Barriers to Insurance Innovation
The lack of risk transfer stems from structural forces that deter innovation in insurance policies, leading to inefficient risk...
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Rechercher
9 sept.
Robust Elicitable Functionals
Elicitable functionals and consistent scoring functions aid in optimal forecasting but assume correct distributions, which is...
16 mai
Estimation of Generalized Tail Distortion Risk Measures with Applications in Reinsurance
New estimators for generalized tail distortion (GTD) risk measures are proposed, based on first-order asymptotic expansions, offering...
27 nov. 2023
Adverse Development Cover for Property & Casualty Insurers
"An adverse development cover (ADC) is a form of an excess of loss reinsurance contract that provides coverage for future loss payments...
11 juil. 2023
IFRS 17 Challenges for Reinsurance: Fitting a Square Peg in a Round Hole
"This article provides an insightful overview of the challenges encountered by the #insuranceindustry when applying the requirements of...
28 juin 2023
A History of Cyber Risk Transfer
While previous research has focused on #cyberrisk #riskmitigation measures, this study describes the emergence of various real-world...
10 mai 2023
Reinsurance and Sustainability: Evidence From International Insurers
"In this article we analyze a sample of international #insurers between 2013 and 2022, and show that the purchase of #reinsurance is...
19 avr. 2023
Optimal moral-hazard-free reinsurance under extended distortion premium principles
"We study an optimal #reinsurance problem under a diffusion #riskmodel for an #insurer who aims to minimize the #probability of lifetime...
16 mars 2023
Optimal Reinsurance with Multivariate Risks and Dependence Uncertainty
This paper explores the optimal #reinsurance design for an #insurer with multiple lines of business, where the dependence structure...
2 mars 2023
An Empirical Study of Insurance Performance Measure
This article applies the Insurance Performance Measure (IPM) model to a set of #indian#insurance companies over the period 2005-2016,...
23 févr. 2023
Optimal Risk Management with Reinsurance and its Counterparty Risk Hedging
"... we revisit the study of an optimal risk management strategy for an insurer who wants to maximize the expected utility by purchasing...
16 févr. 2023
Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers
This article offers a #riskmanagement framework specifically designed for the #insurance and #reinsurance industries to analyze the...
31 janv. 2023
Blockchain Adoption and Optimal Reinsurance Design
"We study blockchain adoption in insurance-reinsurance markets. Operating costs decrease with the adoption rate, since verification and...
29 sept. 2022
How does Catastrophe Risk Securitization Affect the Reinsurance Market?
"Using Cat bonds to transfer catastrophe risk substitutes not only the use of Cat reinsurance but also non-Cat reinsurance in the hard...
28 sept. 2022
Regulatory Capital and Asset Risk Transfer
"... most modified coinsurance is purchased from reinsurers located in countries with lower regulatory capital requirements and within...
25 août 2022
Stackelberg Reinsurance Chain Under Model Ambiguity
"... the reinsurance chain with ambiguity aversions in increasing order is optimal from the perspectives of both selfish individual...
29 juil. 2022
The Valuation of Assets and Liabilities of (Re)Insurance Undertakings Under Solvency II
"The objective of this paper is to discuss the underlying principles and assumptions of valuation under Solvency II and to analyse...
13 juin 2022
Some Optimisation Problems in Insurance with a Terminal Distribution Constraint
"... we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and...
31 mars 2022
Optimal reinsurance under terminal value constraints
"…. the surplus of an insurance company is routinely approximated by a Brownian motion, as opposed to the geometric Brownian motion used...
15 mars 2022
Bridging the gap between pricing and reserving for non-life insurance
"... we develop a granular occurrence and development model for non-life claims that allows to resolve the inconsistency in traditional...
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