Journal articles: 'Financial and Insurable Mathematics'

1

Hornyák Gregáňová, Radomíra, Miriam Pietriková, and Norbert Kecskés. "Financial and insurance mathematics in practice from students´ point of view." Mathematics in Education, Research and Applications 4, no. 2 (December 2018): 83–87. http://dx.doi.org/10.15414/meraa.2018.04.02.83-87.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Donnelly, Catherine, and Paul Embrechts. "The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis." ASTIN Bulletin 40, no. 1 (May 2010): 1–33. http://dx.doi.org/10.2143/ast.40.1.2049222.

Full text

Abstract:

AbstractIn the aftermath of the 2007-2008 financial crisis, there has been criticism of mathematics and the mathematical models used by the finance industry. We answer these criticisms through a discussion of some of the actuarial models used in the pricing of credit derivatives. As an example, we focus in particular on the Gaussian copula model and its drawbacks. To put this discussion into its proper context, we give a synopsis of the financial crisis and a brief introduction to some of the common credit derivatives and highlight the difficulties in valuing some of them.We also take a closer look at the risk management issues in part of the insurance industry that came to light during the financial crisis. As a backdrop to this, we recount the events that took place at American International Group during the financial crisis. Finally, through our paper we hope to bring to the attention of a broad actuarial readership some “lessons (to be) learned” or “events not to be forgotten”.

APA, Harvard, Vancouver, ISO, and other styles

3

Karam, E., and F. Planchet. "Operational Risks in Financial Sectors." Advances in Decision Sciences 2012 (December 5, 2012): 1–57. http://dx.doi.org/10.1155/2012/385387.

Full text

Abstract:

A new risk was born in the mid-1990s known as operational risk. Though its application varied by institutions—Basel II for banks and Solvency II for insurance companies—the idea stays the same. Firms are interested in operational risk because exposure can be fatal. Hence, it has become one of the major risks of the financial sector. In this study, we are going to define operational risk in addition to its applications regarding banks and insurance companies. Moreover, we will discuss the different measurement criteria related to some examples and applications that explain how things work in real life.

APA, Harvard, Vancouver, ISO, and other styles

4

Zhou, Min, Kai-yong Wang, and Yue-bao Wang. "Estimates for the finite-time ruin probability with insurance and financial risks." Acta Mathematicae Applicatae Sinica, English Series 28, no. 4 (October 2012): 795–806. http://dx.doi.org/10.1007/s10255-012-0189-8.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Jing, Peng, Cai Chang, Heng Zhu, and Qiuming Hu. "Financial Imbalance Risk and Its Control Strategy of China’s Pension Insurance Contribution Rate Reduction." Mathematical Problems in Engineering 2021 (February 27, 2021): 1–12. http://dx.doi.org/10.1155/2021/5558757.

Full text

Abstract:

Within the context of China’s Urban Employees’ Basic Pension Insurance (UEBPI), this paper constructs an actuarial model to analyze the financial imbalance risk of contribution rate reduction and to investigate the possibility of further reducing the contribution rate. It is found that the UEBPI fund would show financial imbalance risk in 2024 if the contribution rate is 16%, and no control strategy is introduced. In the case of single strategy (the collection system reform, delay of retirement age, or the introduction of external finance), the financial sustainability of the UEBPI fund could be improved to some extent, whereas the financial imbalance risk remains huge. In the case of a package of control strategies being implemented, the UEBPI fund could be able to continue its operation until 2060, and the contribution rate can be further reduced by 0–4 percentage. Therefore, the implementation of a package of control strategies presents a prerequisite for controlling the financial imbalance risk and further reducing the contribution rate.

APA, Harvard, Vancouver, ISO, and other styles

6

Chen, Yi-qing, and Xiang-sheng Xie. "The Finite Time Ruin Probability with the Same Heavy-tailed Insurance and Financial Risks." Acta Mathematicae Applicatae Sinica, English Series 21, no. 1 (February 2005): 153–56. http://dx.doi.org/10.1007/s10255-005-0226-y.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Yang, Yang, Jin-guan Lin, and Zhong-quan Tan. "The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks." Applied Mathematics-A Journal of Chinese Universities 29, no. 2 (June 2014): 194–204. http://dx.doi.org/10.1007/s11766-014-3209-z.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Cordoni, Francesco, and Luca Di Persio. "Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems." International Journal of Stochastic Analysis 2014 (September 11, 2014): 1–11. http://dx.doi.org/10.1155/2014/152389.

Full text

Abstract:

In the present work we give a self-contained introduction to financial mathematical models characterized by noise of Lévy type in the framework of the backward stochastic differential equations theory. Such techniques will be then used to analyse an innovative model related to insurance and death processes setting.

APA, Harvard, Vancouver, ISO, and other styles

9

Chen, Yiqing. "The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks." Journal of Applied Probability 48, no. 04 (December 2011): 1035–48. http://dx.doi.org/10.1017/s0021900200008603.

Full text

Abstract:

Consider a discrete-time insurance risk model. Within periodi, the net insurance loss is denoted by a real-valued random variableXi. The insurer makes both risk-free and risky investments, leading to an overall stochastic discount factorYifrom timeito timei− 1. Assume that (Xi,Yi),i∈N, form a sequence of independent and identically distributed random pairs following a common bivariate Farlie-Gumbel-Morgenstern distribution with marginal distribution functionsFandG. WhenFis subexponential andGfulfills some constraints in order for the product convolution ofFandGto be subexponential too, we derive a general asymptotic formula for the finite-time ruin probability. Then, for special cases in whichFbelongs to the Fréchet or Weibull maximum domain of attraction, we improve this general formula to be transparent.

APA, Harvard, Vancouver, ISO, and other styles

10

Huang, Liwei, and Arkady Shemyakin. "Empirical comparison of skewed t-copula models for insurance and financial data." Model Assisted Statistics and Applications 15, no. 4 (December 25, 2020): 351–61. http://dx.doi.org/10.3233/mas-200506.

Full text

Abstract:

Skewed t-copulas recently became popular as a modeling tool of non-linear dependence in statistics. In this paper we consider three different versions of skewed t-copulas introduced by Demarta and McNeill; Smith, Gan and Kohn; and Azzalini and Capitanio. Each of these versions represents a generalization of the symmetric t-copula model, allowing for a different treatment of lower and upper tails. Each of them has certain advantages in mathematical construction, inferential tools and interpretability. Our objective is to apply models based on different types of skewed t-copulas to the same financial and insurance applications. We consider comovements of stock index returns and times-to-failure of related vehicle parts under the warranty period. In both cases the treatment of both lower and upper tails of the joint distributions is of a special importance. Skewed t-copula model performance is compared to the benchmark cases of Gaussian and symmetric Student t-copulas. Instruments of comparison include information criteria, goodness-of-fit and tail dependence. A special attention is paid to methods of estimation of copula parameters. Some technical problems with the implementation of maximum likelihood method and the method of moments suggest the use of Bayesian estimation. We discuss the accuracy and computational efficiency of Bayesian estimation versus MLE. Metropolis-Hastings algorithm with block updates was suggested to deal with the problem of intractability of conditionals.

APA, Harvard, Vancouver, ISO, and other styles

11

Филонова and Yelyena Filonova. "Forecasting of the Border of Losses of Profitability of Financial Instruments by the Methods of Financial Econometrics." Economics 4, no. 3 (June 17, 2016): 12–20. http://dx.doi.org/10.12737/19938.

Full text

Abstract:

The indicators of the financial markets can’t be done by the research by the methods of determined mathematics. Too many random factors and unpredictable events influence on the indicators of the market and finally they form their values in future. The forecasting of indicators of the financial market is a very actual task not only for separately taken traders, but also for large corporations, companies, banks. As the experience of the last years shows, this task can and has to be solved also at the level of planning of financial and economic activity of the state in general for the purpose of providing its economic security. The financial indicators having the casual nature are inevitably subjected to the market risk. In order to operate possible losses and to define the reserves, which are sufficient for their insurance, the quantitative assessment of the risk is necessary. Now the standard measuring instrument of the risk is the indicator — “the border of losses” or “the cost under the risk” (Value at Risk, VaR). This work deals with the possibilities of the application of econometric methods of modeling and forecasting the border of losses of profitability of financial instruments on the example of the temporary ranks, constructed by stock quotations of the companies of the telecommunication branch. The received results have allowed to analyses the prospects of the market of telecommunications in Russia in general. All results of the research were done by means of the R-project software product — the modern software, which is the programming language and the environment for the statistical analysis and visualization of data at the same time.

APA, Harvard, Vancouver, ISO, and other styles

12

de Lange, Petter E., Stein-Erik Fleten, and Alexei A. Gaivoronski. "Modeling financial reinsurance in the casualty insurance business via stochastic programming." Journal of Economic Dynamics and Control 28, no. 5 (February 2004): 991–1012. http://dx.doi.org/10.1016/s0165-1889(03)00055-1.

Full text

APA, Harvard, Vancouver, ISO, and other styles

13

Guo, Fenglong. "Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors." Applied Mathematics and Computation 413 (January 2022): 126634. http://dx.doi.org/10.1016/j.amc.2021.126634.

Full text

APA, Harvard, Vancouver, ISO, and other styles

14

Liu, Rongfei, and Dingcheng Wang. "The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks." Journal of Mathematical Analysis and Applications 444, no. 1 (December 2016): 80–94. http://dx.doi.org/10.1016/j.jmaa.2016.05.047.

Full text

APA, Harvard, Vancouver, ISO, and other styles

15

Rodionov, M. A., and I. V. Akimova. "Formation of financial literacy in training of informatics teachers on the basis of the 1С:Enterprise system." Informatics and education 1, no. 1 (March 10, 2020): 11–18. http://dx.doi.org/10.32517/0234-0453-2020-35-1-11-18.

Full text

Abstract:

In the submitted study the problem of the formation of financial literacy of students at informatics lessons and relevant training of future informatics teachers is considered. Financial literacy is understood as a set of basic knowledge in the field of finance, banking, insurance, as well as budgeting for personal finances that allow a person to choose the right financial product or service, soberly assess and take risks that may arise during the use of these products, correctly accumulate savings and identify doubtful (fraudulent) investment schemes. The authors conclude that successful development of meaningful lines of the course of financial literacy requires integration of a few school subjects, such as mathematics, history, informatics, social science and literature. The role of modern informatics teacher in the formation of financial literacy of students is great. Therefore, in the training of a future informatics teacher, it should be paid the attention to issues related to the study of elements of financial literacy in informatics lessons. In order to solve the problem, the authors propose to use the special course “Basics of work in 1С:Enterprise”, which is implemented at Penza State University. The article contains a program of the course and the methodological recommendations for its implementation.

APA, Harvard, Vancouver, ISO, and other styles

16

Li, Xiaohu, and Yinping You. "Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management." Advances in Applied Probability 47, no. 01 (March 2015): 270–91. http://dx.doi.org/10.1017/s0001867800007801.

Full text

Abstract:

In this paper we develop two permutation theorems on argument increasing functions of a multivariate random vector and a real parameter vector. We use the unified approach of our two theorems to provide some important theoretical results on the capital allocation in actuarial science, the deductible and upper limit allocations in insurance policy, and portfolio allocation in financial engineering. Our results successfully improve or extend the corresponding works in the literature.

APA, Harvard, Vancouver, ISO, and other styles

17

Zhang, Yan, and Yonghong Wu. "Optimal Health Insurance and Trade-Off between Health and Wealth." Journal of Applied Mathematics 2020 (August 1, 2020): 1–9. http://dx.doi.org/10.1155/2020/2658213.

Full text

Abstract:

Health insurance is considered to be a special type of nonlife insurance with two important features. First, compared with property insurance, health insurance provides valuable hedge against unpredictable shocks to health status, instead of loss on property. Therefore, a modified utility function that describes the trade-off between health and wealth should be applied in optimal indemnity design. Second, in the case that the insured is severely or critically ill, with necessary medical treatment, the insured may not fully recover from an illness or an injury. The doctor usually communicates with the patient to set up a personalized treatment plan and explains clearly about the expected outcome beforehand. Hence, there is some probability that health insurance helps to rescue the insured from disastrous financial burden, but it still yields a lower utility of health. By taking these special features into account, we formulate the optimization problem and characterize the optimal solutions via the Lagrange multiplier method and optimal control technique. Finally, we examine our optimal contracts by numerical illustration. Our research work gives new insights into health insurance design.

APA, Harvard, Vancouver, ISO, and other styles

18

González-Sánchez, Mariano, and M. Encina Morales de Vega. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector." Mathematics 9, no. 4 (February 3, 2021): 297. http://dx.doi.org/10.3390/math9040297.

Full text

Abstract:

A part of the financial literature has attempted to explain idiosyncratic asset shocks through investor behavior in response to company news and events. As a result, there has been an increase in the development of different investor sentiment measurements. This paper analyses whether the Bloomberg investor sentiment index has a causal relationship with the abnormal returns and volume shocks of major European Union (EU) financial companies through a sample of 85 financial institutions over 4 years (2014–2018) on a daily basis. The i.i.d. shocks are obtained from a factorial asset pricing model and ARMA-GARCH-type process; then we checked whether there is both individual and joint causality between the standardized residuals. The results show that the explanatory capacity of the shocks of the firm Bloomberg sentiment index is low, although there is empirical evidence that the effects correspond more to the situation of the financial subsector (banks, real estate, financial services and insurance) than to the company itself, with which we conclude that the sentiment index analyzed reflects a sectorial effect more than individual one.

APA, Harvard, Vancouver, ISO, and other styles

19

ZHU, HUIMING, YA HUANG, JIEMING ZHOU, XIANGQUN YANG, and CHAO DENG. "OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET." ANZIAM Journal 57, no. 3 (January 2016): 352–68. http://dx.doi.org/10.1017/s1446181115000280.

Full text

Abstract:

We study the optimal proportional reinsurance and investment problem in a general jump-diffusion financial market. Assuming that the insurer’s surplus process follows a jump-diffusion process, the insurer can purchase proportional reinsurance from the reinsurer and invest in a risk-free asset and a risky asset, whose price is modelled by a general jump-diffusion process. The insurance company wishes to maximize the expected exponential utility of the terminal wealth. By using techniques of stochastic control theory, closed-form expressions for the value function and optimal strategy are obtained. A Monte Carlo simulation is conducted to illustrate that the closed-form expressions we derived are indeed the optimal strategies, and some numerical examples are presented to analyse the impact of model parameters on the optimal strategies.

APA, Harvard, Vancouver, ISO, and other styles

20

Wang, Shi-jie, Chuan-wei Zhang, Xue-jun Wang, and Wen-sheng Wang. "The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks." Acta Mathematicae Applicatae Sinica, English Series 34, no. 3 (July 2018): 553–65. http://dx.doi.org/10.1007/s10255-018-0768-4.

Full text

APA, Harvard, Vancouver, ISO, and other styles

21

Pysarenko, Nadiia, Elena Ablova, Alexander Dudko, Victor Malyarevsky, and Miroslav Kosyak. "Current models in the field of agricultural crops insurance." Problems of Innovation and Investment Development, no. 25 (June 30, 2021): 127–35. http://dx.doi.org/10.33813/2224-1213.25.2021.13.

Full text

Abstract:

Agricultural production is an important and at the same time the most risky type of economic activity. Its reproductive process is associated with natural and climatic, biological and financial factors, the action of which in many cases is difficult to forgive and control. Crop production is particularly affected by cumulative natural risks. One of the ways to minimize agricultural risks is to use crop insurance as an important means of ensuring the riskiness of agricultural production from probable natural and weather factors. The pricing mechanism for crop insurance services is substantiated, based on the improvement of the insurer’s tariff policy when conducting crop insurance, which is implemented through a system of actuarial calculations and taking into account the peculiarities of insurance in the process of crop production. The possibility for insurance companies to carry out high-quality selection of agricultural risks, stimulating agricultural producers to insure, is analyzed. Actuarial balance has been studied as a necessary condition for improving the tariff policy of crop insurance, which should be based on such principles as: equivalence of insurance relations; admissibility; stability of insurance rates over a long period of time and expansion of insurance liability. The calculation of insurance rates has been improved by taking into account the availability of prices for insurance services, depending on the number of possible risks transferred to insurance and the amount of financial resources accumulated by the insurer, which should be sufficient to reimburse crops under crop insurance contracts. Actuarial balance is identified as a necessary condition for improving the tariff policy of crop insurance. The principles of insurance tariff policy to improve the calculation of insurance rates and the application of actuarial models in the field of crop insurance. Key words: tariff policy, insurance tariff, actuary, actuarial mathematics, actuarial model of agricultural insurance.

APA, Harvard, Vancouver, ISO, and other styles

22

Hamada, Mahmoud, and Michael Sherris. "Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory." Applied Mathematical Finance 10, no. 1 (January 2003): 19–47. http://dx.doi.org/10.1080/1350486032000069580.

Full text

APA, Harvard, Vancouver, ISO, and other styles

23

FOULADVAND, M. EBRAHIM, and AMIR H. DAROONEH. "PREMIUM FORECASTING OF AN INSURANCE COMPANY: AUTOMOBILE INSURANCE." International Journal of Modern Physics C 16, no. 03 (March 2005): 377–87. http://dx.doi.org/10.1142/s0129183105007170.

Full text

Abstract:

We present an analytical study of an insurance company. We model the company's performance on a statistical basis and evaluate the predicted annual income of the company in terms of insurance parameters namely the premium, the total number of insured, average loss claims etc. We restrict ourselves to a single insurance class the so-called automobile insurance. We show the existence of a crossover premium pc below which the company is operating at a loss. Above pc, we also give a detailed statistical analysis of the company's financial status and obtain the predicted profit along with the corresponding risk as well as ruin probability in terms of premium. Furthermore we obtain the optimal premium p opt which maximizes the company's profit.

APA, Harvard, Vancouver, ISO, and other styles

24

Ahmad, Zubair, Eisa Mahmoudi, Morad Alizadeh, Rasool Roozegar, and Ahmed Z. Afify. "The Exponential T-X Family of Distributions: Properties and an Application to Insurance Data." Journal of Mathematics 2021 (May 5, 2021): 1–18. http://dx.doi.org/10.1155/2021/3058170.

Full text

Abstract:

Heavy-tailed distributions play a prominent role in actuarial and financial sciences. In this paper, we introduce a family of distributions that we refer to as exponential T-X (ETX) family. Based on the proposed approach, a new extension of the Weibull model is introduced. The proposed model is very flexible in modeling heavy-tailed data. Some mathematical properties are derived, and maximum likelihood estimates of the model parameters are obtained. A Monte Carlo simulation study is conducted to evaluate the performance of the maximum likelihood estimators. Actuarial measures such as value at risk and tail value at risk are also calculated. A simulation study based on these actuarial measures is provided. Finally, an application to a heavy-tailed automobile insurance claim data set is presented. The proposed model is compared with some well-known competing distributions.

APA, Harvard, Vancouver, ISO, and other styles

25

DAROONEH, AMIR H. "NONLIFE INSURANCE PRICING: STATISTICAL MECHANICS VIEWPOINT." International Journal of Modern Physics C 16, no. 01 (January 2005): 167–75. http://dx.doi.org/10.1142/s0129183105007005.

Full text

Abstract:

We consider the insurance company as a physical system which is immersed in its environment (the financial market). The insurer company interacts with the market by exchanging the money through the payments for loss claims and receiving the premium. Here, in the equilibrium state, we obtain the premium by using the canonical ensemble theory, and compare it with the Esscher principle, the well-known formula in actuary for premium calculation. We simulate the case of car insurance for quantitative comparison.

APA, Harvard, Vancouver, ISO, and other styles

26

Drissi, Ramzi. "Mathematical Risk Modeling: an Application in Three Cases of Insurance Contracts." International Journal of Advances in Management and Economics 8, no. 6 (October 30, 2019): 01–10. http://dx.doi.org/10.31270/ijame/v08/i06/2019/1.

Full text

Abstract:

Risk is often defined as the degree of uncertainty regarding the future. This general definition of risk can be extended to define different types of risks according to the source of the underlying uncertainty. In this context, the objective of this paper is to mathematically model risks in insurance. The choice of methods and techniques that allow the construction of the model significantly influence the responses obtained. We approach these different issues by modeling risks in three base cases: basic insurance of goods, life insurance, and financial risk insurance. Our findings show that risk modeling allowed us to better measure certain events, but did not allow us to predict them accurately due to a lack of information. Therefore, good modeling of the risk determinants makes it possible to modify the probability associated with the occurrence of a risk. While it cannot predict exactly when a risk will occur, it can help make decisions that will reduce its effects. Keywords: Basic insurance, Life insurance, Mathematical models, Financial risk, Biometric function.

APA, Harvard, Vancouver, ISO, and other styles

27

Sadeli, Ferdinand. "Examination of Empirical Evidence of Organic Growth Strategy a Study on Indonesia Public Listed Companies." Advanced Science Letters 21, no. 4 (April 1, 2015): 785–88. http://dx.doi.org/10.1166/asl.2015.5876.

Full text

Abstract:

The main objective of this research is to re-examine and adjust the original model of Organic Growth Index (OGI), developed by Ref. [9] and applied into Indonesian public listed companies with earnings generated organically rather than through income manipulation, financial engineering, or through mergers and acquisitions (M&A). As this original model excludes banks, financial institutions, REITs and insurance companies, the OGI assessment need to be adjusted to include those sectors. This research modified the first step of OGI, by applying residual income (RI) instead of economic value added (EVA) to avoid the complexity of EVA calculation for financial institutions and REITs companies. This research compares the result with the reference research16 which has initially applied the OGI analysis towards the Indonesia public listed companies. Their research based on 70 samples were taken from Kompas 100 Stock Index from the period of 2004 to 2007 which also exclude financial institutions companies. This research has used similar objects comprises of Kompas 100 companies, nonetheless through OGI modification with objective of including banks, financial institutions and insurance companies, covered period from 2008 to 2012, albeit interval of 5 years, consistent with original OGI. The OGI model designed to explain value-creating companies that have consistently outperformed industry competition through organic growth. The original test begins by selecting the best EVA which is modified into RI model to accommodate the assessment of financial institutions companies. The result of this study shows that there are only 2 percent of Indonesian public listed companies identified as OGI winners, significantly less than the previous Waworuntu and Tjhatra’s research of 10% and also less than previous Hess study. This study also indicated that more Indonesian public companies actively involved in M&A activities.

APA, Harvard, Vancouver, ISO, and other styles

28

Colaneri, Katia, Alessandra Cretarola, and Benedetta Salterini. "Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences." Mathematics 9, no. 14 (July 8, 2021): 1610. http://dx.doi.org/10.3390/math9141610.

Full text

Abstract:

In this paper, we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks are dependent since stock prices and insurance claims vary according to a common factor given by a continuous time finite state Markov chain. We construct the value function and we prove that it is a forward dynamic utility. Then, we characterize the optimal investment strategy and the optimal proportional level of reinsurance. We also perform numerical experiments and provide sensitivity analyses with respect to some model parameters.

APA, Harvard, Vancouver, ISO, and other styles

29

Vasilaky, Kathryn, Sofía Martínez Sáenz, Radost Stanimirova, and Daniel Osgood. "Perceptions of Farm Size Heterogeneity and Demand for Group Index Insurance." Games 11, no. 1 (March 11, 2020): 15. http://dx.doi.org/10.3390/g11010015.

Full text

Abstract:

Weather insurance is a financial instrument proposed to increase coverage of unprotected weather shocks in developing countries. Structuring sales as group-based products has been argued as a strategy to increase the attractiveness of index insurance, raising the question as to what impacts farmer demand for group insurance choices. We test if farmers prefer to purchase real-world insurance products as groups, and if groups of more similar individuals are more likely to demand group over individual index insurance for the upcoming season. We exogenously assign farmers into groups of similar versus dissimilar perceived farm size. We find that farmers, when offered, prefer group over individual insurance contracts, and that groups of farmers who perceive each other to be more similar in farm size are more likely to purchase in a group, but purchase less insurance on average.

APA, Harvard, Vancouver, ISO, and other styles

30

Zhuk, Tetyana. "Mathematical Models of Reinsurance." Mohyla Mathematical Journal 3 (January 29, 2021): 31–37. http://dx.doi.org/10.18523/2617-70803202031-37.

Full text

Abstract:

Insurance provides financial security and protection of the independence of the insured person. Its principles are quite simple: insurance protects investments, life and property. You regularly pay a certain amount of money in exchange for a guarantee that in case of unforeseen circumstances (accident, illness, death, property damage) the insurance company will protect you in the form of financial compensation.Reinsurance, in turn, has a significant impact on ensuring the financial stability of the insurer. Because for each type of insurance there is a possibility of large and very large risks that one insurance company can not fully assume. In the case of a portfolio with very high risks, the company may limit their acceptance, or give part of the reinsurance. The choice of path depends entirely on the company’s policy and type of insurance.This paper considers the main types of reinsurance and their mathematical models. An analysis of the probability of bankruptcy and the optimal use of a particular type of reinsurance are provided.There are also some examples and main results of research on this topic. After all, today the insurance industry is actively gaining popularity both in Ukraine and around the world. Accordingly, with a lot of competition, every insurer wants to get the maximum profit with minimal e↵ort.

APA, Harvard, Vancouver, ISO, and other styles

31

Jin, Zhuo, Rebecca Stockbridge, and George Yin. "Some Recent Progress on Numerical Methods for Controlled Regime-Switching Models with Applications to Insurance and Risk Management." Computational Methods in Applied Mathematics 15, no. 3 (July 1, 2015): 331–51. http://dx.doi.org/10.1515/cmam-2015-0015.

Full text

Abstract:

AbstractThis paper provides a survey on several numerical approximation schemes for stochastic control problems that arise from actuarial science and finance. The problems to be considered include dividend optimization, reinsurance game, and quantile hedging for guaranteed minimum death benefits. To better describe the complicated financial markets and their inherent uncertainty and randomness, the so-called regime-switching models are adopted. Such models are more realistic and versatile, however, far more complicated to handle. Due to the complexity of the construction, the regime-switching diffusion systems can only be solved in very special cases. In general, it is virtually impossible to obtain closed-form solutions. We use Markov chain approximation techniques to construct discrete-time controlled Markov chains to approximate the value function and optimal controls. Examples are presented to illustrate the applicability of the numerical methods.

APA, Harvard, Vancouver, ISO, and other styles

32

Li, Sheng, and Yong He. "Optimal Time-Consistent Investment and Reinsurance Strategy Under Time Delay and Risk Dependent Model." Mathematical Problems in Engineering 2020 (August 28, 2020): 1–20. http://dx.doi.org/10.1155/2020/9368346.

Full text

Abstract:

In this paper, we consider the problem of investment and reinsurance with time delay under the compound Poisson model of two-dimensional dependent claims. Suppose an insurance company controls the claim risk of two kinds of dependent insurance businesses by purchasing proportional reinsurance and invests its wealth in a financial market composed of a risk-free asset and a risk asset. The risk asset price process obeys the geometric Brownian motion. By introducing the capital flow related to the historical performance of the insurer, the wealth process described by stochastic delay differential equation (SDDE) is obtained. The extended HJB equation is obtained by using the stochastic control theory under the framework of game theory. Under the reinsurance expected premium principle, optimal time-consistent investment and reinsurance strategy and the corresponding value function are obtained. Finally, the influence of model parameters on the optimal strategy is explained by numerical analysis.

APA, Harvard, Vancouver, ISO, and other styles

33

Yang, Peng. "Closed-Loop Equilibrium Reinsurance-Investment Strategy with Insider Information and Default Risk." Mathematical Problems in Engineering 2021 (January 19, 2021): 1–32. http://dx.doi.org/10.1155/2021/8873473.

Full text

Abstract:

This paper studies the closed-loop equilibrium reinsurance-investment problem with insider information and default risk. The financial market consists of one risky asset, one defaultable bond, and one risk-free asset. The surplus process is governed by a jump-diffusion process. Two kinds of dependencies between the insurance market and the financial market are considered. In addition, the insurer has some extra claims information available from the beginning of the trading interval. The objective of the insurer is to choose a time-consistent reinsurance-investment strategy so as to maximize the expected terminal wealth while minimizing the variance of the terminal wealth. Since this problem is time-inconsistent, using closed-loop control approach from the perspective of game theory, we establish the extended Hamilton–Jacobi–Bellman (HJB) equations for the postdefault case and the predefault case, respectively. Closed-form solutions for the closed-loop equilibrium reinsurance-investment strategy and the corresponding value function are obtained. Finally, we provide a series of numerical examples to illustrate the effects of insider information and other some important model parameters on the closed-loop equilibrium reinsurance and investment strategies. The result analyses reveal some interesting phenomena and provide useful guidances for reinsurance and investment in reality.

APA, Harvard, Vancouver, ISO, and other styles

34

Li, Sheng, and Zhijian Qiu. "Optimal Time-Consistent Investment and Reinsurance Strategies with Default Risk and Delay under Heston’s SV Model." Mathematical Problems in Engineering 2021 (March 12, 2021): 1–36. http://dx.doi.org/10.1155/2021/8834842.

Full text

Abstract:

Considering the influence of past information on the decision-making of insurers, the correlation between the insurance businesses owned by insurers, and the possible default faced by insurers, we investigate the mean-variance investment and reinsurance problem with the default risk, delay, and common shock dependence. We characterize the insurance market by two-dimensional dependent claims, the financial market by the Heston SV model, and default risk by reduced-form approach and then obtain the evolution equation of the insurer’s wealth. Based on the introduction of time delay, the insurer’s wealth dynamics characterized by a stochastic delay differential equation are obtained. Furthermore, applying stochastic control theory within the game-theoretic framework and stochastic control theory with delay, we derive optimal time-consistent investment and reinsurance strategies, as well as equilibrium value function and equilibrium efficient frontier. Finally, we use a numerical example to analyze the influence of parameters on the time-consistent equilibrium strategies and give an economic explanation.

APA, Harvard, Vancouver, ISO, and other styles

35

Hidayat, Cecep, Iskandar Putong, and Idi Setyo Utomo. "Corporate Marketing Strategy Model (Case Study in Indonesian Insurance Company)." Advanced Science Letters 21, no. 4 (April 1, 2015): 913–17. http://dx.doi.org/10.1166/asl.2015.5933.

Full text

Abstract:

This study aims to develop a model of corporate marketing strategy using six indicators of Arthur D Little which uses the company’ financial statements in the insurance field listed in Indonesian Stock Exchange. The number of samples used is equal to the number of population, such as nine companies that are still active in doing trading and reporting the financial statement periodically and published at stock exchange website. By using the interpretation, there are six indicators found as the Corporate Marketing Strategy. The result is standardized using the Zcore methods which are tested by Confirmatory Factor Analysis model. The given result is modeled by using Principal Component Analysis-Exploratory Factor Analysis, and retested by using the Confirmatory Factor Analysis. Therefore, given the result that it is initially come up as a Corporate Marketing Strategy that consists of six indicators variable with two variables factors, such as Effectiveness Strategy (product, management and system, technology, and operation strategy) and Efficiency Strategy factors (market and retrenchment strategy).

APA, Harvard, Vancouver, ISO, and other styles

36

Xiong, Linping, Lulu Zhang, Weidong Tang, and Yuqin Ma. "Constructing an Urban Population Model for Medical Insurance Scheme Using Microsimulation Techniques." Computational and Mathematical Methods in Medicine 2012 (2012): 1–14. http://dx.doi.org/10.1155/2012/232071.

Full text

Abstract:

China launched a pilot project of medical insurance reform in 79 cities in 2007 to cover urban nonworking residents. An urban population model was created in this paper for China’s medical insurance scheme using microsimulation model techniques. The model made it clear for the policy makers the population distributions of different groups of people, the potential urban residents entering the medical insurance scheme. The income trends of units of individuals and families were also obtained. These factors are essential in making the challenging policy decisions when considering to balance the long-term financial sustainability of the medical insurance scheme.

APA, Harvard, Vancouver, ISO, and other styles

37

Ghosh, Indranil, and Filipe J. Marques. "Tail Conditional Expectations Based on Kumaraswamy Dispersion Models." Mathematics 9, no. 13 (June 24, 2021): 1478. http://dx.doi.org/10.3390/math9131478.

Full text

Abstract:

Recently, there seems to be an increasing amount of interest in the use of the tail conditional expectation (TCE) as a useful measure of risk associated with a production process, for example, in the measurement of risk associated with stock returns corresponding to the manufacturing industry, such as the production of electric bulbs, investment in housing development, and financial institutions offering loans to small-scale industries. Companies typically face three types of risk (and associated losses from each of these sources): strategic (S); operational (O); and financial (F) (insurance companies additionally face insurance risks) and they come from multiple sources. For asymmetric and bounded losses (properly adjusted as necessary) that are continuous in nature, we conjecture that risk assessment measures via univariate/bivariate Kumaraswamy distribution will be efficient in the sense that the resulting TCE based on bivariate Kumaraswamy type copulas do not depend on the marginals. In fact, almost all classical measures of tail dependence are such, but they investigate the amount of tail dependence along the main diagonal of copulas, which has often little in common with the concentration of extremes in the copula’s domain of definition. In this article, we examined the above risk measure in the case of a univariate and bivariate Kumaraswamy (KW) portfolio risk, and computed TCE based on bivariate KW type copulas. For illustrative purposes, a well-known Stock indices data set was re-analyzed by computing TCE for the bivariate KW type copulas to determine which pairs produce minimum risk in a two-component risk scenario.

APA, Harvard, Vancouver, ISO, and other styles

38

Ramos-Pérez, Eduardo, Pablo J. Alonso-González, and José Javier Núñez-Velázquez. "Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility." Mathematics 9, no. 15 (July 28, 2021): 1794. http://dx.doi.org/10.3390/math9151794.

Full text

Abstract:

Events such as the Financial Crisis of 2007–2008 or the COVID-19 pandemic caused significant losses to banks and insurance entities. They also demonstrated the importance of using accurate equity risk models and having a risk management function able to implement effective hedging strategies. Stock volatility forecasts play a key role in the estimation of equity risk and, thus, in the management actions carried out by financial institutions. Therefore, this paper has the aim of proposing more accurate stock volatility models based on novel machine and deep learning techniques. This paper introduces a neural network-based architecture, called Multi-Transformer. Multi-Transformer is a variant of Transformer models, which have already been successfully applied in the field of natural language processing. Indeed, this paper also adapts traditional Transformer layers in order to be used in volatility forecasting models. The empirical results obtained in this paper suggest that the hybrid models based on Multi-Transformer and Transformer layers are more accurate and, hence, they lead to more appropriate risk measures than other autoregressive algorithms or hybrid models based on feed forward layers or long short term memory cells.

APA, Harvard, Vancouver, ISO, and other styles

39

Gai, Keke, Meikang Qiu, and Houcine Hassan. "Secure cyber incident analytics framework using Monte Carlo simulations for financial cybersecurity insurance in cloud computing." Concurrency and Computation: Practice and Experience 29, no. 7 (May 27, 2016): e3856. http://dx.doi.org/10.1002/cpe.3856.

Full text

APA, Harvard, Vancouver, ISO, and other styles

40

Yong, Yaodi, and Hailiang Yang. "Valuation of Cliquet-Style Guarantees with Death Benefits in Jump Diffusion Models." Mathematics 9, no. 16 (August 23, 2021): 2011. http://dx.doi.org/10.3390/math9162011.

Full text

Abstract:

This paper aims to value the cliquet-style equity-linked insurance product with death benefits. Whether the insured dies before the contract maturity or not, a benefit payment to the beneficiary is due. The premium is invested in a financial asset, whose dynamics are assumed to follow an exponential jump diffusion. In addition, the remaining lifetime of an insured is modelled by an independent random variable whose distribution can be approximated by a linear combination of exponential distributions. We found that the valuation problem reduced to calculating certain discounted expectations. The Laplace inverse transform and techniques from existing literature were implemented to obtain analytical valuation formulae.

APA, Harvard, Vancouver, ISO, and other styles

41

Brody, Dorje C., Lane P. Hughston, and Andrea Macrina. "Dam rain and cumulative gain." Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 464, no. 2095 (March 26, 2008): 1801–22. http://dx.doi.org/10.1098/rspa.2007.0273.

Full text

Abstract:

We consider a financial contract that delivers a single cash flow given by the terminal value of a cumulative gains process. The problem of modelling such an asset and associated derivatives is important, for example, in the determination of optimal insurance claims reserve policies, and in the pricing of reinsurance contracts. In the insurance setting, aggregate claims play the role of cumulative gains, and the terminal cash flow represents the totality of the claims payable for the given accounting period. A similar example arises when we consider the accumulation of losses in a credit portfolio, and value a contract that pays an amount equal to the totality of the losses over a given time interval. An expression for the value process of such an asset is derived as follows. We fix a probability space, together with a pricing measure, and model the terminal cash flow by a random variable; next, we model the cumulative gains process by the product of the terminal cash flow and an independent gamma bridge; finally, we take the filtration to be that generated by the cumulative gains process. An explicit expression for the value process is obtained by taking the discounted expectation of the future cash flow, conditional on the relevant market information. The price of an Arrow–Debreu security on the cumulative gains process is determined, and is used to obtain a closed-form expression for the price of a European-style option on the value of the asset at the given intermediate time. The results obtained make use of remarkable properties of the gamma bridge process, and are applicable to a wide variety of financial products based on cumulative gains processes such as aggregate claims, credit portfolio losses, defined benefit pension schemes, emissions and rainfall.

APA, Harvard, Vancouver, ISO, and other styles

42

Villacorta, Pablo J., Laura González-Vila Puchades, and Jorge de Andrés-Sánchez. "Fuzzy Markovian Bonus-Malus Systems in Non-Life Insurance." Mathematics 9, no. 4 (February 9, 2021): 347. http://dx.doi.org/10.3390/math9040347.

Full text

Abstract:

Markov chains (MCs) are widely used to model a great deal of financial and actuarial problems. Likewise, they are also used in many other fields ranging from economics, management, agricultural sciences, engineering or informatics to medicine. This paper focuses on the use of MCs for the design of non-life bonus-malus systems (BMSs). It proposes quantifying the uncertainty of transition probabilities in BMSs by using fuzzy numbers (FNs). To do so, Fuzzy MCs (FMCs) as defined by Buckley and Eslami in 2002 are used, thus giving rise to the concept of Fuzzy BMSs (FBMSs). More concretely, we describe in detail the common BMS where the number of claims follows a Poisson distribution under the hypothesis that its characteristic parameter is not a real but a triangular FN (TFN). Moreover, we reflect on how to fit that parameter by using several fuzzy data analysis tools and discuss the goodness of triangular approximates to fuzzy transition probabilities, the fuzzy stationary state, and the fuzzy mean asymptotic premium. The use of FMCs in a BMS allows obtaining not only point estimates of all these variables, but also a structured set of their possible values whose reliability is given by means of a possibility measure. Although our analysis is circumscribed to non-life insurance, all of its findings can easily be extended to any of the abovementioned fields with slight modifications.

APA, Harvard, Vancouver, ISO, and other styles

43

Kaufmann, Roger, Andreas Gadmer, and Ralf Klett. "Introduction to Dynamic Financial Analysis." ASTIN Bulletin 31, no. 1 (May 2001): 213–49. http://dx.doi.org/10.2143/ast.31.1.1003.

Full text

Abstract:

AbstractIn the last few years we have witnessed growing interest in Dynamic Financial Analysis (DFA) in the nonlife insurance industry. DFA combines many economic and mathematical concepts and methods. It is almost impossible to identify and describe a unique DFA methodology. There are some DFA software products for nonlife companies available in the market, each of them relying on its own approach to DFA. Our goal is to give an introduction into this field by presenting a model framework comprising those components many DFA models have in common. By explicit reference to mathematical language we introduce an up-and-running model that can easily be implemented and adjusted to individual needs. An application of this model is presented as well.

APA, Harvard, Vancouver, ISO, and other styles

44

Betzuen Zalbidegoitia, Amancio, and Amaia Jone Betzuen Álvarez. "Is Longevity Acceleration Sustainable? An Entropy-Based Trial of the Population of Spain vs. Japan." Mathematics 9, no. 15 (July 30, 2021): 1810. http://dx.doi.org/10.3390/math9151810.

Full text

Abstract:

Longevity risk is a major concern for governments around the world as they have to address social benefits, whether in the form of pensions, healthcare, or caring for dependents and providing long-term care, and so forth, which directly impact countries’ budgets. This paper uses a single entropy index to measure this type of risk. This methodology is clearly different from the one traditionally used in the literature, which is nearly entirely based on measuring the evolution of mathematical life expectancy. The authors used the longest-living populations in the world, Japan and Spain, to create a database in order to analyse the virtue of the indicator. The aim was to establish whether the longevity of those populations is accelerating or decelerating, compared by sex, and whether that occurs at the same intensity at different stages of a person’s life in each case. If the indicator showed differences in intensity, it would be a benchmark for the insurance and financial industry, providing it with information to market different products.

APA, Harvard, Vancouver, ISO, and other styles

45

Hala, Liliia. "RESULTS OF ANALYSIS AND FORECASTING OF THE MAIN FINANCIAL INDICATORS OF THE HEALTH INSURANCE MARKET DEVELOPMENT IN UKRAINE." EUREKA: Health Sciences 6 (November 30, 2019): 72–82. http://dx.doi.org/10.21303/2504-5679.2019.001061.

Full text

Abstract:

In recent years Ukraine against the background of systemic crisis trying to reform socially-oriented areas of society, including voluntary health insurance, which must combine market and social burdens. Under these conditions, an important scientific and practical research is forecasting financial indicators of domestic insurance companies. Aim. Conducting analysis and forecasting of the basic indicators that characterize the financial state of development of the domestic health insurance market. Materials and methods. Research materials were selected from the official websites of the National Commission which carry out state markets regulation of financial services and the League of Insurance Organizations of Ukraine for 2009–2018 years. We used historical, analytical and comparative, systematic, logical, hypothetical-deductive, mathematical and statistical methods. Results. To forecast the financial indicators of the health insurance market in Ukraine (gross insurance premiums and payments; operations transferred to reinsurance, including non-residents; net insurance premiums and payments) for 2019–2020 years; the time interval was set from 2009 year. According to the results of the calculations, we obtained regression models for different financial indicators (6 models). With the help of the selected mathematical tools, the main financial indicators of the market development for 2019–2020 years were forecasted. The analysis of the data revealed that the highest value growth rate (%) in 2020 year will be characteristic of reinsurance operations, including those transferred to non-residents (49.06 %) and the lowest - to gross insurance payments (14,41 %). It is established that the indicator of net insurance payments since 2010 year has been steadily decreasing (from 78.19 %), and according to the forecasted data in 2019 year it may be equal to 46.77 %, and in 2020 year – 44.98 %, the trend will continue to decrease. However, this indicator since 2016 year (53.9 %) and the data forecast for 2019–2020 years are in the regulatory range (from 30.0 % to 60.0 % for different types of insurance activities). Conclusions. According to the results of the research, it is established that in spite of the financial and economic crisis since 2014 year, the domestic health insurance market is characterized by positive dynamics of growth of the main financial indicators (gross insurance premiums and payments, net insurance premiums and payments). At the same time, there is a tendency to decrease the level (%) of net insurance payments indicator from 78.19 % in 2010 year to the forecast in 2020 year – 44.98 %.

APA, Harvard, Vancouver, ISO, and other styles

46

Ahmad, Zubair, Eisa Mahmoudi, and Omid Kharazmi. "On Modeling the Earthquake Insurance Data via a New Member of the T-X Family." Computational Intelligence and Neuroscience 2020 (September 19, 2020): 1–20. http://dx.doi.org/10.1155/2020/7631495.

Full text

Abstract:

Heavy-tailed distributions play an important role in modeling data in actuarial and financial sciences. In this article, a new method is suggested to define new distributions suitable for modeling data with a heavy right tail. The proposed method may be named as the Z-family of distributions. For illustrative purposes, a special submodel of the proposed family, called the Z-Weibull distribution, is considered in detail to model data with a heavy right tail. The method of maximum likelihood estimation is adopted to estimate the model parameters. A brief Monte Carlo simulation study for evaluating the maximum likelihood estimators is done. Furthermore, some actuarial measures such as value at risk and tail value at risk are calculated. A simulation study based on these actuarial measures is also done. An application of the Z-Weibull model to the earthquake insurance data is presented. Based on the analyses, we observed that the proposed distribution can be used quite effectively in modeling heavy-tailed data in insurance sciences and other related fields. Finally, Bayesian analysis and performance of Gibbs sampling for the earthquake data have also been carried out.

APA, Harvard, Vancouver, ISO, and other styles

47

Olurotimi, Ogunwale, Ikpefan Ochei, Isibor Areghan, Achugamonu Uzoma, Folashade Owolabi, Osuma Godswill, and Adebayo Mercy. "Mergers, Acquisitions, and Corporate Financial Performance in the Financial Technology Inclined Quoted Insurance Companies in Nigeria." WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS 18 (May 7, 2021): 838–45. http://dx.doi.org/10.37394/23207.2021.18.79.

Full text

Abstract:

The research empirically examines effect of Mergers and Acquisitions on Corporate Financial success of Quoted Insurance Companies in Nigeria. It has become expedient in the face of the drastic increase in Mergers and Acquisitions activity in recent decades and the fact that there has been very little empirical evidence of positive wealth effects and particularly the success of M&A in the insurance sector. This has arisen because most studies in Nigeria have rather focused on the banking sector. Data was obtained from Quoted Insurance Companies from 2003 to 2016 and the Regression Techniques were employed in the study. The result indicated that there exists a positive effect of M&A on Corporate Financial Performance of Insurance Companies. It revealed that a unit increase in merger led to about 4% increase in the Corporate Financial Performance of the merged firms. In effect, a unit increase in Earnings after Merger actually led to about 8% increase in the Corporate Financial Performance of the same firms. The study hereby recommend that Insurance Companies should look at issues of Claims settlement, Product Development and Branding while the National Insurance Commission (NAICOM) should look into the education of insurable clients as well as appropriate polices that would drive Insurance penetration in Nigeria.

APA, Harvard, Vancouver, ISO, and other styles

48

Piotr Dudziński. "The effect of financial risk on the demand for supplementary health insurance." Współczesna Gospodarka 10, no. 2 (33) (June 30, 2019): 1–8. http://dx.doi.org/10.26881/wg.2019.2.01.

Full text

Abstract:

As access to medical services provided by public healthcare system in Poland is limited, private supplementary health insurance becomes an increasingly interesting option for pa-tients. Private insurance market has grown significantly in recent years. Therefore, it is interesting to determine factors contributing to the demand for supplementary health insurance by adopting a mathematical model of both compulsory public health insurance and additional, voluntary private health insurance. Such a model was introduced in Dudzinski’s work (2015). The model takes into consideration such factors like compulsory insurance premium, health status of a patient and effectiveness of the public health care system. In this paper we extend the model to the case of additional background financial risk. We show that introducing the additional source of risk exerts certain impact on the demand for the supplementary insurance, however its overall effect depends on the pa-tient’s prudence related to a sign of third derivative of the utility function. The paper pro-poses conditions under which the demand for supplementary insurance increases or de-creases, depending on the relation between patient’s prudence with respect to wealth and cross-prudence in health. The results are different from Dudzinski’s article which considered a two-period model.

APA, Harvard, Vancouver, ISO, and other styles

49

Malamud, Semyon, Eugene Trubowitz, and Mario V. Wüthrich. "Market Consistent Pricing of Insurance Products." ASTIN Bulletin 38, no. 02 (November 2008): 483–526. http://dx.doi.org/10.2143/ast.38.2.2033351.

Full text

Abstract:

We present the first step in a program to develop a comprehensive, unified equilibrium theory of asset and liability pricing. We give a mathematical framework for pricing insurance products in a multiperiod financial market. This framework reflects classical economic principles (like utility maximization) and generates pricing algorithms for non-hedgeable insurance risks.

APA, Harvard, Vancouver, ISO, and other styles

50

Malamud, Semyon, Eugene Trubowitz, and Mario V. Wüthrich. "Market Consistent Pricing of Insurance Products." ASTIN Bulletin 38, no. 2 (November 2008): 483–526. http://dx.doi.org/10.1017/s0515036100015269.

Full text

Abstract:

We present the first step in a program to develop a comprehensive, unified equilibrium theory of asset and liability pricing. We give a mathematical framework for pricing insurance products in a multiperiod financial market. This framework reflects classical economic principles (like utility maximization) and generates pricing algorithms for non-hedgeable insurance risks.

APA, Harvard, Vancouver, ISO, and other styles

Journal articles on the topic 'Financial and Insurable Mathematics'

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles