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Belief heterogeneity in the Arrow-Borch-Raviv insurance model
Ghossoub, Mario - 2010
insurance contract for an insurance buyer – or decision maker (DM) – is a deductible contract, when the insurer is a risk … have preferences yielding different subjective beliefs. The DM seeks the insurance contract that will maximize her … (subjective) probability and on which an optimal insurance contract for the DM takes the form of what I will call a generalized …
Persistent link: https://www.econbiz.de/10015231196
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Can Insurance Companies Control their Financial Stability? Practical Solutions
Cristea, Mirela - 2008
Taking into account the actual economic situation of the world with numerous financial crisis, the insurance companies should control their financial stability in order to avoid the insolvency or even bankruptcy state. Thus, the insurers should find the adequate methods of substantiating the...
Persistent link: https://www.econbiz.de/10015212203
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One numerical procedure for two risk factors modeling
Cocozza, Rosa; De Simone, Antonio - 2011
evaluate the price of a simple contract, i.e. of a stock option. Finally, we compare the derived price to the price of the same …
Persistent link: https://www.econbiz.de/10015226864
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Asset Liability Management in Insurance Company
Giandomenico, Rossano - 2006
The model, by using the option theory, determines the fair value of the policies life with different time of maturity …
Persistent link: https://www.econbiz.de/10015217625
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Asset Liability Management in Insurance Company
Giandomenico, Rossano - 2006
The model, by using the option theory, determines the fair value of the insurance life policies with different time of …
Persistent link: https://www.econbiz.de/10015219192
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Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management
Giandomenico, Rossano - 2006
The model, by using the option theory, determines the fair value of the life insurance policies in absence of default …
Persistent link: https://www.econbiz.de/10015219193
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Dalle Riserve alle Opzioni: " La partecipazione agli utili nelle polizze vita"
Giandomenico, Rossano - 2003
The thesis develops the option pricing model with interest rate model in stochastic environment by analyzing insurance field in asset liability management context and regulatory puorpose from the management prospective.
Persistent link: https://www.econbiz.de/10015220436
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Dalle Riserve alle Opzioni: " La partecipazione agli utili nelle polizze vita"
Giandomenico, Rossano - 2003
The thesis develops the option pricing model with interest rate model in stochastic environment by analyzing insurance field in asset liability management context and regulatory puorpose from the management prospective.
Persistent link: https://www.econbiz.de/10015220768
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Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach
Fleten, Stein-Erik; Lindset, Snorre - 2004
Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with...
Persistent link: https://www.econbiz.de/10015221170
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Methodological problems in solvency assessment of an insurance company
Cocozza, R; Di Lorenzo, E; Sibillo, M - 2004
The recent wide development and changes in insurance markets highlighted the necessity to map out the solvency analysis in a more complete framework. The approach we present in the paper comes up with an integrated analysis of the risk profile of an insurance business, taking into account the...
Persistent link: https://www.econbiz.de/10015225148