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Relevant bibliographies by topics / Portfolio Insurance

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Academic literature on the topic 'Portfolio Insurance'

Author: Grafiati

Published: 4 June 2021

Last updated: 4 February 2022

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Journal articles on the topic "Portfolio Insurance"

1

Levchenko, Valentyna, and Myroslav Ostapenko. "Formation of the optimal portfolio of insurer’s services of the voluntary types of insurance." Insurance Markets and Companies 7, no. 1 (2016): 45–51. http://dx.doi.org/10.21511/imc.7(1).2016.05.

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The article studies the possibility of using optimization modelling to form the optimal structure of insurance services’ portfolio of insurance companies. Based on the data of net insurance payments and profitability of the voluntary types of insurance in 2005-2015, the authors conducted their analysis according to the possibility to be included in the general insurance portfolio of the insurance company. The optimization model is based on the approach developed by G. Markowitz. The formation of insurance services portfolio is conducted by solving the optimization problem to maximize the portf

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Black, Fischer, and Robert W. Jones. "Simplifying portfolio insurance." Journal of Portfolio Management 14, no. 1 (1987): 48–51. http://dx.doi.org/10.3905/jpm.1987.409131.

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Machado-Santos, Carlos. "Portfolio insurance using traded options." Revista de Administração Contemporânea 5, no. 3 (2001): 187–214. http://dx.doi.org/10.1590/s1415-65552001000300010.

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Literature concerning the institutional use of options indicates that the main purpose of option trading is to provide investors with the opportunity to create return distributions previously unavailable, considering that options provide the means to manipulate portfolio returns. In such a context, this study intends to analyse the returns of insured portfolios generated by hedging strategies on underlying stock portfolios. Because dynamic hedging is too expensive, we have hedged the stock positions discretely, in a way that the positions were revised only when the daily hedge ratio has change

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Larionov, A. V. "Regulation of the Structure of the Insurance Portfolio as a Mechanism to Reduce the Risks of Insurance Companies." World of new economy 12, no. 2 (2018): 40–47. http://dx.doi.org/10.26794/2220-6469-2018-12-2-40-47.

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The purpose of this article is to determine the influence of the portfolio structure on the stability of insurance companies’ activity. With this objective, we examined how the structure of insurance portfolio affects the risks of companies’ activity.The author has proved that if insurance companies focus on voluntary property insurance it increases the probability of revocation of their licenses. These results were derived from a binary logistic regression using 112 observations. Parameters of insurance portfolio, as well as regional macroeconomic indicators that reflect the operating environ

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Schnieper, René. "Portfolio Optimization." ASTIN Bulletin 30, no. 1 (2000): 195–248. http://dx.doi.org/10.2143/ast.30.1.504632.

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AbstractBased on the profit and loss account of an insurance company we derive a probabilistic model for the financial result of the company, thereby both assets and liabilities are marked to market. We thus focus on the economic value of the company.We first analyse the underwriting risk of the company. The maximization of the risk return ratio of the company is derived as optimality criterion. It is shown how the risk return ratio of heterogeneous portfolios or of catastrophe exposed portfolios can be dramatically improved through reinsurance. The improvement of the risk return ratio through

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Wankhede, Deveshree. "Insurance Portfolio Management Tools." International Journal for Research in Applied Science and Engineering Technology 6, no. 4 (2018): 4605–8. http://dx.doi.org/10.22214/ijraset.2018.4755.

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de Villiers, Johann. "Portfolio Insurance Trading Rules." CFA Digest 30, no. 3 (2000): 93–94. http://dx.doi.org/10.2469/dig.v30.n3.740.

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Escobar-Anel, Marcos, Andreas Lichtenstern, and Rudi Zagst. "Behavioral portfolio insurance strategies." Financial Markets and Portfolio Management 34, no. 4 (2020): 353–99. http://dx.doi.org/10.1007/s11408-020-00353-5.

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Aliprantis, C. D., D. J. Brown, and J. Werner. "Minimum-cost portfolio insurance." Journal of Economic Dynamics and Control 24, no. 11-12 (2000): 1703–19. http://dx.doi.org/10.1016/s0165-1889(99)00091-3.

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Frees, Edward. "Insurance Portfolio Risk Retention." North American Actuarial Journal 21, no. 4 (2017): 526–51. http://dx.doi.org/10.1080/10920277.2017.1317272.

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Dissertations / Theses on the topic "Portfolio Insurance"

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Guleroglu, Cigdem. "Portfolio Insurance Strategies." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614809/index.pdf.

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The selection of investment strategies and managing investment funds via employing portfolio insurance methods play an important role in asset liability management. Insurance strategies are designed to limit downside risk of portfolio while allowing some participation in potential gain of upside markets. In this thesis, we provide an extensive overview and investigation, particularly on the two most prominent portfolio insurance strategies: the Constant Proportion Portfolio Insurance (CPPI) and the Option-Based Portfolio Insurance (OBPI). The aim of the thesis is to examine, analyze and compar

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George, Jeffrey. "Portfolio Insurance Using Leveraged ETFs." Digital Commons @ East Tennessee State University, 2017. https://dc.etsu.edu/honors/416.

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This study examines the use of leveraged exchange traded funds (LETFs) within a portfolio insurance framework to reduce exposure to downside risk. Investors have learned the importance of mitigating this risk having experienced two “once in a century” events in the last 20 years with the tech crash in the early 2000s and the financial crisis in 2008. Current portfolio insurance strategies are either option based (Leland & Rubinstein, 1976) or constant proportional portfolio insurance (CPPI), (Black & Jones, 1987). The cost of option based strategies can be quite high while a CPPI strategy requ

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Lundvik, Andreas. "Portfolio insurance methods for index-funds." Thesis, Uppsala University, Department of Mathematics, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121382.

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Tawil, Dima. "Performance evaluation of portfolio insurance strategies." Thesis, Rennes 1, 2015. http://www.theses.fr/2015REN1G017/document.

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Cette thèse a pour objectif d’évaluer et de comparer la performance des stratégies d’assurance de portefeuille pour tenter de définir quelles stratégies doivent être privilégiées par les investisseurs. Nous comparons de nombreuses stratégies d’assurance (OBPI, CPPI, put synthétique et Stop-loss) entre elles mais également avec quelques autres stratégies de référence. Nous utilisons différents critères de comparaison qui comprennent: 1. Les distributions de pay-off, le niveau de protection, la dominance stochastique et le coût d’assurance dans différentes conditions de marché identifiées par de

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Almeida, Ricardo Jorge da Graça Rodrigues de. "Analysis of portfolio insurance strategies based upon empirical densities." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10362.

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Mestrado em Finanças<br>Este estudo avalia a performance das mais comuns estratégias de Portfolio Insurance, baseando essa análise em simulações de blocos móveis de Bootstrap. Nesta análise consideramos não apenas as tradicionais medidas associadas à Teoria Média-variância, mas também outras medidas associadas ao Downside Risk, bem como classificações de dominância estocástica. Foram identificadas evidências que suportam que a estratégia CPPI 1 deve ser preferida em termos da sua dominância face às restantes. Contrariamente, a estratégia SLPI deverá ser preterida face a outras estratégias de

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Simeonova, Antoniya. "Covered Call Writing : Portfolio Insurance zur Altersvorsorge /." [S.l. : s.n.], 2008. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016406585&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Pereira, Andreia Simões. "Risk adjustment in a life insurance portfolio." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20924.

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Mestrado em Actuarial Science<br>Desde que a IFRS 17 foi emitida, o estudo e compreensão de todas as suas componentes tem sido uma tarefa desafiante para o quadro segurador, principalmente o cálculo das componentes do passivo. A sua complexidade e abordagem baseada em princípios representa um desafio para todas as companhias, consultores e outros stakeholders. Com isso em mente, este estágio teve como objetivo principal a compreensão de uma das suas componentes, o Risk Adjustment, que pode ser comparado à Margem de Risco de Solvência II. O Risk Adjustment representa a compensação que uma enti

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Uhlmann, Roger. "Portfolio insurance - CPPI im Vergleich zu anderen Strategien /." Bern [u.a.] : Haupt, 2008. http://www.gbv.de/dms/zbw/558989977.pdf.

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Costa, Jorge Filipe Baptista da. "Portfolio Insurance : a comparison of alternative investment strategies." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/10260.

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Mestrado em Finanças<br>Este estudo realiza uma comparação entre as estratégias mais populares de Portfolio Insurance, através da Simulação de Monte Carlo. Este trabalho tem como objectivo definir a melhor estratégia através de diversas comparações e dar um contributo para resolver algumas divergências na literatura. A maioria das comparações realizadas anteriormente não têm em consideração todas as estratégias presentes neste estudo e esta análise pretende acrescentar algumas conclusões relevantes. As estratégias OBPI, CPPI e SLPI são avaliadas através dos momentos da distribuição, rácios de

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Uhlmann, Roger. "Portfolio insurance CPPI im Vergleich zu anderen Strategien." Bern Stuttgart Wien Haupt, 2007. http://d-nb.info/987538179/04.

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Books on the topic "Portfolio Insurance"

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Hagen, Uta Elisabeth. Portfolio-Insurance-Strategien. Deutscher Universitätsverlag, 2002. http://dx.doi.org/10.1007/978-3-322-81986-4.

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Hohmann, Ralf. Portfolio Insurance reloaded. Springer Fachmedien Wiesbaden, 2018. http://dx.doi.org/10.1007/978-3-658-22125-6.

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Algorithms for portfolio optimization and portfolio insurance. P. Haupt, 1994.

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Frey, Rüdiger. Portfolio insurance and volatility. London School of Economics, Financial Markets Group, 1994.

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Ferguson, Cheryl L. Personal insurance: Portfolio management. Insurance Institute of America, 2000.

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Merrick, John J. Portfolio insurance with stock index futures. Federal Reserve Bank of Philadelphia, 1987.

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Ralf, Hohmann. Portfolio insurance in Deutschland: Strategien gegen Aktienkursverluste. DUV, 1996.

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O'Brien, Thomas J. How option replicating portfolio insurance works: Expanded details. SalomonBrothers Center for the Study of Financial Institutions, 1988.

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O'Brien, Thomas J. How option replicating portfolio insurance works: Expanded details. Salomon Brothers Center for the Study of Financial Institutions, Leonard N. Stern School of Business, New York University, 1989.

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Kopcke, Richard W. The capitalization and portfolio risk of insurance companies. Federal Reserve Bank of Boston, 1991.

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Book chapters on the topic "Portfolio Insurance"

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Roe, Steuart. "Portfolio Insurance." In Risk Management and Financial Derivatives. Palgrave Macmillan UK, 1997. http://dx.doi.org/10.1007/978-1-349-14605-5_14.

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Ho, Lan-chih, John Cadle, and Michael Theobald. "Portfolio Insurance Strategies." In Encyclopedia of Finance. Springer US, 2012. http://dx.doi.org/10.1007/978-1-4614-5360-4_62.

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Hagen, Uta Elisabeth. "Einführung." In Portfolio-Insurance-Strategien. Deutscher Universitätsverlag, 2002. http://dx.doi.org/10.1007/978-3-322-81986-4_1.

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Hagen, Uta Elisabeth. "Risiko- und Performancemessung von Wertpapieranlagen." In Portfolio-Insurance-Strategien. Deutscher Universitätsverlag, 2002. http://dx.doi.org/10.1007/978-3-322-81986-4_2.

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Hagen, Uta Elisabeth. "Validierung von Aktienanlagen vor dem Hintergrund aufsichtsrechtlicher Rahmenbedingungen in der Lebensversicherung." In Portfolio-Insurance-Strategien. Deutscher Universitätsverlag, 2002. http://dx.doi.org/10.1007/978-3-322-81986-4_3.

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Hagen, Uta Elisabeth. "Modellierung globaler Renditegenerierungs-prozesse von Aktienanlagen." In Portfolio-Insurance-Strategien. Deutscher Universitätsverlag, 2002. http://dx.doi.org/10.1007/978-3-322-81986-4_4.

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Hagen, Uta Elisabeth. "Passive Absicherungsstrategien zur lokalen Steuerung der Renditegenerierung." In Portfolio-Insurance-Strategien. Deutscher Universitätsverlag, 2002. http://dx.doi.org/10.1007/978-3-322-81986-4_5.

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Hagen, Uta Elisabeth. "Quantitative Renditegenerierung und Risikobewertung." In Portfolio-Insurance-Strategien. Deutscher Universitätsverlag, 2002. http://dx.doi.org/10.1007/978-3-322-81986-4_6.

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Hagen, Uta Elisabeth. "Schlußbetrachtung und Ausblick." In Portfolio-Insurance-Strategien. Deutscher Universitätsverlag, 2002. http://dx.doi.org/10.1007/978-3-322-81986-4_7.

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Hohmann, Ralf. "Constant-Proportion-Portfolio-Insurance." In essentials. Springer Fachmedien Wiesbaden, 2018. http://dx.doi.org/10.1007/978-3-658-22125-6_2.

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Conference papers on the topic "Portfolio Insurance"

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DuBois, James R., and Andrew I. Quarles. "Disaster Insurance Using Portfolio Management Techniques." In SPE Annual Technical Conference and Exhibition. Society of Petroleum Engineers, 2003. http://dx.doi.org/10.2118/84331-ms.

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Maasar, Mohd Azdi, Zahari Md Rodzi, Noraimi Azlin Mohd Nordin, and Nor Hanimah Kamis. "Portfolio insurance of a portfolio reflected by FTSE Bursa Malaysia KLCI." In 2012 IEEE Colloquium on Humanities, Science and Engineering (CHUSER). IEEE, 2012. http://dx.doi.org/10.1109/chuser.2012.6504367.

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Zhang, Sixing. "Discussion on the optimal portfolio of insurance companies." In 2015-1st International Symposium on Social Science. Atlantis Press, 2015. http://dx.doi.org/10.2991/isss-15.2015.23.

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Luo, Wei, Akib Mashrur, Antonio Robles-Kelly, and Gang Li. "Bias-regularised Neural-Network Metamodelling of Insurance Portfolio Risk." In 2020 International Joint Conference on Neural Networks (IJCNN). IEEE, 2020. http://dx.doi.org/10.1109/ijcnn48605.2020.9207375.

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Li, Hao. "Optimal Portfolio of Basic Pension Insurance Funds in China." In 2020 5th International Conference on Humanities Science and Society Development (ICHSSD 2020). Atlantis Press, 2020. http://dx.doi.org/10.2991/assehr.k.200727.185.

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Ye, Jinchun. "Optimal Life Insurance, Consumption and Portfolio under Uncertainty: Martingale Methods." In 2007 American Control Conference. IEEE, 2007. http://dx.doi.org/10.1109/acc.2007.4283150.

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Jinchun Ye. "Optimal life insurance, consumption and portfolio: A dynamic programming approach." In 2008 American Control Conference (ACC '08). IEEE, 2008. http://dx.doi.org/10.1109/acc.2008.4586516.

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Chen, Jiah-Shing, and Benjamin Penyang Liao. "Piecewise nonlinear goal-directed portfolio insurance strategies under TIPP idea." In 9th Joint Conference on Information Sciences. Atlantis Press, 2006. http://dx.doi.org/10.2991/jcis.2006.178.

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Dehghanpour, Siamak, and Akbar Esfahanipour. "A robust genetic programming model for a dynamic portfolio insurance strategy." In 2017 IEEE International Conference on INnovations in Intelligent SysTems and Applications (INISTA). IEEE, 2017. http://dx.doi.org/10.1109/inista.2017.8001157.

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Katsikis, Vasilios N. "An alternative computational method for finding the minimum-premium insurance portfolio." In INTERNATIONAL CONFERENCE OF NUMERICAL ANALYSIS AND APPLIED MATHEMATICS 2015 (ICNAAM 2015). Author(s), 2016. http://dx.doi.org/10.1063/1.4952256.

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Reports on the topic "Portfolio Insurance"

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Wang, Xiao Yu. Risk Sorting, Portfolio Choice, and Endogenous Informal Insurance. National Bureau of Economic Research, 2014. http://dx.doi.org/10.3386/w20429.

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