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Stochastic Analysis of Duplicates in Life Insurance Portfolios.

Denuit, M. - Catholique de Louvain - Institut de statistique - 2000

The aim of this short note is to investigate the impact of duplicates in a life insurance portfolio by means of the …

Persistent link: https://www.econbiz.de/10005475070

Some Comments on Two Approximations Used for the Pricing of Reinstatements.

Walhin, J.F. - Catholique de Louvain - Institut de statistique - 2000

The aim of this paper if to give some comments on two approximations used to price reinstatements related to excess of loss reinsurance. For the pro rate capita clause, we will study the rate on line method. For the pro rate temporis clause, we will study the use of a trivial approximation. The...

Persistent link: https://www.econbiz.de/10005661163

Stochastic Analysis of Duplicates in Life Insurance Portfolios.

Denuit, M. - Catholique de Louvain - Institut de statistique - 2000

The aim of this short note is to investigate the impact of duplicates in a life insurance portfolio by means of the …

Persistent link: https://www.econbiz.de/10005776108

The Effect of Excess-of-Loss Reinsurance with Reinstatements of the Cedent's Portfolio.

Walhin, J.F.; Paris, J. - Catholique de Louvain - Institut de statistique - 2000

The adjustment for the cedent's retained risk after excess-of-loss reinsurance with reinstatements is calculated …

Persistent link: https://www.econbiz.de/10005776112

The Effect of Excess-of-Loss Reinsurance with Reinstatements of the Cedent's Portfolio.

Walhin, J.F.; Paris, J. - Catholique de Louvain - Institut de statistique - 2000

The adjustment for the cedent's retained risk after excess-of-loss reinsurance with reinstatements is calculated …

Persistent link: https://www.econbiz.de/10005625680

Stress Testing for Cyber Risks : Cyber Risk Insurance Modeling beyond Value-at-Risk (VaR): Risk, Uncertainty, and, Profit for the Cyber Era

Malhotra, Yogesh - 2017

first known model risk management framework for Cyber insurance modeling; Develops first known analysis of significant and … by NAIC as: National Association of Insurance Commissioners Expert Paper:Malhotra, Yogesh, Advancing Cyber Risk Insurance … Underwriting Model Risk Management beyond VaR to Pre-Empt and Prevent the Forthcoming Global Cyber Insurance Crisis (June 24, 2017 …

Persistent link: https://www.econbiz.de/10012972233

Pricing and Hedging in Incomplete Markets with Model Uncertainty

Balter, Anne - 2018

robust optimal control problem under model uncertainty leads to (i) risk-neutral pricing for the traded risky assets, and (ii …) adjusting the drift of the nontraded risk drivers in a conservative direction. The direction depends on the agent's long or …

Persistent link: https://www.econbiz.de/10012937481

Pricing and Hedging in Incomplete Markets with Model Uncertainty

Balter, Anne - 2018

Persistent link: https://www.econbiz.de/10012937907

Econometrics of insurance with multidimensional types

Aryal, Gaurab; Perrigne, Isabelle; Vuong, Quang H.; … - In: Quantitative economics : QE ; journal of the … 16 (2025) 1, pp. 267-294

In this paper, we address the identification and estimation of insurance models where insurees have private information … about their risk and risk aversion. The model includes random damages and allows for several claims, while insurees choose … from a finite number of coverages. We show that the joint distribution of risk and risk aversion is nonparametrically …

Persistent link: https://www.econbiz.de/10015190336

The Effect of an Early Resolution of Uncertainty on Savings.

Gollier, C.; Treich, N. - Groupe de Recherche en Économie Mathématique et … - 1996

We examine in this paper the effect of an early resolution of uncertainty on savings. We show that this effect is in general ambiguous. We provide necessary and sufficient conditions on the utility function which guarantee that an early resolution of uncertainty reduces current savings for...

Persistent link: https://www.econbiz.de/10005639379