To see the other types of publications on this topic, follow the link: Insurance derivatives.
Dissertations / Theses on the topic 'Insurance derivatives'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 32 dissertations / theses for your research on the topic 'Insurance derivatives.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Mürmann, Alexander. "Financial and actuarial valuation of insurance derivatives." Thesis, London School of Economics and Political Science (University of London), 2002. http://etheses.lse.ac.uk/2103/.
Full textAbstract:
This dissertation looks into the interplay of financial and insurance markets that is created by securitization of insurance related risks. It comprises four chapters on both the common ground and different nature of actuarial and financial risk valuation. The first chapter investigates the market for catastrophe insurance derivatives that has been established at the Chicago Board of Trade in 1992. Modeling the underlying index as a compound Poisson process the set of financial derivative prices that exclude arbitrage opportunities is characterized by the market prices of frequency and jump size risk. Fourier analysis leads to a representation of price processes that separates the underlying stochastic structure from the contract's payoff and allows derivation of the inverse Fourier transform of price processes in closed form. In a market with a representative investor, market prices of frequency and jump size risk are uniquely determined by the agent's coefficient of absolute risk aversion which consequently fixes the price process on the basis of excluding arbitrage strategies. The second chapter analyzes a model for a price index of insurance stocks that is based on the Cramer-Lundberg model used in classical risk theory. It is shown that price processes of basic securities and derivatives can be expressed in terms of the market prices of risk. This parameterization leads to formulae in closed form for the inverse Fourier transform of prices and the conditional probability distribution. Financial spreads are examined in more detail as their structure resembles the characteristics of stop loss reinsurance treaties. The equivalence between a representative agent approach and the Esscher transform is shown and the financial price process that is robust to these two selection criteria is determined. Finally, the analysis is generalized to allow for risk processes that are perturbed by diffusion. In the third chapter an integrated market is introduced containing both insurance and financial contracts. The calculation of insurance premia and financial derivative prices is presented assuming the absence of arbitrage opportunities. It is shown that in contrast to financial contracts, there exist infinitely many market prices of risk that lead to the same premium process. Thereafter a link between financial and actuarial prices is established based on the requirement that financial prices should be consistent with actuarial valuation. This connection is investigated in more detail under certain premium calculation principles. The starting point of the final chapter is the Fourier technique developed in Chapters 1 and 2. It is the aim of this chapter to generalize the analysis to underlying Levy processes. Expressions for the conditional moments and probabilities based on these processes are derived and their inverse Fourier transforms are obtained in closed form. The representation of conditional moments and probabilities separates the stochastic structure from the deterministic dependence on the underlying Levy processes.
2
Eichler, Andreas, Gunther Leobacher, and Michaela Szölgyenyi. "Utility indifference pricing of insurance catastrophe derivatives." Springer Berlin Heidelberg, 2017. http://dx.doi.org/10.1007/s13385-017-0154-2.
Full textAbstract:
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary losses and losses due to catastrophes. In this model we price a catastrophe derivative by the method of utility indifference pricing. The associated stochastic optimization problem is treated by techniques for piecewise deterministic Markov processes. A numerical study illustrates our results.
3
Avery, Christopher S. "Weather Derivatives as Crop Insurance in Iowa." Thesis, The University of Arizona, 2016. http://hdl.handle.net/10150/613516.
Full textAbstract:
Crop insurance has been used by farmers to reduce yield loss risk. In this thesis we explore the plausibility of using weather derivative products to hedge against temperature induced corn yield losses. The ultimate goal is to explore relationships between weather and yield in order to hedge yield risk with exchange traded weather derivatives. This paper sets up the groundwork for these strategies by determining the weather relationships to annual yield and variability of yields using log-linear models. We find significant links among corn, soybeans, and hay yields in Iowa and weather variables such that using temperature based weather derivatives to hedge against yield loss is economically viable.
4
Ndounkeu, Ludovic Tangpi. "Optimal cross hedging of Insurance derivatives using quadratic BSDEs." Thesis, Stellenbosch : Stellenbosch University, 2011. http://hdl.handle.net/10019.1/17950.
Full textAbstract:
Thesis (MSc)--Stellenbosch University, 2011.<br>ENGLISH ABSTRACT: We consider the utility portfolio optimization problem of an investor whose
activities are influenced by an exogenous financial risk (like bad weather or
energy shortage) in an incomplete financial market. We work with a fairly
general non-Markovian model, allowing stochastic correlations between the
underlying assets. This important problem in finance and insurance is tackled
by means of backward stochastic differential equations (BSDEs), which have
been shown to be powerful tools in stochastic control. To lay stress on the
importance and the omnipresence of BSDEs in stochastic control, we present
three methods to transform the control problem into a BSDEs. Namely, the
martingale optimality principle introduced by Davis, the martingale representation
and a method based on Itô-Ventzell’s formula. These approaches enable
us to work with portfolio constraints described by closed, not necessarily convex
sets and to get around the classical duality theory of convex analysis. The
solution of the optimization problem can then be simply read from the solution
of the BSDE. An interesting feature of each of the different approaches is that
the generator of the BSDE characterizing the control problem has a quadratic
growth and depends on the form of the set of constraints. We review some
recent advances on the theory of quadratic BSDEs and its applications. There
is no general existence result for multidimensional quadratic BSDEs. In the
one-dimensional case, existence and uniqueness strongly depend on the form
of the terminal condition. Other topics of investigation are measure solutions
of BSDEs, notably measure solutions of BSDE with jumps and numerical approximations.
We extend the equivalence result of Ankirchner et al. (2009)
between existence of classical solutions and existence of measure solutions to
the case of BSDEs driven by a Poisson process with a bounded terminal condition.
We obtain a numerical scheme to approximate measure solutions. In
fact, the existing self-contained construction of measure solutions gives rise
to a numerical scheme for some classes of Lipschitz BSDEs. Two numerical
schemes for quadratic BSDEs introduced in Imkeller et al. (2010) and based,
respectively, on the Cole-Hopf transformation and the truncation procedure
are implemented and the results are compared.
Keywords: BSDE, quadratic growth, measure solutions, martingale theory,
numerical scheme, indifference pricing and hedging, non-tradable underlying,
defaultable claim, utility maximization.<br>AFRIKAANSE OPSOMMING: Ons beskou die nuts portefeulje optimalisering probleem van ’n belegger wat
se aktiwiteite beïnvloed word deur ’n eksterne finansiele risiko (soos onweer of
’n energie tekort) in ’n onvolledige finansiële mark. Ons werk met ’n redelik
algemene nie-Markoviaanse model, wat stogastiese korrelasies tussen die onderliggende
bates toelaat. Hierdie belangrike probleem in finansies en versekering
is aangepak deur middel van terugwaartse stogastiese differensiaalvergelykings
(TSDEs), wat blyk om ’n onderskeidende metode in stogastiese beheer
te wees. Om klem te lê op die belangrikheid en alomteenwoordigheid van TSDEs
in stogastiese beheer, bespreek ons drie metodes om die beheer probleem
te transformeer na ’n TSDE. Naamlik, die martingale optimaliteits beginsel
van Davis, die martingale voorstelling en ’n metode wat gebaseer is op ’n
formule van Itô-Ventzell. Hierdie benaderings stel ons in staat om te werk
met portefeulje beperkinge wat beskryf word deur geslote, nie noodwendig
konvekse versamelings, en die klassieke dualiteit teorie van konvekse analise te
oorkom. Die oplossing van die optimaliserings probleem kan dan bloot afgelees
word van die oplossing van die TSDE. ’n Interessante kenmerk van elkeen van
die verskillende benaderings is dat die voortbringer van die TSDE wat die
beheer probleem beshryf, kwadratiese groei en afhanglik is van die vorm van
die versameling beperkings. Ons herlei ’n paar onlangse vooruitgange in die
teorie van kwadratiese TSDEs en gepaartgaande toepassings. Daar is geen algemene
bestaanstelling vir multidimensionele kwadratiese TSDEs nie. In die
een-dimensionele geval is bestaan ââen uniekheid sterk afhanklik van die vorm
van die terminale voorwaardes. Ander ondersoek onderwerpe is maatoplossings
van TSDEs, veral maatoplossings van TSDEs met spronge en numeriese
benaderings. Ons brei uit op die ekwivalensie resultate van Ankirchner et al.
(2009) tussen die bestaan van klassieke oplossings en die bestaan van maatoplossings
vir die geval van TSDEs wat gedryf word deur ’n Poisson proses
met begrensde terminale voorwaardes. Ons verkry ’n numeriese skema om
oplossings te benader. Trouens, die bestaande self-vervatte konstruksie van
maatoplossings gee aanleiding tot ’n numeriese skema vir sekere klasse van
Lipschitz TSDEs. Twee numeriese skemas vir kwadratiese TSDEs, bekendgestel
in Imkeller et al. (2010), en gebaseer is, onderskeidelik, op die Cole-Hopf
transformasie en die afknot proses is geïmplementeer en die resultate word
vergelyk.
5
Chu, Chi Chiu. "Pricing models of equity-linked insurance products and LIBOR exotic derivatives /." View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?MATH%202005%20CHU.
Full text
6
Jang, Ji-Wook. "Doubly stochastic point processes in reinsurance and the pricing of catastrophe insurance derivatives." Thesis, London School of Economics and Political Science (University of London), 1998. http://etheses.lse.ac.uk/1509/.
Full textAbstract:
This dissertation presents pricing models for stop-loss reinsurance contracts for catastrophic events and for catastrophe insurance derivatives. We use doubly stochastic Poisson process or the Cox process for the claim arrival process for catastrophic events. The shot noise process is able to measure the frequency, magnitude and time period needed to determine the effect of the catastrophe. This process is used for the claim intensity function within the Cox process. The Cox process with shot noise intensity is examined by piecewise deterministic Markov process theory. We apply the Cox process incorporating the shot noise process as its intensity to price stop-loss catastrophe reinsurance contracts and catastrophe insurance derivatives. In order to calculate fair prices for reinsurance contracts and catastrophe insurance derivatives we need to assume that there is an absence of arbitrage opportunities in the market. This can be achieved by using an equivalent martingale probability measure in our pricing models. The Esscher transform is used to change probability measure. The dissertation also shows how to estimate the parameters of claim intensity using the likelihood function. In order to estimate the distribution of claim intensity, state estimation is employed as well. Since the claim intensity is not observable we filter it out on the basis of the number of claims, i.e. we employ the Kalman-Bucy filter. We also derive pricing formulae for stop-loss reinsurance contracts for catastrophic events using the distribution of claim intensity that is obtained by the Kalman-Bucy filter. Both estimations are essential in pricing stop-loss reinsurance contracts and catastrophe insurance derivatives.
7
Laurent, Andrea. "Derivatives and the asset allocation decision : a synthesis between portfolio diversification and portfolio insurance /." [S.l. : s.n.], 2003. http://www.gbv.de/dms/zbw/373083238.pdf.
Full text
8
Li, Jing [Verfasser]. "Pricing and Risk Management of Basket FX Derivatives and Unit-Linked Life Insurance Contracts / Jing Li." Bonn : Universitäts- und Landesbibliothek Bonn, 2012. http://d-nb.info/1043019618/34.
Full text
9
Cavanaugh, Grant. "Direct Climate Markets: the Prospects for Trading Teleconnection Risk." UKnowledge, 2013. http://uknowledge.uky.edu/agecon_etds/16.
Full textAbstract:
This dissertation provides the analysis necessary to launch the first direct climate markets. Combining statistical modeling with qualitative interviews, I build off of an innovative insurance project to show why and how to start traded markets on indexes of El Niño/La Niña. I provide statistical models of El Niño/La Niña's worldwide economic impacts; a stochastic catalog used to price virtually any risk management contract on El Niño/La Niña, even as new forecasts change traders' expectations; a comprehensive statistical description of the lifecycle of new derivatives showing how the prospects for new derivatives changed fundamentally in the last decade (this work is co-authored by Michael Penick, Senior Economist at the US government's derivatives regulator, the Commodity Futures Trading Commission); and, interviews with risk management professionals at businesses facing El Niño/La Niña risk and financial firms interested in trading that risk. Based on this analysis, I conclude that catastrophe bonds settling on NOAA's Niño 3.4 sea surface temperatures can, and likely will, launch in the near future.
10
Chen, Shu-Ling. "Three essays on agricultural and catastrophic risk management." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1179368620.
Full text
11
Ndoumbe, Ebongue Steve Armand. "The risk model for insurance portfolio has been adopted to portfolio of derivatives. Describe the models and compare with a focus on the differences." Thesis, Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-11293.
Full text
12
Krupová, Tereza. "Deriváty na počasí jako alternativní nástroj řešení rizikovosti." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-72022.
Full textAbstract:
Thesis deals with weather derivatives and their position within other financial instruments. It is divided into five main parts. The aim of the first part is to describe the basic mechanism and hallmarks of derivatives as a part of financial market. Also a brief history of weather derivatives is charted. The second chapter is focused on risk and fundamental risk factors and approaches. The weather risk management is presented. The third part discuses weather risk as special kind of risk. This part analyzes the impact of weather on the economy. The differences between weather derivatives and insurance are highlighted. The fourth chapter presents the weather derivatives from the users' points of view; it describes weather derivatives' structure and usage, main underlying indices and also looks on the pricing issues. In the final part the current situation and the possible future evolution of weather derivatives is presented. This part also includes information about the main organizations dealing with either weather management or derivatives.
13
Pozdníková, Magdaléna. "Dopady převodu úvěrového rizika pomocí úvěrových derivátů na finanční stabilitu a současné světové hospodářství." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-142270.
Full textAbstract:
The subject of this thesis is an analysis of causes and impacts of credit risk transfer through credit derivatives on the world economy. It deals with the theoretical view of credit derivatives and their definition. A significant part of the work is devoted to a description of the current credit derivatives market and to motives for trading them. In the continuous process of derivative products innovation selected types are described. Those types that were spread during last two decades. In another part are introduced credit derivatives market participants and special attention is given to the banking sector. Important part is the description of an economic situation in countries in crisis. The aim of this work is to give a complete description of all sectors that were influenced by credit derivatives market.
14
Bavouidibio, Massengo Aubert. "Contribution à l'étude juridique de l'opération de titrisation." Thesis, Paris 2, 2019. http://www.theses.fr/2019PA020077.
Full textAbstract:
Malgré la renommée acquise par l’opération de titrisation après la crise des subprimes, dix années plus tard, l’étude juridique de ce mécanisme est encore à l’état fragmentaire. Partant de ce constat, cette étude vise à apporter des éléments d’analyse pour dégager son identité juridique. L’opération de titrisation apparaît comme un binôme de contrats unis par une cause ou un but commun, à savoir le transfert du risque grevant l’évolution de la valeur de choses dotées d’une valeur variable, indifféremment positive ou négative (nommées sous-jacents). Cette définition explique et justifie l’existence d’un contrôle prudentiel destiné à orienter les comportements des acteurs économiques dans le sens d’une saine prudence, tant par l’intervention extérieure de professionnels règlementés que par l’imposition de règles impératives applicables aux parties à chacun des deux contrats constitutifs de l’ensemble contractuel<br>Although the word securitization became public knowledge during the subprime crisis, ten years later, the actual research about the underpinning mechanism remains piecemeal. Against this observation the present study aims at bringing forward analytical tools in order to identify the legal identity of a securitization transaction. The securitization transaction can be defined as the unification of two contracts sharing a common purpose. This purpose is the transfer of the risk affecting the variation of the value of anything bearing a variable value, be it negative or positive (called underlying). This definition provides the legal grounds for the prudential supervision of such transactions. The objective of prudential supervision is to steer economic agents’ behaviors along a safety and soundness paradigm, by means of both external intervention by regulated professionals, as well as the issuance of rules applicable to all parties of both contracts making up the full contractual set
15
Pérgola, Gabriel Campos. "Seguro contra risco de downside de uma carteira: uma proposta híbrida frequentista-Bayesiana com uso de derivativos." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/10468.
Full textAbstract:
Submitted by Gabriel Campos Pérgola (gabrielpergola@gmail.com) on 2013-02-04T12:56:43Z
No. of bitstreams: 1
DissertationGabrielPergola2013.pdf: 521205 bytes, checksum: 85369078a82b0d5cc02f8248961e9214 (MD5)<br>Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Prezado Gabriel,
Não recebemos os arquivo em PDF.
Att.
Suzi 3799-7876 on 2013-02-05T18:53:00Z (GMT)<br>Submitted by Gabriel Campos Pérgola (gabrielpergola@gmail.com) on 2013-02-05T19:00:17Z
No. of bitstreams: 2
DissertationGabrielPergola2013.pdf: 521205 bytes, checksum: 85369078a82b0d5cc02f8248961e9214 (MD5)
DissertationGabrielPergola2013.pdf: 521205 bytes, checksum: 85369078a82b0d5cc02f8248961e9214 (MD5)<br>Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-02-05T19:07:12Z (GMT) No. of bitstreams: 2
DissertationGabrielPergola2013.pdf: 521205 bytes, checksum: 85369078a82b0d5cc02f8248961e9214 (MD5)
DissertationGabrielPergola2013.pdf: 521205 bytes, checksum: 85369078a82b0d5cc02f8248961e9214 (MD5)<br>Made available in DSpace on 2013-02-05T19:09:04Z (GMT). No. of bitstreams: 2
DissertationGabrielPergola2013.pdf: 521205 bytes, checksum: 85369078a82b0d5cc02f8248961e9214 (MD5)
DissertationGabrielPergola2013.pdf: 521205 bytes, checksum: 85369078a82b0d5cc02f8248961e9214 (MD5)
Previous issue date: 23-01-13<br>Portfolio insurance allows a manager to limit downside risk while allowing participation in upside markets. The purpose of this dissertation is to introduce a framework to portfolio insurance optimization from a hybrid frequentist-Bayesian approach. We obtain the joint distribution of regular returns from a frequentist statistical method, once the outliers have been identified and removed from the data sample. The joint distribution of extreme returns, in its turn, is modelled by a Bayesian network, whose topology reflects the events that can significantly impact the portfolio performance. Once we link the regular and extreme distributions of returns, we simulate future scenarios for the portfolio value. The insurance subportfolio is then optimized by the Differential Evolution algorithm. We show the framework in a step by step example for a long portfolio including stocks participating in the Bovespa Index (Ibovespa), using market data from 2008 to 2012.<br>Seguros de carteiras proporcionam aos gestores limitar o risco de downside sem renunciar a movimentos de upside. Nesta dissertação, propomos um arcabouço de otimização de seguro de carteira a partir de um modelo híbrido frequentista-Bayesiano com uso de derivativos. Obtemos a distribuição conjunta de retornos regulares através de uma abordagem estatística frequentista, uma vez removidos os outliers da amostra. A distribuição conjunta dos retornos extremos, por sua vez, é modelada através de Redes Bayesianas, cuja topologia contempla os eventos que o gestor considera crítico ao desempenho da carteira. Unindo as distribuições de retornos regulares e extremos, simulamos cenários futuros para a carteira. O seguro é, então, otimizado através do algoritmo Evolução Diferencial. Mostramos uma aplicação passo a passo para uma carteira comprada em ações do Ibovespa, utilizando dados de mercado entre 2008 e 2012.
16
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.
Full textAbstract:
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.
17
Lin, Liang-Chun, and 林亮君. "The Derivatives of Insurance Policies：Life Insurance for Pension." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/5p7zxr.
Full textAbstract:
碩士<br>東海大學<br>財務金融學系碩士在職專班<br>100<br>As the advances in medicine and technology, the people must face the problem of retirement urgently in the future with demographic changes. The signal of global recession had been caused by the debt issues in Europe recently. The developed countries in the United States, Japan and Euro countries are faced with an aging population, low fertility, and payment of a huge old-age pension which account for a very high proportion of GDP and result in heavy national financial burden. Looking into the long term policy, the government of Taiwan finds programs to develop policy options, the first one: "the Housing Endowment" is “Reverse Mortgage” of real estate, for the single elders over 65 years old who have owned real estate without heirs. The first opening regions are Taipei City, New Taipei City, Kaohsiung City and as well as actively seeking of Taichung City , all these are published beginning in July 2012 and expected target hundred.
Of course, the policy will be laudable for a good intention of the government, but after the implementation of Reverse Mortgage it will face many in problems to adjust and solve. If there are other programs available to the government incorporated into consideration, then for example the pension fund, the stocks for pension, the insurance annuity…and so on.
The study is the development of new financial tool, the derivatives of insurance policies, for using the whole life policy to provide for the old-age pension. As we know, insurance is a mutual help which can self-help and also help people. If it will give the family safety when the period of life responsibility and then will pay monthly for retirement life by discounted whole life policy. This is a concept from Reverse Mortgage, Life Settlement and Securitization of Insurance that the new financial proposal will be according to the development of domestic insurance for Taiwanese. All of this will wish to provide the government an alternative program and to give the players in multi-wins situation.
18
Yeh, Ning-Hsin, and 葉寧欣. "The Study of Determines of Derivatives Usage in Life Insurance Industry." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/14989415730242878412.
Full textAbstract:
碩士<br>實踐大學<br>財務金融與保險研究所<br>99<br>This study examines the determinants of financial derivatives usage in the Taiwan life insurance industry. We employ OLS Regression model, Logit Regression model and Tobit Regression model, and use sample of 11 life insurance companies from 2006 to 2009. The variables of this study include firm size, firm leverage, mismatch of assets and liability durations, ratio of reinsurance, proportion of separate accounts assets to total assets, ratio of foreign investment, subsidiaries of financial holding company, and foreign currency policies.
Our results indicate that life insurance company uses more derivatives if it has higher proportion of separate accounts assets to total assets and not a subsidiary of financial holding company.A life insurance company is more likely to use interest rate and foreign exchange derivatives if it has lower ratio of reinsurance and higher proportion of separate accounts assets to total assets.When it comes to the extent of usage, the life insurance company uses more derivatives if it is larger, has higher leverage, and has lower ratio of reinsurance.
19
Hsu, Kai Fang, and 許愷芳. "The Influential Factors of Choosing Derivatives in Non-Life Insurance Industry." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/83168322495614673474.
Full textAbstract:
碩士<br>實踐大學<br>財務金融與保險研究所<br>99<br>The derivatives are generally used by financial intermediaries to protect them against various types of risks in recent years. However, the research literatures about the determinants of derivatives in insurance industry are very limited. This study investigates the motives and preconditions of the nine Taiwan non-life insurance companies which disclose the usage of derivatives information in their financial reports from 2006 to 2009. We employ t-test, Logit regression model, OLS regression model, and Tobit regression model to discuss the main factors that non-life insurance companies choosing derivatives.
Results indicate that the company has larger size, higher leverage, higher ratio of international investment, higher ratio of long-tail business, and not a subsidiary of financial holding company, the probability of using derivatives in non-life insurance company will be high. When the company has larger size, higher leverage, the locations of international business are increased, higher ratio of international investment, and higher ratio of long-tail business, the non-life insurance company is more likely to use interest rate or foreign exchange derivatives. When the company has larger size, the locations of international business are increased, higher ratio of international investment, higher ratio of long-tail business, and be a subsidiary of financial holding company, the non-life insurance company uses more derivatives. Final, when company has larger size, the lower leverage, higher ratio of reinsurance, the locations of international business are increased, higher ratio of international investment, and be a subsidiary of financial holding company, the amount of derivatives usage in non-life insurance company is higher.
20
JHUO, JHIH-MEI, and 卓芷玫. "The Effects of Directors' and Officers' Liability Insurance on Derivatives Usage Decisions." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/q7w8yq.
Full textAbstract:
碩士<br>國立雲林科技大學<br>會計系<br>107<br>The directors' and officers' liability insurance mechanism is generally used to reduce the increased legal and financial responsibility of directors and managers after the outbreak of negative social events in many well-known companies. It suggests that directors’ and officers' liability insurance would play a role in firm’s risk management decisions. Financial derivatives have been found to either hedge risk or to speculate the market views in a firm’s risk management decisions. This study thus uses the data of the listed firms in Taiwanese Stocks Exchange from 2009 to 2017 to figure out the relationship between directors' and officers' liability insurance and the firm’s derivatives usage decision. Moreover, this study divides the sample into hedging-purpose and non-hedging-purpose (speculating-purpose) derivatives usage and examines whether the association of directors' and officers' liability insurance with the derivatives usage decisions will reveals distinctive patterns in differential derivatives usage motives.
The empirical result indicates that directors' and officers' liability insurance is positively associated with both the hedging-purpose derivatives usage and non-hedging-purpose (transaction-purpose) derivatives usage and supports the hypothesis that directors' and officers' liability insurance enhances managerial wish to use financial derivatives in their risk management decisions. This study runs several diagnostic checks and reveals the results are robust to these further tests.
21
Chao, Chih-Ling, and 趙芝伶. "An Empirical Analysis on the Relationship Between Financial Derivatives and Reinsurancein the Insurance Industry." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/43463228060435585985.
Full text
22
Tz-YangKuo and 郭子揚. "The Impact of Derivatives on Firm Risk: Evidence from United Kingdom Life Insurance Industry." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/63488093765483746749.
Full textAbstract:
碩士<br>國立成功大學<br>企業管理學系碩博士班<br>100<br>Prior studies on derivatives normally focus on the determinants of decisions on derivative use and few of them examine how derivative use affects firm risk. In addition, due to data unavailability, there is only one study to our knowledge employs insurers as the sample to investigate the relationship between derivatives and solvency. Using data from 344 U.K. life insurers covering from 1989 to 2010, I investigate whether insurers with derivatives have a significant impact on firm risk. In my analysis, I proxy for insurers’ risk by accounting-based measure of risk, which hasn’t ever been used in the similar research topic. The results reveal that derivative use has a negative and significant relation with firm risk. However, after financial crisis, I find that derivative use has a significant and positive relation with firm risk. That is, there is a possibility that derivative use may lead to an increase in insurers’ overall risk and this result could help the governor to shed new light on the usage of derivatives in insurance.
23
Filonov, Vitaly. "Applications of Copulas to Analysis of Efficiency of Weather Derivatives as Primary Crop Insurance Instruments." Thesis, 2011. http://hdl.handle.net/1969.1/ETD-TAMU-2011-08-10139.
Full textAbstract:
Numerous authors note failure of private insurance markets to provide affordable and comprehensive crop insurance. Economic logic suggests that index contracts potentially may have some advantages when compared with traditional (farm based) crop insurance. It is also a matter of common knowledge that weather is an important production factor and at the same time one of the greatest sources of risk in agriculture. Hence introduction of crop insurance contracts, based on weather indexes, might be a reasonable approach to mitigate problems, associated with traditional crop insurance products, and possibly lower the cost of insurance for end users.
In spite of the fact that before the financial crisis of 2008-09 market for weather derivatives was the fastest growing derivatives market in the USA, agricultural producers didn’t express much interest in application of weather derivatives to management of their systematic risk. There are several reasons for that, but the most important one is the presence of high basis risk, which is represented by its two major components: technological (i.e. goodness of fit between yield and weather index) and geographical basis. Majority of the researchers is focusing either on pricing of weather derivatives or on mitigation of geographical basis risk. At the same time the number of papers researching possible ways to decrease technological basis is quite limited, and always assumes linear dependency between yields and weather variables, while estimating the risk reducing efficiency of weather contracts, which is obviously large deviation from reality.
The objective of this study is to estimate the risk reducing efficiency of crop insurance contracts, based on weather derivatives (indexes) in the state of Texas. The distributions of representative farmer’s profits with the proposed contracts are compared to the distributions of profits without a contract. This is done to demonstrate the risk mitigating effect of the proposed contracts. Moreover the study will try to account for a more complex dependency structures between yields and weather variables through usage of copulas, while constructing joint distribution of yields and weather data. Selection of the optimal copula will be implemented in the out-of-sample efficient framework. An effort will be done to identify the most relevant periods of year, when weather has the most significant influence on crop yields, which should be included in the model, and to discover the most effective copula to model joint weather/yield risk.
Results suggest that effective insurance of crop yields in the state of Texas by the means of proposed weather derivatives is possible. Besides, usage of data-mining techniques allows for more accurate selection of the time periods to be included in the model than ad hoc procedure previously used in the literature. Finally selection of optimal copula for modeling of joint weather/yield distribution should be crop and county specific, while in general Clayton and Frank copula of Archimedean copula family provide the best out-of-sample metric results.
24
Cheng, Pei-Wen, and 鄭珮妏. "A Study of the Risk-Based Capital for Life Insurance-interest rate and foreign exchange derivatives." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/21685893929830707593.
Full textAbstract:
碩士<br>國立臺灣大學<br>財務金融學研究所<br>94<br>Due to the No. 34 Financial Accounting Statement, the derivatives start to be reported and hedge accounting is practiced. The RBC system conveying the risk borne by insurers has not considered the risk related to derivatives yet. Proposing the methods to calculate the required capital becomes urgent. However, the character of customization for derivatives results in various conditions different from case to case. This makes the fixed coefficients improper. For this reason, this study creates a formula and calculating process to determine individual risk, general market risk and counterparty risk of derivative products. The required capital can be settled according to actual holding positions of each insurance company. The focus is on the derivatives of foreign exchange rate and interest rate which account for the insurers’ books most.
Furthermore, Basel regulation is referenced and a few examples are presented as illustrations. Insurance companies can utilize this article and its examples to figure out the required capital.
25
Cho, Chia-Li, and 卓家立. "Reconsidering the Law of Credit Enhancement from Economic Perspectives: Guaranties, Letters of Credit, Insurance, and Credit Derivatives." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/27168006429299846607.
Full textAbstract:
碩士<br>國立臺灣大學<br>法律學研究所<br>94<br>Credit enhancement, in other words, means enhancing debtor’s credit. Describing it more precisely, credit enhancement is a procedure which creditor identifies, analyzes, and manages the credit risk through risk avoidance, prevention, reduction, isolation or transfer. These series of measures to mitigate credit risk are all comprised in the conception of credit enhancement mechanism. Focus on credit enhancement provided by external parties, it is triggered by the need of creditor, but it is feasible only when the debtor and credit enhancer both benefit from it. Therefore, through economic analysis, credit enhancer must help lower transaction cost, which is composed mainly by time value cost, marginal cost of liquidity, marginal cost of monitoring, and marginal cost of default, to benefit himself and the debtor. Thus, from the economic perspectives, credit enhancement is structured by the creditor who specializes in obtaining loanable funds, the credit enhancer who holds a sufficiently great comparative advantage in monitoring and collection, and the debtor who is willing to maintain this three-party credit transaction for profit inducement.
Guaranties, surety, letters of credit, insurances, and swaps are all credit enhancement mechanisms. Guaranty is conditional, subordinate, ancillary and guarantor is secondary obligator. Surety is jointly and severally liable. They are both governed by Civil Code in Taiwan, Restatement (Third) of the Law of Suretyship and Guaranty in the U.S., and URCG, URDG, ISP98 in global transactions. Commercial letter of credit which governed by UCP500 is independent, documentary and primary liable. Standby letter of credit is also independent and documentary, but its obligation is primary in form and secondary in intent. Parties could choose UCP500, URDG, or ISP98 as governing law. Bonding Insurance is governed by Insurance Act in Taiwan. Insurer’s obligation which arises from insurance contract and is independent of the underlying contract is to indemnify the insured for loss incurred through non-performance of obligations by its debtors. Credit default swap is one kind of credit derivatives and does not have an available body of law. The characteristic of credit default swap is that its positions are tradable.
Among theses different credit enhancement mechanisms, there are still some connections could be generalized. Based on the processes of credit enhancement ─creditor claims, credit enhancer performs and then seeks indemnity, three dimensions─”to whom and in what condition the creditor could claim,” “in what condition credit enhancer’s performance is legitimate,” and “who is ultimately responsible for the debt” are helpful not only in reconsidering the law of credit enhancement and comparing the advantages and disadvantages of these mechanisms, but also in clarifying the conception of “Primary Obligator,” and the misleading between “Joint-Debtors” and “Joint-Guarantors.”
Although distinctions can be draw among these mechanisms, complementary measures designed by the law, comment by the court, and the countermeasures by the market participants, blur the rigid borders. By taking joint-liability, guaranty is moving toward letter of credit in the dimension of ”to whom and in what condition the creditor could claim;” by waiver of defense in the U.S., the affirmation of “Bank Guaranty,” and using direct compulsory execution provided in article 13 of the Public Notarization Act in Taiwan, guaranty is also moving toward letter of credit in the dimension of “in what condition credit enhancer’s performance is legitimate;” by the recognition of fraud exception, using revocable letter of credit, and increasing document requirements, letter of credit is moving toward guaranty in this dimension too. Therefore, there are still some borderlands existing on the borders.
In conclusion, facing the interaction of these different mechanisms, reconsidering the law of credit enhancement, such as the legitimacy of article 739-1 of the Civil Code, by referring to what market participants need, and re-examining the true reasons distinguish these same-function mechanisms are necessary. Only by returning to the market mechanism, and thinking from the viewpoint of business practice can the law of credit enhancement conforms to the expectations of market participants
26
Lee, Yu-Ping, and 李玉萍. "The Impact of Interest Rate Derivatives Usage on Firm’s Interest Rate Exposure: Evidence from the Life Insurance Industry." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/34278964999353633659.
Full textAbstract:
碩士<br>國立成功大學<br>國際企業研究所碩博士班<br>96<br>I analyze the effect of firm characteristics on interest rate risk management behavior of U.S. life insurance industry. Using data collected from the annual report of life insurers in SEC, different models will be used to estimate for the probability and degree of use of interest rate derivatives. Furthmore, I analyze the exposure of interest rate with interest rate derivatives-user and nonusers. I find that life insurers with interest rate derivatives display more, if any, measurable differences in interest rate risk. That means life insurers with interest rate derivatives may face a little higher interest rate risk than non-user.
27
Ke, Chun-Ying, and 柯鈞贏. "Weather Derivatives：A Study on Rainfall Insurance Product in Taiwan." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/69383557176597263432.
Full textAbstract:
碩士<br>國立臺北商業大學<br>財務金融研究所<br>103<br>The frequency and intensity of extreme climate events have increased, and subsequent catastrophes cause huge disaster losses in Taiwan in recent years. We attempt to investigate and develop the weather derivatives which can be used by individuals and/or enterprises to hedge the rainfall and typhoon risks.
Based on historical precipitation data and historical maximum wind data from Central Weather Bureau, we employ Monte Carlo simulattion metod to estimate the monthly rainfall by the Neyman-Scott Rectangular Pulses Model and the typhoon’s maximum wind by the Batts Wind Field Model. Finally, we use the CHI index, the rainfall and the typhoon’s maximum wind to forecast losses caused by typhoon.
28
I-JungLee and 李苡榕. "Derivative use and insurer performance: Evidence from the United Kingdom life insurance industry." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/59553732003054370068.
Full textAbstract:
碩士<br>國立成功大學<br>企業管理學系專班<br>98<br>This study uses the data of UK life insurance companies to analyze the relation of derivative usage and firm performance, from both financial operation aspect as well as the solvency level. The results show that the derivative usage has a negative impact on solvency level and a positive impact on firm performance. The data is further analyzed to determine whether solvency level and derivative usage are managed by firm managers on a simultaneously basis. We find a negative relation between the two variables, which matches previous study on leverage and derivative usage.
29
Yen-YuLai and 賴彥宇. "Evidence form U.K life insurance industry：The relationship between the usages of reinsurance and derivative." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/62664215209352951695.
Full textAbstract:
碩士<br>國立成功大學<br>企業管理學系碩博士班<br>100<br>The motivation of my research is due to most scholars think that both of reinsurance and derivatives are hedging tools for insurers and they are substitute usage, saying that while use more derivative, they will adopt less reinsurance, and vice versa. The aim of this study is to reexamine the relationship between the usage of reinsurance and derivatives is whether substitute or complementary. Thus I collect data from synthesis database ranging from the year 1985 to 2010 and put many variables into the model I establish to run 2SLS by Limdep software. Accidentally, I get the different empirical results than before have been done. When the equation (1) that reinsurance is dependent variable and derivative is one of the independent variables and further take some variables of the lagged one period dataset which correlate with dependent variable into consideration, I get insignificantly substitute effect between the usage of reinsurance and derivative and the overall model fit excellent. However, when the equation (2) that derivative is dependent variable and reinsurance is independent variable, I find that the effect of reinsurance on derivative are complementary, saying that while use more reinsurance, insurers tend to increase the usage of derivative. These findings have great different results comparing to the previous researches.
30
Weng, Yi-Te, and 翁以德. "A Study on Insurance Dispute Resolution and Derivative Litigation of Financial Consumer Protection Act." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/26094987874159790464.
Full textAbstract:
碩士<br>國立高雄第一科技大學<br>風險管理與保險研究所<br>103<br>In order to protect the interests of financial consumers and to fairly, reasonably and effectively handle financial consumer disputes, thereby reinforcing the financial consumers in markets and promoting development of financial markets, the Legislative Yuan passed the Financial Consumer Protection Act on June 3, 2011, and enforced it since 2012. Moreover, the Financial Ombudsman Institution (FOI) is established and effectively resolves disputes between financial consumer and financial services enterprise. However, the processing is doubtful. Therefore, this study investigated ’’a study on insurance dispute resolution and derivative litigation of financial consumers protection act’’. Based on the law regulation, then observing the practice and formal principle, we could clarify the litigation cases of the matters in dispute. This study investigated that because the insurance companies are equipped with the economic status and professional knowledge of insurance, the policy holders are placed in a minority. In addition, after rejecting the aftermath, the policy holders should have the right of ‘’veto power’’, ‘’review’’ and ‘’testify’’ in the future.
31
LEE, PEI-CHIN, and 李佩錦. "The Impact of Foreign Exchange Risk and Derivative Financial Products Hedging on Foreign Exchange Reserve of Insurance Industry." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/5hw2fq.
Full textAbstract:
碩士<br>南華大學<br>財務金融學系財務管理碩士班<br>106<br>Focusing on life insurance companies in Taiwan and using the data from 2000 to 2017, this paper aims to investigate the impact of foreign exchange risk of life insurance companies and hedging of derivative financial products on the foreign exchange reserve. The empirical results show that when the foreign exchange risk of insurers is higher, it will have a positive effect on the foreign exchange reserve. Firm using the hedging of derivative financial products could significantly reduce the impact of the foreign exchange reserves. Finally, as insurers with lower foreign exchange risk and usage of derivatives for hedging jointly and significantly reduce the level of foreign exchange reserves.
32
Sheng-YinChen and 陳聖茵. "The Relation between the Derivative Use, Organizational Form, and Firm Size: Evidence from the United Kingdom Life Insurance Company." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/99453100474271934416.
Full textAbstract:
碩士<br>國立成功大學<br>國際企業研究所碩博士班<br>100<br>The purpose of this paper is to analyze (1) the relationship (positive or negative) between derivative uses, firm size; (2) the relationship between derivative use and organizational form. And it is important to study these two relations because as two main components of the insurance industry which are owners and managers, the insurance companies’ organization and size of the insurance companies are two variables that can affect their decision-making process on derivative use.
To mitigate the endogenous problem of firm size and organizational form in my regression model, I use one-year lagged data of all explanatory variables, including main variables and control variables. Then I use multiple regression analysis and employ a random effect model of panel data to examine the relation between dependent variable and explanatory variables. Data are obtained from SynThesys Life database, including 370 U.K. life insurance companies. I find positive relation between firm size and derivative use and is significantly related under 0.01 level, and about another main explanatory variable, organizational form, the result shows a postive relation with dependent variable which is also supported by many researches but lack of significance.