Relevant bibliographies by topics / Stop-loss Portfolio Insurance

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  1. Journal articles
  2. Dissertations / Theses
  3. Book chapters

Academic literature on the topic 'Stop-loss Portfolio Insurance'

Author: Grafiati
Published: 10 September 2021
Last updated: 29 July 2025

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Journal articles on the topic "Stop-loss Portfolio Insurance"

1

Bird, Ron, Davis Dennis, and Mark Tippett. "A stop loss approach to portfolio insurance." Journal of Portfolio Management 15, no. 1 (1988): 35–40. http://dx.doi.org/10.3905/jpm.1988.409178.

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2

Kaas, R., A. E. van Heerwaarden, and M. J. Goovaerts. "Between Individual and Collective Model for the Total Claims." ASTIN Bulletin 18, no. 2 (1988): 169–74. http://dx.doi.org/10.2143/ast.18.2.2014950.

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AbstractThis article studies random variables whose stop-loss rank falls between a certain risk (assumed to be integer-valued and non-negative, but not necessarily of life-insurance type) and the compound Poisson approximation to this risk. They consist of a compound Poisson part to which some independent Bernoulli-type variables are added.Replacing each term in an individual model with such a random variable leads to an approximating model for the total claims on a portfolio of contracts that is computationally almost as attractive as the compound Poisson approximation used in the standard co
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3

Samson, Danny. "Expected Utility Strategic Decision Models for General Insurers." ASTIN Bulletin 16, S1 (1986): S45—S58. http://dx.doi.org/10.1017/s0515036100011648.

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AbstractIt has been argued in previous studies that the expected utility decision criterion provides useful insights for certain insurance problems, such as underwriting, reinsurance and portfolio optimization problems. In this study three new models are developed which extend and generalize previous results. The first model analyses modified stop-loss reinsurance. The second model analyses risk pooling where both inward and outward reinsurance occur. Expected utility calculations can be used to provide insight on the attractiveness of competing reinsurance and risk pooling options. The third
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Dissertations / Theses on the topic "Stop-loss Portfolio Insurance"

1

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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2

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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Book chapters on the topic "Stop-loss Portfolio Insurance"

1

Balduzzi, Pierluigi, Giuseppe Bertola, and Silverio Foresi. "Asset Price Dynamics and Infrequent Feedback Trades." In New Research in Financial Markets. Oxford University PressOxford, 2002. http://dx.doi.org/10.1093/oso/9780199243211.003.0007.

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Abstract Investors routinely rebalance their portfolios in response to changes in prices. In order to hold portfolio weights constant, for example, investors would buy losers and sell winners, a typical negative-feedback or contrarian strategy.1 Alternatively, investors may implement positive-feedback strategies: buy stocks when their prices rise, and sell them when their prices fall. These strategies include portfolio choice based on extrapolative expectations (trend-chasing), the use of stop-loss orders, and portfolio insurance.
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