discretization approach. We then extend the model to include various relevant risk factors and compare the results to those from the basic framework.
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Chen, Wei-Chen, and 陳薇箴. "A premium making method for natural disaster insurance on rice crop with Monte Carlo Simulation." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/ab9q9h.
Full textAbstract:
碩士銘傳大學
風險管理與保險學系碩士班
103
Along with climate change, frequency and severity of natural disaster have been increased. Taiwan, located in the subtropical regions, have been seriously influenced by typhoons. Moreover, natural disasters caused severe loss on crop farmers because of complex terrain. However, the amounts of disaster compensation from government and existing disaster insurance policies could not effectively cover the significant losses for crop farmers. In this study, we propose a pure premium method to estimate the insurance rate of rice crop with Monte Carlo method, VaR(Value at Risk) values and historical data for past 20 years. Besides, by using two simulation softwares (@Risk and Crystal Ball), this study will use five tests, Anderson-Darling Test, Pearson’s Chi-Square Test, Kolmogorov-Smirnov Test, Akaike Information Criterion Test, and Bayesian Information Criterion Test, to perform goodness-of-fit tests for loss data. The 40 probability density functions were utilized to cite the best fit function with 95% confidence level; the consequence of the loss amount is fitted with Lognormal distribution. Besides, the best function that is fitted to the annual value of production is Uniform distribution. Rating the natural disaster insurance on rice crop with pure premium method is reasonable to insurance for natural disaster; the limitation is the lacking of sufficient data.
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LIN, HSIN-PING, and 林欣頻. "The premium making method for natural disaster insurance on fruit crop with Monte Carlo Simulation." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/wakt37.
Full textAbstract:
碩士銘傳大學
風險管理與保險學系碩士班
107
In recent years, climate anomalies and environmental damage have caused the impact of natural disasters to increase. In addition, Taiwan is located in the subtropical zone. In summer, typhoons and heavy rains often occur. In winter, it is affected by cold and frost, and the natural disaster risks of agricultural crops are difficult to completely evade. At present, the amount of natural disaster cash assistance of the Chinese government only accounts for 27% of the natural disaster losses of agricultural products, and the agricultural insurance plan is still not fully popularized. According to statistics, the average annual loss of fruits in 2003 to 2017 is about 4,865,376/TWD Thousand, of which typhoon, 3,533,002/TWD Thousand (72.87%) accounted for the largest loss, followed by cold damage, 389,360/TWD Thousand. (8.00%), heavy rain, 354,208/TWD Thonsand (7.28%), the data shows that natural disasters have a great impact on fruit crops. Therefore, this study attempts to use the historical loss data from 2003 to 2017 for a total of 15 days of typhoon, heavy rain, and cold damage to determine the natural disaster insurance premium rate. In this study, a total of seven fruit rates were set, including Wendan pomelo, mango, lotus, banana, pear, pineapple, custard, etc., and Monte Carlo simulation and decision simulation software Crystal Ball were used to calculate the risk value. Test the loss amount , the production cost and loss rate optimal probability density function. According to the prediction results, the single rate of Wendan pomelo is 18%; while the historical simulation method’s single rate is (15%), and the predicted result is similar to the historical value. In addition to the Taiwan single rate, this study also considers the region rates, and is divided into northern and outlying islands; central; southern; and eastern . While Wendan pomelo is divided into four regions, the northern and outlying island rates are 10%; the central rate is 13%; the southern rate is 27%; and the eastern rate is 18%.
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Chang, Lu-Jia, and 張綠佳. "The Cash Flow Analysis for Permanent Hospital Indemnity Insurance --The Application of Monte Carlo Simulation." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/87k9nb.
Full text
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Lin, Ｙi-Chun, and 林毅君. "A Monte Carlo Simulation on Expected Returns of Investment-Linked Insurance Products and Related Investment Strategies." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/60782663550643441276.
Full textAbstract:
碩士世新大學
財務金融學研究所(含碩專班)
95
As an insurance commodity with characteristic of investment, the Investment-Linked Insurance (ILI) has gradually become a new pipeline for people’s wealth management. This thesis proposes methods to analyze the performance of ILI’s investment part, with regard to both expected return and risk aspects. Specifically, the investment part of ILI is a dollar-cost averaging investment stategy. In such cases the internal rate of returns (IRR) measures can better capture the expected-return performance. For differing alternative investment strategies, Monte Carlo Simulation is run to simulate realized returns many (1000) times, this thesis finds that the influence on the annual rate of return is very little for differing payment periods. The portfolio rebalancing period and rebalancing principle are more influential. The results of study shows that adopting the Constant-Mix (CM) strategy may reduce the fluctuation of the rate of returns, and improve the average IRR.
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Chen, Hui-ru, and 陳慧如. "An Analysis of the Relative Performance ofConstant Proportion Portfolio Insurance Strategy－An Application of Monte Carlo Simulation." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/32952398485229792046.
Full textAbstract:
碩士逢甲大學
風險管理與保險研究所
98
This thesis makes a Monte Carlo comparison of three important dynamic strategies of asset allocation. The strategies are buy-and-hold (BH), constant mix (CM), and constant proportion portfolio insurance (CPPI). It is assumed all three strategies have a 50-50 risky/risk-free initial mix. Further, the Geometric Brownian motion is used for the risky asset price model and the risk-free interest rate is constant. The simulated results show the return distribution of CPPI deviate a lot, the BH deviates a little, and the CM deviates little from normal distributions. In the cases of non-normal, the distributions are all positive skewness and heavy tails. For the CPPI, the average rate of returns is the lowest and the standard deviation is the highest. Thus, using the Sharpe ratio as the measure of performance, the CPPI strategy is not favorable. By the value of risk (VaR) measure, which is computed by the delta-normal approach, the CPPI strategy is not favorable, either. However, if the VaR is found out from the percentile of the simulated distribution, The CPPI is the dominant strategy. In comparing with the BH, which, in fact, is a static strategy, the probability of regret is calculated for the CM and CPPI. The probability of regret is called because using these two dynamic strategies will be regretful if the rate of return is less than the static BH strategy. In all cases, the probability of regret is over 50% for the CPPI, and under 50% for the CM. Under flat markets, the winning percentage of CM over CPPI is above 80% for all cases and is close to 100% in most cases. For bull and bear markets, the winning percentage of CPPI over CM is usually between 70% and 90%。
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Mularczyk, Piotr. "Efektywność rynku ubezpieczeń katastroficznych na przykładzie ubezpieczeń powodziowych." Doctoral thesis, 2012. http://depotuw.ceon.pl/handle/item/143.
Full textAbstract:
„Ewaluacja alternatywnych systemów ubezpieczeń katastroficznych
na przykładzie powodzi.”
Jak stworzyć stabilny system zapewniający ubezpieczenie od ryzyka czegoś tak nieprzewidywalnego i w większości przypadków niekontrolowanego jak katastrofa naturalna? Można zostawić sprawy rynkowi – pozwalać ubezpieczycielom poszukiwać bezpiecznych dla ich rentowności kontraktów ubezpieczeniowych, tym samym narażając gospodarstwa domowe na potencjalny brak ofert albo na wysoki koszt takiego instrumentu. Można także prawnie zmusić ubezpieczycieli, by oferowali produkty zaspakajające potrzeby gospodarstw domowych, lecz nierentowne, i środkami publicznymi subsydiować tę lukę. Różne kraje stosują rozwiązania będące de facto kombinacją modelu rynkowego i interwencji publicznej. Obserwowane systemy czasem są bardziej powiązane z rachunkowością aktuarialną, czasem jednak są konsekwencją albo opartej o dość demagogiczne argumenty quasi-debaty publicznej, lub skutecznych zabiegów lobbystycznych. Jednak od strony ekonomii można próbować analizować dobrobytowe skutki przyjętych rozwiązań instytucjonalnych i oceniać ich optymalność.
W niniejszym opracowaniu zaprezentowano konstrukcję modelu pozwalającego na ocenę efektywności różnych systemów instytucjonalnych rynku ubezpieczeń katastroficznych, w którym dokonuje się długoterminowej dywersyfikacji czasowej w oparciu o koncepcję teorii ruiny stosowaną dla dwóch podstawowych typologii systemów: obowiązkowy vs. dobrowolny oraz państwowy vs.prywatny, przyjmując dobrobyt społeczny jako jedno z kryteriów oceny efektywności. W modelu założono dywersyfikację czasową, gdyż dywersyfikacja przestrzenna nie jest w stanie zapewnić pokrycia szkód o wartościach przekraczających oczekiwane straty przy rozsądnym koszcie kapitału.
Wielu aktuariuszy i ekonomistów zwraca uwagę na wieloaspektowość problemu organizacji systemów ubezpieczeń majątkowych w kontekście zagrożeń katastroficznych. Podnosi się kwestie związane ze stabilnością, kosztem kapitału, uwarunkowaniami podatkowymi, kumulowaniem kapitału, wrogimi przejęciami wynikającymi z prawnego statusu rezerw, formą własności, przejrzystością systemu oraz podatnością na wpływy polityczne. Podejmowanie takich zagadnień dowodzi, iż badania wyjściowo aktuarialne skupiają się na pytaniach sprzężonych z zagadnieniami ekonomicznymi. Niniejsza praca wpisuje się w ten trend, wbudowując rozważania aktuarialne w makroekonomiczny model egzogenicznego wzrostu w celu przeprowadzenia ewaluacji alternatywnych systemów ubezpieczeń katastroficznych.
Skonstruowany model, bazujący na teorii ruiny połączonej z ewaluacją społecznego bogactwa w czasie, ewaluowany był metodą Monte Carlo. Opracowana metodologia modelu zaimplementowanego w SAS-IML pozwoliła porównać i ocenić poszczególne rozwiązania na wielu płaszczyznach, ponieważ otrzymane wyniki analizowano przy użyciu różnorodnych kryteriów. W celu wypracowania silnych wniosków badana była wrażliwość uzyskiwanych wyników w zależności od przyjętych założeń w zakresie parametrów wejściowych.
Podkreślenia wymaga fakt, iż z uwagi na słabe jakościowo dane wejściowe (m.in. służące do konstrukcji map zalewowych, parametrów procesów rządzących występowaniem żywiołów i ich siłą), brak pełnego testowania zgodności przyjmowanych ad-hoc założeń (m.in. w kontekście porównywalności rozwiązań w zakresie efektów zewnętrznych) prezentowane wyniki stanowią jedynie próbę teoretycznego ujęcia i przedyskutowania bardzo złożonego zagadnienia, jakim jest ocena hipotetycznych systemów likwidacji szkód powodziowych. Tym samym prezentowane wyniki ze względu na wyżej wymienione niedoskonałości modelowe nie powinny być bezpośrednio stosowane do bieżących zagadnień społeczno-regulacyjno-gospodarczych. Wartością dodaną prezentowanego podejścia jest próba rozwiązania ważnego problemu ekonomii poprzez opracowanie metodologii porównawczej, zaimplementowanie jej oraz ewaluacja efektywności w oparciu o uzyskane wyniki symulacji.
‘The Economic Efficiency of the Insurance Market. The Case of Flood Insurance’
How to create a stable system that provides insurance against something so unpredictable and in most cases uncontrolled as a disaster? You can leave that matter to the market - allow insurers to seek for the ways to secure their profitability of insurance contracts. That could lead to the lack of relevant products on the market to insure householders or to the high costs of such instruments. Alternatively you can legally force insurers to offer products satisfying domestic requirements. That solution can lead to the unprofitable business that should be subsidized by public money. Different countries use a combination of such approaches – i.e. market and public intervention. The actual systems are sometimes related to the actuarial accounting and modelling standards. However often they are a consequence of either demagogic arguments of a quasi-public debate or effective lobbying. From the economics point of view we can try to assess the impact of potential solutions on the social wealth of the society. In this paper the outcome of the model that allows for the assessment of the effectiveness of different institutional systems for catastrophic insurance is presented. In the model the following two typologies are considered: mandatory vs. voluntary and state vs. private.
Many of actuaries and economists draw attention to the problem of complexity of the insurance for the catastrophic risks. The main areas of interests are the following: stability, cost of capital, tax considerations, the cumulative capital, overtaking due to the legal status of reserves, ownership, transparency of the system and political influence. Such interests show that the initially actuarial questions are highly related to the economics questions. To some extend my thesis follows that tendency. The actuarial valuation framework is used to compare and evaluate the alternatives of catastrophic insurance systems, where the macroeconomic exogenous growth is an evaluation base.
The model based on the ruin theory includes the evaluation of social wealth over time. The main results were obtained via Monte Carlo simulation in SAS-IML application. The numerical approch allows for comparison and evaluation of different systems with different constraints. In order to find strong and relevant findings the sensitivity analyses for all input parameters and assumptions were performed.
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KAO-CHIANGFU and 傅高強. "A Study of the Relevance of the Transfer of Risk ＆ Ownership of Marine Cargo and the Variation of Insurable Interests and the Rights ＆ Benefits of Carriage." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/z6pk6y.
Full textAbstract:
博士國立成功大學
法律學系
106
SUMMARY International trade was composed of three elements including trade, transport and insurance among which the interaction with each other results in the relationship between trade and transport as well as that between trade and insurance. In principle, insurance and transport are independent of each other, having no link, unless subrogation induces interaction between both of them in the circumstance that the insurer subrogates the insured to claim indemnity of damage on a third party. The subrogation is subject to the fact that the insured has “insurable interest” in the cargo. The aforementioned interaction relations based on the three elements which are trade, transport and insurance, constitute the legal relationship in international trade. This essay explores the issues which may be induced by the stated interaction relations among the stated three elements.
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Liu, Xuan. "Essays in agricultural business risk management." Thesis, 2021. http://hdl.handle.net/1828/13258.
Full textAbstract:
Insurance has been considered as a useful tool for farmers to mitigate income volatility. However, there remain concerns that insurance may distort crop production decisions. Positive mathematical programming (PMP) models of farmers’ cropping decisions can be applied to study the effect of agricultural business risk management (BRM) policies on farmers’ decisions on land use and their incomes. Before being used to examine agricultural producer responses to policy changes under the expected utility framework, the models must first be calibrated to obtain the values of the risk aversion coefficient and the cost function parameters. In chapter 2, three calibration approaches are compared for disentangling the risk parameter from the parameters of the cost function. Then, in chapter 3, to investigate the impacts on production incentives of changes in Canada’s AgriStability program, farm management models are calibrated for farms with different cost structures for three different Alberta regions. Results indicate that farmers’ observed attitudes towards risk vary with cost structure. After joining the program, all farmers alter their land allocations to some extent. The introduction of a reference margin limit (RML) in the AgriStability program under Growing Forward 2 (2013-2018), which was retained in the replacement legislation until 2020, has the most negative impact on farmers with the lowest costs. The removal of RML significantly increases the benefits to low-cost farmers.
Traditional insurance products provide financial support to farmers. However, for fruit farmers, the products’ quality can be greatly affected by the weather conditions during the stage of fruit development and ripening, which may lead to quality downgrade and a significant loss in revenue with little impacts on yields. Hence, chapters 4 and 5 investigate the conceptual feasibility of using weather-indexed insurance (WII) to hedge against non-catastrophic, but quality-impacting weather conditions to complement existing traditional insurance.
Prospect theory is applied to analyze a farmer’s demand for WII. The theoretical model demonstrates that an increase in the volatility of total revenue and the revenue proportion from blueberries increases the possibility of farmers’ participation in WII. On the other hand, the increase in the value loss aversion coefficient and WII’s basis risk leads to less demand for WII.
To design a WII product for blueberry growers to hedge against quality risk, a quality index must be constructed and the relationship between key weather conditions, such as cumulative maximum temperature and cumulative excess rainfall, and the quality index should be quantified. The results from a partial least squares structural equation modeling (PLS-SEM) show that the above goals are achievable. Further, rainfall and temperature can be modelled via a time-series model and statistical distributions, respectively, to provide reasonable estimates for calculating insurance premia.Graduate
2022-08-05