Nos derniers articles

This article applies the Insurance Performance Measure (IPM) model to a set of #indian#insurance companies over the period 2005-2016, which is the first study to apply this model on real industry data. The IPM was introduced as a better way to assess industry and company performance for insurance companies as traditional #financialaccounting analysis is not suitable for the unique format of insurance company financials. IPM incorporates #underwriting, investment, and #reinsurance along with a hurdle rate and is consistent with Warren Buffett's desire for a balanced overview of industry performance. The model could help in identifying the threshold limit for overall profitability and in negotiations for reinsurance renewals.Read

"... we revisit the study of an optimal risk management strategy for an insurer who wants to maximize the expected utility by purchasing reinsurance and managing reinsurance counterparty risk with a default-free hedging instrument, where the reinsurance premium is calculated by the expected value principle and the price of the hedging instrument equals to the expected payoff plus a proportional loading."

This article offers a #riskmanagement framework specifically designed for the #insurance and #reinsurance industries to analyze the #capitalallocation of risk, capital budgeting, and capital structure decisions.

"We study blockchain adoption in insurance-reinsurance markets. Operating costs decrease with the adoption rate, since verification and storage costs are shared. We quantify how the equilibrium adoption decisions depend on contract characteristics, risk aversions, potential losses and cost structure. The reinsurance firm internalizes the benefits of adoption on other insurance firms, acting as a central planner. We characterize the adoption gap between decentralized (Nash) and centralized blockchain consortium."

"Using Cat bonds to transfer catastrophe risk substitutes not only the use of Cat reinsurance but also non-Cat reinsurance in the hard market, implying Cat bonds affect a ceding insurer’s diversification in both Cat and non-Cat lines of business in the reinsurance market."

"... most modified coinsurance is purchased from reinsurers located in countries with lower regulatory capital requirements and within the same insurance holding group. Our findings expose how insurers use reinsurance to obfuscate their asset risk."

"... the reinsurance chain with ambiguity aversions in increasing order is optimal from the perspectives of both selfish individual companies and an unselfish central planner."

"The objective of this paper is to discuss the underlying principles and assumptions of valuation under Solvency II and to analyse concepts such as the best estimate and the cost-of-capital risk margin, hedgeable and non-hedgeable risks, market value of risk, as well as economic capital and expected and unexpected losses."

"... we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time T follows a normal distribution with a given mean and a given variance."

"…. the surplus of an insurance company is routinely approximated by a Brownian motion, as opposed to the geometric Brownian motion used to model assets in finance. Furthermore, exposure to risk is controlled "downwards" via reinsurance, rather than "upwards" via risky investments. This leads to interesting qualitative differences in the optimal solutions."