Um die anderen Arten von Veröffentlichungen zu diesem Thema anzuzeigen, folgen Sie diesem Link: Portfolio Premiums.
Zeitschriftenartikel zum Thema „Portfolio Premiums“
Geben Sie eine Quelle nach APA, MLA, Chicago, Harvard und anderen Zitierweisen an
Machen Sie sich mit Top-50 Zeitschriftenartikel für die Forschung zum Thema "Portfolio Premiums" bekannt.
Neben jedem Werk im Literaturverzeichnis ist die Option "Zur Bibliographie hinzufügen" verfügbar. Nutzen Sie sie, wird Ihre bibliographische Angabe des gewählten Werkes nach der nötigen Zitierweise (APA, MLA, Harvard, Chicago, Vancouver usw.) automatisch gestaltet.
Sie können auch den vollen Text der wissenschaftlichen Publikation im PDF-Format herunterladen und eine Online-Annotation der Arbeit lesen, wenn die relevanten Parameter in den Metadaten verfügbar sind.
Sehen Sie die Zeitschriftenartikel für verschiedene Spezialgebieten durch und erstellen Sie Ihre Bibliographie auf korrekte Weise.
1
Falin, Gennady I. „On the Optimal Pricing of a Heterogeneous Portfolio“. ASTIN Bulletin 38, Nr. 01 (Mai 2008): 161–70. http://dx.doi.org/10.2143/ast.38.1.2030408.
Der volle Inhalt der QuelleAnnotation:
We apply simple geometrical arguments to show that well-known approaches to determine the premium in insurance contract minimize a weighted squared differences both between the individual premiums and the individual claims and between the total premiums for classes of homogeneous risks and total claims from these blocks of business.
2
Falin, Gennady I. „On the Optimal Pricing of a Heterogeneous Portfolio“. ASTIN Bulletin 38, Nr. 1 (Mai 2008): 161–70. http://dx.doi.org/10.1017/s0515036100015117.
Der volle Inhalt der QuelleAnnotation:
We apply simple geometrical arguments to show that well-known approaches to determine the premium in insurance contract minimize a weighted squared differences both between the individual premiums and the individual claims and between the total premiums for classes of homogeneous risks and total claims from these blocks of business.
3
Vilar-Zanón, José L., und Cristina Lozano-Colomer. „On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation“. ASTIN Bulletin 37, Nr. 02 (November 2007): 405–28. http://dx.doi.org/10.2143/ast.37.2.2024074.
Der volle Inhalt der QuelleAnnotation:
This paper addresses the Bayesian estimation of the shape parameter of Pareto distributions, and its application to premium calculation of large claims excess of loss (XL) reinsurance contracts. It studies the use of the generalized inverse Gaussian (GIG) as a Pareto prior conjugate, a family that contains as a particular case the gamma distribution. An exact credibility formula is deduced allowing the calculation of individual reinsurance premiums. These are premiums suited to the excesses history of a sole portfolio. A family of predictive distributions for the excesses is derived. We apply our exact credibility model to a sample of excesses arisen in ten Spanish portfolios of liability motor insurance from year 1992 to year 2001.
4
Vilar-Zanón, José L., und Cristina Lozano-Colomer. „On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation“. ASTIN Bulletin 37, Nr. 2 (November 2007): 405–28. http://dx.doi.org/10.1017/s0515036100014938.
Der volle Inhalt der QuelleAnnotation:
This paper addresses the Bayesian estimation of the shape parameter of Pareto distributions, and its application to premium calculation of large claims excess of loss (XL) reinsurance contracts. It studies the use of the generalized inverse Gaussian (GIG) as a Pareto prior conjugate, a family that contains as a particular case the gamma distribution. An exact credibility formula is deduced allowing the calculation of individual reinsurance premiums. These are premiums suited to the excesses history of a sole portfolio. A family of predictive distributions for the excesses is derived. We apply our exact credibility model to a sample of excesses arisen in ten Spanish portfolios of liability motor insurance from year 1992 to year 2001.
5
Hsieh, Heng-Hsing, und Kathleen Hodnett. „Cross-Sector Style Analysis Of Global Equities Based On The Fama And French Three-Factor Model“. International Business & Economics Research Journal (IBER) 11, Nr. 2 (17.07.2012): 161. http://dx.doi.org/10.19030/iber.v11i2.7156.
Der volle Inhalt der QuelleAnnotation:
Although the ability of the Fama and French (1993) 3-factor model in explaining style-based portfolio returns have been widely tested, no such test has been conducted on sector-based portfolios. The study conducted by Hsieh and Hodnett (2011) indicate that the resource sector yields significant abnormal returns under the capital asset pricing model (CAPM) over the period from 1999 to 2009. In addition, the book value-to-market ratio and market capitalization are found to have pervasive effects on the pricing of sector returns for global equities. Motivated by this insight, we undertake to test the ability of the Fama and French (1993) 3-factor model in explaining the variations in the global sector returns. Our test results indicate that the market risk premium is the most significant factor that drives the returns in all sectors under review. Although the positive abnormal returns of the resource sector dissipates under the 3-factor model, the industrial sector and the information technology (I.T.) sector yield abnormal returns under the 3-factor model. Unlike the empirical findings on the style portfolios, the signs and statistical significance of the exposures to the value and size risk premiums are not consistent across all sectors. This finding suggests that sector exposures are more unique and distinctive compared to the style portfolios. It could be argued that since most of the style portfolios are directly related to the value and size anomalies, any factor model that incorporates risk premiums on these anomalies would significantly explain the style portfolio returns. However, the ability of such factor model in explaining returns on portfolios formed using methodologies other than style anomalies, such as sector portfolio returns, would be questionable. Taking into account the rising global integration, sector allocation might be more effective in terms of global active portfolio management or international diversification than style allocation and country allocation.
6
Sehgal, Sanjay, und Vidisha Garg. „Cross-sectional Volatility and Stock Returns: Evidence for Emerging Markets“. Vikalpa: The Journal for Decision Makers 41, Nr. 3 (August 2016): 234–46. http://dx.doi.org/10.1177/0256090916650951.
Der volle Inhalt der QuelleAnnotation:
Executive Summary Cross-sectional volatility measures dispersion of security returns at a particular point of time. It has received very little focus in research. This article studies the cross-section of volatility in the context of economies of Brazil, Russia, India, Indonesia, China, South Korea, and South Africa (BRIICKS). The analysis is done in two parts. The first part deals with systematic volatility (SV), that is, cross-sectional variation of stock returns owing to their exposure to market volatility measure ( French, Schwert, & Stambaugh, 1987 ). The second part deals with unsystematic volatility (UV), measured by the residual variance of stocks in a given period by using error terms obtained from Fama–French model. The study finds that high SV portfolios exhibit low returns in case of Brazil, South Korea, and Russia. The risk premium is found to be statistically significantly negative for these countries. This finding is consistent with Ang et al. and is indicative of hedging motive of investors in these markets. Results for other sample countries are somewhat puzzling. No significant risk premiums are reported for India and China. Significantly positive risk premiums are observed for South Africa and Indonesia. Further, capital asset pricing model (CAPM) seems to be a poor descriptor of returns on systematic risk loading sorted portfolios while FF is able to explain returns on all portfolios except high SV loading portfolio (i.e., P1) in case of South Africa which seems to be an asset pricing anomaly. It is further observed that high UV portfolios exhibit high returns in all the sample countries except China. In the Chinese market, the estimated risk premium is statistically significantly negative. This negative risk premium is inconsistent with the theory that predicts that investors demand risk compensation for imperfect diversification. The remaining sample countries show significantly positive risk premium. CAPM does not seem to be a suitable descriptor for returns on UV sorted portfolios. The FF model does a better job but still fails to explain the returns on high UV sorted portfolio in case of Brazil and China and low UV sorted portfolio in South Africa. The findings are relevant for global fund managers who plan to develop emerging market strategies for asset allocation. The study contributes to portfolio management as well as market efficiency literature for emerging economies.
7
Newell, Graeme, John MacFarlane und Roger Walker. „Assessing energy rating premiums in the performance of green office buildings in Australia“. Journal of Property Investment & Finance 32, Nr. 4 (01.07.2014): 352–70. http://dx.doi.org/10.1108/jpif-10-2013-0061.
Der volle Inhalt der QuelleAnnotation:
Purpose – Green office buildings have recently taken on increased significance in institutional property portfolios in Australia and globally. The key issue from an institutional investor perspective is the assessment of whether green office buildings add value. Using an extensive portfolio of green office buildings, the purpose of this paper is to empirically assess the level of energy rating premiums in the property performance of green office buildings in Australia. Design/methodology/approach – Using a portfolio of over 200 green office buildings in Australia benchmarked against a comparable portfolio of non-green office buildings, the level of energy rating premiums in the property performance of green office buildings in Australia is empirically evaluated. Hedonic regression analysis is used to account for differences between specific office buildings and to explicitly identify the “pure” green effect in identifying the level of energy rating premiums in several commercial property performance characteristics (e.g. office value, rent). Findings – The empirical results show the added-value premium of the 5-star National Australian Built Environment Rating Scheme (NABERS) energy rating scheme and the Green Star scheme in the property performance of green office buildings in Australia, including office values and rents. Energy rating premiums for green office buildings are evident at the top energy ratings and energy rating discounts at the lower energy ratings. The added-value “top-end” premium of the 5-star vs 4-star NABERS energy rating category is clearly identified for the various property performance parameters, including office values and rents. Practical implications – This paper empirically determines the presence of energy rating premiums at the top energy ratings in the performance of green office buildings, as well as energy rating discounts at the lower energy ratings. This clearly highlights the added value dimension of energy efficiency in green office buildings and the need for the major office property investors to prioritise the highest energy rating to facilitate additional property performance premiums. This will also see green office buildings become the norm as the market benchmark rather than non-green office buildings. Social implications – This paper highlights energy performance premiums for green office buildings. This fits into the context of sustainability in the property industry and the broader aspects of corporate social responsibility in the property industry. Originality/value – This paper is the first published property research analysis on the detailed determination of energy rating premiums across the energy rating spectrum for green office buildings in Australia. Given the increased focus on energy efficiency and green office buildings, this research enables empirically validated and practical property investment decisions by office property investors regarding the importance of energy efficiency and green office buildings, and the priority to achieve the highest energy rating to maximise property performance premiums in office values and rents.
8
Chung, Yi-Tsai, Tung Liang Liao und Yi-Chein Chiang. „The selection of popular trading strategies“. Managerial Finance 41, Nr. 6 (08.06.2015): 563–81. http://dx.doi.org/10.1108/mf-05-2014-0121.
Der volle Inhalt der QuelleAnnotation:
Purpose – The relative performance of five popular nonzero-investment strategies, including Size, book-to-market ratios, earnings-to-price (E/P) ratios, cash flow-to-price (CF/P) ratios and dividend-to-price ratios, and their corresponding zero-investment strategies (also known as premiums) are first examined altogether for equally weighted (EW) and value-weighted (VW) methods to check whether a certain strategy (or some strategies) could be recommended to portfolio managers as the best (better) strategy (strategies). The paper aims to discuss these issues. Design/methodology/approach – This paper uses the stochastic dominance (SD) approach, a non-parametric test, to investigate the relative performance among various strategies and help investors search for the best or better strategy (strategies). Findings – The main results show that both the highest E/P and CF/P strategies (and their corresponding premiums) generally produce higher returns than the other three strategies (and their corresponding premiums) through allocating investors’ capital between the risky and risk-free assets for the EW and VW methods, respectively. Research limitations/implications – This study only examines US stock markets by SD approach, whether the results are consistent with non-US markets still needs further investigation. The findings imply that investors can benefit by investing in the highest E/P or CF/P stocks (or their corresponding premiums) to make more profit or less loss for US stock markets. Practical implications – First, the SD findings suggest that investors or portfolio managers can allocate their funds between risky and risk-free assets to maximize their profits. Next, the simulation results again prove that the profits of each nonzero-investment or zero-investment strategy for EW portfolios are higher than those of each corresponding strategy for VW portfolios. Finally, the findings imply that portfolio managers or investors can invest in the highest E/P or CF/P stocks (or their corresponding premiums) to make more profit or less loss. Originality/value – This study first uses an extensive data set (1952-2009) to examine the relative performance of nonzero-investment strategies and their corresponding zero-investment strategies for the five popular indicators altogether for the EW and VW methods with the SD approach for US stock markets. Moreover, the results reveal that the investors or portfolio managers can invest in the highest E/P and/or CF/P portfolios (or their corresponding premiums) to make more profit or less loss.
9
Afonso, Lourdes B., Alfredo D. Egídio dos Reis und Howard R. Waters. „Numerical Evaluation of Continuous Time Ruin Probabilities for a Portfolio with Credibility Updated Premiums“. ASTIN Bulletin 40, Nr. 1 (Mai 2010): 399–414. http://dx.doi.org/10.2143/ast.40.1.2049236.
Der volle Inhalt der QuelleAnnotation:
AbstractThe probability of ruin in continuous and finite time is numerically evaluated in a classical risk process where the premium can be updated according to credibility models and therefore change from year to year. A major consideration in the development of this approach is that it should be easily applicable to large portfolios. Our method uses as a first tool the model developed by Afonso et al. (2009), which is quite flexible and allows premiums to change annually. We extend that model by introducing a credibility approach to experience rating.We consider a portfolio of risks which satisfy the assumptions of the Bühlmann (1967, 1969) or Bühlmann and Straub (1970) credibility models. We compute finite time ruin probabilities for different scenarios and compare with those when a fixed premium is considered.
10
Kousenidis, Dimitrios V., Dimitrios I. Maditinos und Željko Šević Šević. „The Premium/Discount Of Closed-End Funds As A Measure Of Investor Sentiment: Evidence From Greece“. Journal of Applied Business Research (JABR) 27, Nr. 4 (20.06.2011): 29. http://dx.doi.org/10.19030/jabr.v27i4.4655.
Der volle Inhalt der QuelleAnnotation:
<p>We examine the proposition that the premium/discount (PD) of Greek closed-end funds (CEFs) is an accurate proxy for the small-investor sentiment risk. We find that the average PD explains the returns of portfolios of large capitalization and low book-to-market ratio stocks. In this context, we are unable to confirm a link between the perceived PD anomaly and the small size effect. Moreover, we show that the explanatory power of the PD for portfolio returns depends on the form of the asset pricing model used in the regression analysis. Finally, in terms of predictive ability, we find evidence that the PD predicts the size and the book-to-market premiums but little evidence that the PD predicts individual portfolio returns.</p>
11
Boscaljon, Brian. „Quantifying Unique Individual Portfolio Insurance Premiums“. Journal of Wealth Management 15, Nr. 1 (30.04.2012): 72–81. http://dx.doi.org/10.3905/jwm.2012.15.1.072.
Der volle Inhalt der Quelle
12
Zaks, Yaniv, Esther Frostig und Benny Levikson. „Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level“. ASTIN Bulletin 36, Nr. 01 (Mai 2006): 161–85. http://dx.doi.org/10.2143/ast.36.1.2014148.
Der volle Inhalt der QuelleAnnotation:
Consider a portfolio containing heterogeneous risks, where the policyholders’ premiums to the insurance company might not cover the claim payments. This risk has to be taken into consideration in the premium pricing. On the other hand, the premium that the insureds pay has to be fair. This fairness is measured by the distance between the risk and the premium paid. We apply a non-linear programming formulation to find the optimal premium for each class so that the risk is below a given level and the weighted distance between the risk and the premium is minimized. We consider also the dual problem: minimizing the risk level for a given weighted distance between risks and premium.
13
Zaks, Yaniv, Esther Frostig und Benny Levikson. „Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level“. ASTIN Bulletin 36, Nr. 1 (Mai 2006): 161–85. http://dx.doi.org/10.1017/s0515036100014446.
Der volle Inhalt der QuelleAnnotation:
Consider a portfolio containing heterogeneous risks, where the policyholders’ premiums to the insurance company might not cover the claim payments. This risk has to be taken into consideration in the premium pricing. On the other hand, the premium that the insureds pay has to be fair. This fairness is measured by the distance between the risk and the premium paid. We apply a non-linear programming formulation to find the optimal premium for each class so that the risk is below a given level and the weighted distance between the risk and the premium is minimized. We consider also the dual problem: minimizing the risk level for a given weighted distance between risks and premium.
14
Bühlmann, Hans. „Premium Calculation from Top Down“. ASTIN Bulletin 15, Nr. 2 (November 1985): 89–101. http://dx.doi.org/10.2143/ast.15.2.2015021.
Der volle Inhalt der QuelleAnnotation:
This paper is intended to show how premiums are related to the stability criterion imposed on a portfolio of risks and to the dividend requirements for the capital invested into the insurance operation. The point is that premium calculation should be seen as a consequence of the strategic concepts adopted by the insurance carrier.
15
Prombutr, Wikrom, und Chanwit Phengpis. „Behavioral-related firm characteristics, risks and determinants of stock returns“. Review of Accounting and Finance 18, Nr. 1 (11.02.2019): 95–112. http://dx.doi.org/10.1108/raf-03-2017-0060.
Der volle Inhalt der QuelleAnnotation:
PurposeThis paper aims to investigate a relatively new anomaly of investment growth and revisits well-known anomalies of size and value. It aims to answer two main research questions. First, can covariance risks (i.e. factor loadings) be excluded from being determining variables that drive return premiums and explain stock returns? Second, from a behavioral finance standpoint, the authors examine whether using firm characteristics is a more practical and accessible approach and also meets the necessary and sufficient conditions to analyze stock returns.Design/methodology/approachThe authors create the investment-growth-based factor (LMH) which is defined as the return difference between low and high investment growth portfolios. The authors then incorporate the LMH factor along with other characteristic-based factors and their loadings into characteristic-balanced portfolio and three-factor model tests.FindingsThe authors find that covariance risks on investment growth, size and value are not necessary as determining variables. Instead, they find that behavioral-related firm characteristics of investment growth, size and value are necessary and sufficient as determinants of return premiums and stock returns.Practical implicationsThe results have practical and useful implications for investors in their stock portfolio analysis and selection because firm characteristics are relatively more available than covariance risks that need estimation and typically contain measurement errors.Originality/valueThe paper has practical value to investors in their stock portfolio analysis and selection. Methodologically, in contrast to prior studies that do not directly use the investment growth to control for portfolio characteristics, the use of the newly created LMH factor and its loadings allows us to directly and properly test if the investment growth anomaly is related to the investment growth characteristic that is hypothesized to drive return premiums and determine stock returns from behavioral finance perspectives.
16
Loyara, Vini Yves Bernadin, Remi Guillaume Bagré, Frédéric Béré und Diakarya Barro. „STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS“. Advances and Applications in Discrete Mathematics 28, Nr. 1 (20.08.2021): 49–74. http://dx.doi.org/10.17654/dm028010049.
Der volle Inhalt der Quelle
17
Kaas, R., A. E. van Heerwaarden und M. J. Goovaerts. „On Stop-Loss Premiums for the Individual Model“. ASTIN Bulletin 18, Nr. 1 (April 1988): 91–97. http://dx.doi.org/10.2143/ast.18.1.2014963.
Der volle Inhalt der QuelleAnnotation:
AbstractIt is shown how the upper bounds for stop-loss premiums (and approximations to tail probabilities) obtained by replacing the individual model for a portfolio of risks by the collective model can be improved upon at the cost of only slightly more computer time. The method used is simply to keep a restricted number of large risks as they are instead of approximating them by a compound Poisson distribution. In a real-life example, the relative error in the stop-loss premium is shown to be reduced drastically by keeping only 10 out of 743 risks unchanged.
18
Gonçalves, Andrei S., Chen Xue und Lu Zhang. „Aggregation, Capital Heterogeneity, and the Investment CAPM“. Review of Financial Studies 33, Nr. 6 (19.08.2019): 2728–71. http://dx.doi.org/10.1093/rfs/hhz091.
Der volle Inhalt der QuelleAnnotation:
Abstract A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio level to match with portfolio-level stock returns. Working capital forms a separate productive input besides physical capital. The model simultaneously fits the value, momentum, investment, and profitability premiums and partially explains positive stock-fundamental return correlations, the procyclical and short-term dynamics of the momentum and profitability premiums, and the countercyclical and long-term dynamics of the value and investment premiums. However, the model falls short in explaining momentum crashes. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online..
19
Diacogiannis, George, und David Feldman. „Linear Beta Pricing with Inefficient Benchmarks“. Quarterly Journal of Finance 03, Nr. 01 (März 2013): 1350004. http://dx.doi.org/10.1142/s2010139213500043.
Der volle Inhalt der QuelleAnnotation:
Current asset pricing models require mean-variance efficient benchmarks, which are generally unavailable because of partial securitization and free float restrictions. We provide a pricing model that uses inefficient benchmarks, a two-beta model, one induced by the benchmark and one adjusting for its inefficiency. While efficient benchmarks induce zero-beta portfolios of the same expected return, any inefficient benchmark induces infinitely many zero-beta portfolios at all expected returns. These make market risk premiums empirically unidentifiable and explain empirically found dead betas and negative market risk premiums. We characterize other misspecifications that arise when using inefficient benchmarks with models that require efficient ones. We provide a space geometry description and analysis of the specifications and misspecifications. We enhance Roll (1980), Roll and Ross's (1994), and Kandel and Stambaugh's (1995) results by offering a "Two Fund Theorem," and by showing the existence of strict theoretical "zero relations" everywhere inside the portfolio frontier.
20
Shanmugham, R., und Zabiulla. „Pricing Efficiency of Nifty BeES in Bullish and Bearish Markets“. Global Business Review 13, Nr. 1 (17.01.2012): 109–21. http://dx.doi.org/10.1177/097215091101300107.
Der volle Inhalt der QuelleAnnotation:
This article examines the pricing efficiency of Nifty BeES in bullish and bearish market conditions using high frequency data for a period of seven years. It seeks to address three questions. First, does the portfolio manager of Nifty BeES follow its benchmark replication strategy across different market conditions? Second, whether the portfolio manager minimizes the portfolio return volatility relative to the benchmark volatility. Third, whether the magnitude of premiums/discounts varies in bullish and bearish market conditions. Our findings suggest a significant difference in alpha-generation abilities of fund manager between the two market conditions. Tracking error was found to be relatively high in bearish conditions. The average premium is higher in bearish markets characterized with highest volatility. On the other hand, the average discount is higher in bullish markets characterized with least volatility. The price divergence disappears within three days and the market price and the fund’s net asset value (NAV) get aligned due to arbitrage mechanism.
21
Lim, Christine, und Felix Chan. „An Empirical Modelling of New Zealand Hospitality and Tourism Stock Returns“. ISRN Economics 2013 (26.02.2013): 1–10. http://dx.doi.org/10.1155/2013/289718.
Der volle Inhalt der QuelleAnnotation:
This paper examines the factor risk premiums of stock returns for the hospitality and tourism companies in New Zealand. The Arbitrage Pricing Theory (APT) approach is used to investigate the expected return for stock portfolio with respect to market, macro (i.e., money supply and discount rate), and tourism factor sensitivities. Monthly stock prices, market index, tourism, and macroeconomic data are used in the study. The results indicate that the risk premiums for international tourism demand and term premium (proxy for discount rate) are positively significant at the 5% level. A one unit increase in tourist arrival sensitivity would result in expected return increase of 10 to 17 percentage point. Similarly, a one unit increase in term premium can increase hospitality-tourism expected returns by 0.2 percentage point. However, the findings for the money supply factor are not significant. As the study shows that investors face high positive tourism demand risk, it is imperative for firms and policymakers in New Zealand to promote inbound tourism through effective marketing and management. This in turn can provide high expected returns and create shareholder value for investors.
22
Kimura, Takeshi, und David H. Small. „Quantitative Monetary Easing and Risk in Financial Asset Markets“. Topics in Macroeconomics 6, Nr. 1 (24.03.2006): 1–54. http://dx.doi.org/10.2202/1534-5998.1274.
Der volle Inhalt der QuelleAnnotation:
In this paper, we empirically examine the portfolio-rebalancing effects stemming from the policy of “quantitative monetary easing” recently undertaken by the Bank of Japan when the nominal short-term interest rate was virtually at zero. Portfolio-rebalancing effects resulting from the open market purchase of long-term government bonds under this policy have been statistically significant. Our results also show that the portfolio-rebalancing effects were beneficial in that they reduced risk premiums on assets with counter-cyclical returns, such as government and high-grade corporate bonds. But, they may have generated the adverse effects of increasing risk premiums on assets with pro-cyclical returns, such as equities and low-grade corporate bonds. These results are consistent with a CAPM framework in which business-cycle risk importantly affects risk premiums. Our estimates capture only some of the effects of quantitative easing and thus do not imply that the complete set of effects were adverse on net for Japan’s economy. However, our analysis counsels caution in accepting the view that, ceteris paribus, a massive large-scale purchase of long-term government bonds by a central bank provides unambiguously positive net benefits to financial markets at zero short-term interest rates.
23
Kaufmann, Johannes, Philipp Artur Kienscherf und Wolfgang Ketter. „Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios“. Energies 13, Nr. 14 (11.07.2020): 3578. http://dx.doi.org/10.3390/en13143578.
Der volle Inhalt der QuelleAnnotation:
With an increasing share of renewable energy resources participating in electricity markets, there is a growing dependence between renewable power production and clearing prices of spot markets. Modeling this dependence using bivariate analysis can result in underestimation of market risks and adverse effects for stakeholders’ risk management. To enable an undistorted risk assessment, we are using a copula approach to precisely and jointly model electricity prices and infeed volumes of wind power. We simulate the case of wind farm operators using power purchase agreements (PPAs) to shift the price risk to an energy trader, who integrates the infeed into its portfolio. The trader’s portfolio can either be geographically dispersed, or highly localized. Based on its portfolio, the energy trader can decide to use derivatives such as futures to manage its risk exposure. The trader decides on future volumes subject to its portfolio’s inherent volatility. With a given risk averse strategy, a sufficiently diverse portfolio can help reduce the necessity to trade futures and subsequently the disadvantage of having to pay potential risk premiums.
24
Szymańska, Anna Edyta. „The Application of Bühlmann‑Straub Model with Data Correction for the Estimation of Net Premium Rates in Bonus‑Malus Systems of the Motor Third Liability Insurance“. Acta Universitatis Lodziensis. Folia Oeconomica 4, Nr. 336 (04.09.2018): 7–22. http://dx.doi.org/10.18778/0208-6018.336.01.
Der volle Inhalt der QuelleAnnotation:
One of the elements used in the process of tariff calculation of premiums in motor liability insurance is a bonus‑malus system. This systems takes into account the “claims ratio” by means of increases and discounts of the base premium called net premium rates. The aim of this work is to propose an estimation method of the net premium rates in the bonus‑malus classes of the motor third‑party liability insurance portfolio of individuals. The Bühlmann‑Straub model was used for the premium estimation. In order to improve the credibility of the estimated premium rates, a data correction in the classes with premium increase was preformed. An example of the application of the new method is presented based on the data obtained from one of the insurance companies operating on the Polish market, which has reserved the right to stay anonymous.
25
Kelly, Hugh F. „Ex post to ex ante: using some lessons from the global financial crisis to prepare for future risk“. Journal of Property Investment & Finance 35, Nr. 6 (04.09.2017): 541–55. http://dx.doi.org/10.1108/jpif-10-2016-0082.
Der volle Inhalt der QuelleAnnotation:
Purpose The purpose of this paper is to develop benchmarking standards for risk premiums in capitalization rates and commercial mortgage rates, to examine the impact of investor choice of property type and geographic markets on those risk premiums, and to supplement the quantitative analysis with historical and behavioral decision-making factors. Design/methodology/approach Using data sets extending from 1Q 1995 to 2Q 2016, a range of risk premiums is calculated and norms established at the 65th and 35th percentiles by property type and investment position. Relative levels of the risk premiums are compared to three defined categories of urban markets, to discover potential risks in yield-seeking market selection. A historical context is discussed to illustrate that prudential judgment is needed to supplement statistical measures of risk. Findings A stable range of risk premiums is identified for the pre-financial crisis period 1995-2003, the dislocations of risk pricing 2004-2007 leads to an extreme reaction 2009-2012. A period of “renormalization” is hypothesized thereafter. An important distinction is made between the transaction peak of 2007, and the numerically similar peak of 2015. Taxonomy of urban property markets is adduced. Practical implications Investment analyses and portfolio allocation decisions can benefit from a longitudinal examination of risk premiums hitherto unavailable. The proposed taxonomy of markets has been shown (elsewhere) to correlate to investment performance. City planners may wish to capture increased real estate value stemming from investor preferences among cities. Originality/value The risk premium benchmarking is not previously available in the scholarly literature. The historical context as a prudential element in evaluating risk is not often emphasized in the finance literature.
26
Khataybeh, Mohammad A., Mohamad Abdulaziz und Zyad Marashdeh. „Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets“. Applied Economics Quarterly: Volume 65, Issue 2 65, Nr. 2 (01.06.2019): 115–37. http://dx.doi.org/10.3790/aeq.65.2.115.
Der volle Inhalt der QuelleAnnotation:
Abstract This paper examines the conditional risk-return relationship caused by the impact of using realized returns as a proxy for expected returns, which requires a separation of negative and positive market premiums. Following the methodology of Pettengill et al. (1995), we test the cross sectional relationship between beta and realized returns on the Amman Stock Exchange (ASE) for ten beta sorted portfolio over the period of January 1993 to December 2016. The empirical results suggest that the traditional two-pass approach produces an insignificant relationship between beta and realized returns in most of the sample period. However, when adjusting for negative market premiums, the results show a significant and consistent relationship for all the testing periods and samples. However, a guaranteed reward for holding extra risk occurred only in the period 2001 –2008, which suggests an assurance of positive risk-return tradeoff during bull markets. JEL Classifications: G11, G12, G15, C21 Asset Pricing, Emerging Markets, Conditional Relationship, Beta, Market Premium
27
Erol, Isil, und Tanja Tyvimaa. „Explaining the premium to NAV in publicly traded Australian REITs, 2008–2018“. Journal of Property Investment & Finance 38, Nr. 1 (17.09.2019): 4–30. http://dx.doi.org/10.1108/jpif-06-2019-0078.
Der volle Inhalt der QuelleAnnotation:
Purpose The purpose of this paper is to explore the levels and determinants of net asset value (NAV) premiums/discounts for publicly traded Australian Real Estate Investment Trust (A-REIT) market during the last decade. A-REITs were severely affected by the global financial crisis as S&P/ASX 200 A-REIT index-listed property stocks experienced 47 per cent discount to NAV, on average, in 2008–2009 crisis. Since 2013, A-REIT sector has exhibited a strong recovery from the financial crisis and traded at high premiums to date. Understanding the relationship between pricing in the public and private real estate markets has taken on great importance as A-REITs continue to trade at significant premium to NAV unlike their counterparts in the USA and Europe. Design/methodology/approach This paper follows a rational approach to explain variations in NAV premiums and explores the company-specific factors such as liquidity, financial leverage, size, stock price volatility and portfolio diversification behind the A-REIT NAV premiums/discounts. The study specifies and estimates a model of cross-sectional and time variation in premiums/discounts to NAV using semi-annual data for a sample of 40 A-REITs over the 2008–2018 period. Findings The results reveal that A-REIT premiums to NAV can be explained not only by the liquidity benefit of listed property stocks but also positive financial leverage effect. During the past decade, A-REITs have followed an aggressive approach in financing their growth by using borrowed funds to purchase assets as the income from the property offsets the cost of borrowing and the risk that accompanies it. Debt-to-equity ratio has to be considered as an important source of NAV premiums as highly geared A-REITs that favoured debt financing over equity financing traded at significant premiums to NAV of their underlying real estate assets. Practical implications The paper includes implications for the REIT market investors. The regression analysis shows that specialty A-REITs with a focus on creative market niches traded at higher premiums compared with other property stocks, especially in the post-GFC recovery period. Specialty REITs are more highly valued by the market than their traditional specialised counterparts (e.g. office and retail REITs), and those pursuing a diversified strategy. Originality/value This paper presents an Australian case study as the A-REIT market provides a suitable environment for testing the effect of financial gearing on the REIT premium to NAV. The study provides empirical evidence supporting the importance of debt-to-equity ratio in explaining the variation in A-REIT NAV premiums.
28
Khan, Fahim Ullah, Ahmad Fraz und Asif Ali. „Financial Distress premium in Pakistan’s Banking Stocks“. NICE Research Journal 13, Nr. 4 (30.12.2020): 127–46. http://dx.doi.org/10.51239/nrjss.v13i4.236.
Der volle Inhalt der QuelleAnnotation:
This paper examines the role of financial distress premium in explaining the stock returns of banking sector in Pakistan using the sample of twenty listed banks for the period of 2008 to 2018. The study has used two methodologies. Firstly, multifactor model approach of Fama and French (1992) is used to test the financial distress premium (additional risk factor) where portfolio returns are regressed with factor premiums in time series framework. Fama and French (1993) argue that the relationship between the stock return and the selected characteristics occur for that reason these characteristics are proxies for non-diversifiable factor risk. So, the characteristic based model approach of Huang (2009) is used in cross-sectional regression framework where stock returns are regressed with the characteristics. The results indicate that the proposed four factor model is applicable in the banking sector of Pakistan where financial distress premium is priced by the market. The characteristic based model shows insignificant impact of distress proxy of Altman Z score on the banking returns. It suggests that the cross-sectional returns are explained on the covariance structure of returns not the characteristics in the Pakistani banking stocks. The findings of the study suggests that the financial distress is important and consider while forming their portfolios.
29
Kanapeckas, Jonas. „Forecasting bond returns using asymmetric regression and investment management“. Nonlinear Analysis: Modelling and Control 3 (03.12.1998): 79–99. http://dx.doi.org/10.15388/na.1998.3.0.15259.
Der volle Inhalt der QuelleAnnotation:
The first section of this research formulates the forecasting task important for managing investment portfolio as well as discusses certain statistical data. The second section is devoted to potential regressors frequently used to forecast risk premiums of bonds, this section extensively use the ideas presented in article [4]. The third section includes the research of asymmetry of relation between risk premiums and regressors. The fourth section is devoted to the investigation of applicability received results in practice.
30
Hertig, Joakim. „A Statistical Approach to IBNR-Reserves in Marine Reinsurance“. ASTIN Bulletin 15, Nr. 2 (November 1985): 171–83. http://dx.doi.org/10.2143/ast.15.2.2015027.
Der volle Inhalt der QuelleAnnotation:
AbstractThe run off-pattern of long-term reinsurance treaties is described by means and standard deviations of logarithmic increments of premiums and loss ratios in a normal distribution. From this description forecasts of ultimate claims and current IBNR-reserves are derived, with associated distributions and confidence limits. Aggregation from individual treaties to portfolio level is proposed by normal approximation. Security loading of IBNR-reserves is proposed by a contingency reserve at portfolio level.
31
Syed Yusoff Alhabshi, Sharifah Farah, Zamira Hasanah Zamzuri und Siti Norafidah Mohd Ramli. „Monte Carlo Simulation of the Moments of a Copula-Dependent Risk Process with Weibull Interwaiting Time“. Risks 9, Nr. 6 (03.06.2021): 109. http://dx.doi.org/10.3390/risks9060109.
Der volle Inhalt der QuelleAnnotation:
The widely used Poisson count process in insurance claims modeling is no longer valid if the claims occurrences exhibit dispersion. In this paper, we consider the aggregate discounted claims of an insurance risk portfolio under Weibull counting process to allow for dispersed datasets. A copula is used to define the dependence structure between the interwaiting time and its subsequent claims amount. We use a Monte Carlo simulation to compute the higher-order moments of the risk portfolio, the premiums and the value-at-risk based on the New Zealand catastrophe historical data. The simulation outcomes under the negative dependence parameter θ, shows the highest value of moments when claims experience exhibit overdispersion. Conversely, the underdispersed scenario yields the highest value of moments when θ is positive. These results lead to higher premiums being charged and more capital requirements to be set aside to cope with unfavorable events borne by the insurers.
32
Liu, Xin, und Michael Y. Hu. „Umbrella brand price premiums: effects of compatibility, similarity, and portfolio size“. Journal of Product & Brand Management 20, Nr. 1 (März 2011): 58–64. http://dx.doi.org/10.1108/10610421111108021.
Der volle Inhalt der Quelle
33
BIAGINI, FRANCESCA, und JAN WIDENMANN. „PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS“. International Journal of Theoretical and Applied Finance 15, Nr. 04 (Juni 2012): 1250025. http://dx.doi.org/10.1142/s0219024912500252.
Der volle Inhalt der QuelleAnnotation:
This paper provides a new approach for modeling and calculating premiums for unemployment insurance products. The innovative modeling concept consists of combining the benchmark approach with its real-world pricing formula and Markov chain techniques in a doubly stochastic setting. We describe individual insurance claims based on a special type of unemployment insurance contracts, which are offered on the private insurance market. The pricing formulas are first given in a general setting and then specified under the assumption that the individual employment-unemployment process of an employee follows a time-homogeneous doubly stochastic Markov chain. In this framework, formulas for the premiums are provided depending on the ℙ-numéraire portfolio of the benchmark approach. Under a simple assumption on the ℙ-numéraire portfolio, the model is tested on its sensitivities to several parameters. With the same specification the model's employment and unemployment intensities are estimated on public data of the Federal Employment Office in Germany.
34
Lau, John W., Tak Kuen Siu und Hailiang Yang. „On Bayesian Mixture Credibility“. ASTIN Bulletin 36, Nr. 02 (November 2006): 573–88. http://dx.doi.org/10.2143/ast.36.2.2017934.
Der volle Inhalt der QuelleAnnotation:
We introduce a class of Bayesian infinite mixture models first introduced by Lo (1984) to determine the credibility premium for a non-homogeneous insurance portfolio. The Bayesian infinite mixture models provide us with much flexibility in the specification of the claim distribution. We employ the sampling scheme based on a weighted Chinese restaurant process introduced in Lo et al. (1996) to estimate a Bayesian infinite mixture model from the claim data. The Bayesian sampling scheme also provides a systematic way to cluster the claim data. This can provide some insights into the risk characteristics of the policyholders. The estimated credibility premium from the Bayesian infinite mixture model can be written as a linear combination of the prior estimate and the sample mean of the claim data. Estimation results for the Bayesian mixture credibility premiums will be presented.
35
Lau, John W., Tak Kuen Siu und Hailiang Yang. „On Bayesian Mixture Credibility“. ASTIN Bulletin 36, Nr. 2 (November 2006): 573–88. http://dx.doi.org/10.1017/s0515036100014677.
Der volle Inhalt der QuelleAnnotation:
We introduce a class of Bayesian infinite mixture models first introduced by Lo (1984) to determine the credibility premium for a non-homogeneous insurance portfolio. The Bayesian infinite mixture models provide us with much flexibility in the specification of the claim distribution. We employ the sampling scheme based on a weighted Chinese restaurant process introduced in Lo et al. (1996) to estimate a Bayesian infinite mixture model from the claim data. The Bayesian sampling scheme also provides a systematic way to cluster the claim data. This can provide some insights into the risk characteristics of the policyholders. The estimated credibility premium from the Bayesian infinite mixture model can be written as a linear combination of the prior estimate and the sample mean of the claim data. Estimation results for the Bayesian mixture credibility premiums will be presented.
36
Hodnett, Kathleen. „Value-Growth Spread: Evidence From The Johannesburg Stock Exchange“. Journal of Applied Business Research (JABR) 30, Nr. 6 (14.11.2014): 1939. http://dx.doi.org/10.19030/jabr.v30i6.8958.
Der volle Inhalt der QuelleAnnotation:
<p>This study attempts to establish the cyclical nature of the value-growth spread on the Johannesburg Stock Exchange (JSE) over the period from 1 January 1997 through 31 December 2013, and subsequently undertakes to determine if the recent value-growth spread could be useful to forecast the near-term market risk premium. The three value-growth benchmarks used to classify value and growth stocks include earnings/price ratio (E/P), book/price ratio (B/P) and sales/price ratio (S/P). The ratio between the median S/P ratio for the value portfolio versus the growth portfolio is found to be the highest and most volatile over the examination period, which suggests that the relative valuation of value and growth stocks based on S/P could be cyclical and reflective of the market sentiments and degrees of risk aversion. The prediction of forward market risk premium using the trailing average of S/P value-growth spread achieved the highest R-squared of 26.79%. In addition, predicting forward market risk premium using the other two value-growth spreads is also statistically significant. Examining the coefficients of the regressions reveals that although a significant portion of the forward market risk premium is left unexplained, there exists a significantly positive correlation between recent value-growth spreads and near-term market risk premiums on the JSE. This implies that higher future reward could be expected for equity investments when the value risk premium is higher than its historical average, and vice versa.</p>
37
Afonso, Lourdes B., Alfredo D. Egídio dos Reis und Howard R. Waters. „Calculating Continuous Time Ruin Probabilities for a Large Portfolio with Varying Premiums“. ASTIN Bulletin 39, Nr. 1 (Mai 2009): 117–36. http://dx.doi.org/10.2143/ast.39.1.2038059.
Der volle Inhalt der QuelleAnnotation:
AbstractIn this paper we present a method for the numerical evaluation of the ruin probability in continuous and finite time for a classical risk process where the premium can change from year to year. A major consideration in the development of this methodology is that it should be easily applicable to large portfolios. Our method is based on the simulation of the annual aggregate claims and then on the calculation of the ruin probability for a given surplus at the start and at the end of each year. We calculate the within-year ruin probability assuming a translated gamma distribution approximation for aggregate claim amounts.We illustrate our method by studying the case where the premium at the start of each year is a function of the surplus level at that time or at an earlier time.
38
Rezende, Cláudio Francisco, Vinícius Silva Pereira und Antonio Sergio Torres Penedo. „Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20“. Future Studies Research Journal: Trends and Strategies 11, Nr. 2 (27.05.2019): 162–75. http://dx.doi.org/10.24023/futurejournal/2175-5825/2019.v11i2.360.
Der volle Inhalt der QuelleAnnotation:
The objective of this paper is to empirically investigate the applicability of the asset pricing model in a portfolio made up of groups of countries, the G20 for this case. In the meantime, it was intended to compare a complete sample of 14 constituent countries of the group, a subsample of four countries belonging to the BRICS and another of the countries that do not belong. The survey sample consisted of long-term interest rate data from these countries collected in the OECD database and also from the Central Bank of Brazil (Bacen). Based on the results of the regression of Panel data on fixed effects, we found evidence that there is a statistically positive relationship between the market risk premium and the interest rate risk premiums. The regression betas showed that the interest rate risk premium is not sensitive when considering the full sample of the G20 countries but is sensitive in the BRICS sample.
39
Truong, Thuy Thi Thu, und Jungmu Kim. „Premiums for Non-Sustainable and Sustainable Components of Market Volatility: Evidence from the Korean Stock Market“. Sustainability 11, Nr. 18 (19.09.2019): 5123. http://dx.doi.org/10.3390/su11185123.
Der volle Inhalt der QuelleAnnotation:
The study investigates the premiums expected for non-sustainable and sustainable components of market volatility in Korea during the August 1991 to December 2018 period. We decompose market volatility into non-sustainable and sustainable components and construct the factors that mimic the two respective components of market volatility. The portfolio analysis and Fama-MacBeth regressions reveal that both short- and long-term components are negative pricing factors in the Korean stock market. Specifically, stocks with higher sensitivities to the long-term volatility factor have lower average annual returns by approximately 14%, than stocks with lower sensitivities. This implies that stocks with high sensitivity to sustainable volatility provide a hedging opportunity against future uncertainty, and thus, investors are willing to pay an annual premium of 14% for such stocks. Our results are robust to variations in samples and methods.
40
Hipp, Christian. „Improved Approximations for the Aggregate Claims Distribution in the Individual Model“. ASTIN Bulletin 16, Nr. 2 (November 1986): 89–100. http://dx.doi.org/10.2143/ast.16.2.2015001.
Der volle Inhalt der QuelleAnnotation:
AbstractKornya-type higher order approximations are derived for the aggregate claims distribution and for stop loss premiums in the individual model with arbitrary positive claims. Absolute error bounds and error bounds based on concentration functions are given. In the Gerber portfolio containing 31 policies, second order approximations lead to an accuracy of 3 × 10−4, and third order approximations to 1.7 ×10−5.
41
Gómez-Déniz, Emilio, und Enrique Calderín-Ojeda. „A Priori Ratemaking Selection Using Multivariate Regression Models Allowing Different Coverages in Auto Insurance“. Risks 9, Nr. 7 (20.07.2021): 137. http://dx.doi.org/10.3390/risks9070137.
Der volle Inhalt der QuelleAnnotation:
A comprehensive auto insurance policy usually provides the broadest protection for the most common events for which the policyholder would file a claim. On the other hand, some insurers offer extended third-party car insurance to adapt to the personal needs of every policyholder. The extra coverage includes cover against fire, natural hazards, theft, windscreen repair, and legal expenses, among some other coverages that apply to specific events that may cause damage to the insured’s vehicle. In this paper, a multivariate distribution, based on a conditional specification, is proposed to account for different numbers of claims for different coverages. Then, the premium is computed for each type of coverage separately rather than for the total claims number. Closed-form expressions are given for moments and cross-moments, parameter estimates, and for a priori premiums when different premiums principles are considered. In addition, the severity of claims can be incorporated into this multivariate model to derive multivariate claims’ severity distributions. The model is extended by developing a zero-inflated version. Regression models for both multivariate families are derived. These models are used to fit a real auto insurance portfolio that includes five types of coverage. Our findings show that some specific covariates are statistically significant in some coverages, yet they are not so for others.
42
Haberman, Steven, Zolan Butt und Ben Rickayzen. „Measuring Process Risk in Income Protection Insurance“. ASTIN Bulletin 34, Nr. 01 (Mai 2004): 199–227. http://dx.doi.org/10.2143/ast.34.1.504962.
Der volle Inhalt der QuelleAnnotation:
The main objective of this paper is to measure the process error for a portfolio of independent disability insurance policies in a multiple state modelling context. We consider the calculation of premiums for a portfolio of income protection insurance policies in a stochastic environment represented both by random transitions in the underlying multiple state model and random external economic factors in the form of stochastic investment returns and inflation. We also investigate the sensitivity of the process error to the level of volatility incorporated in a given model using suitably defined risk measures. We then draw conclusions and identify possible avenues for future research.
43
Haberman, Steven, Zolan Butt und Ben Rickayzen. „Measuring Process Risk in Income Protection Insurance“. ASTIN Bulletin 34, Nr. 1 (Mai 2004): 199–227. http://dx.doi.org/10.1017/s0515036100013957.
Der volle Inhalt der QuelleAnnotation:
The main objective of this paper is to measure the process error for a portfolio of independent disability insurance policies in a multiple state modelling context. We consider the calculation of premiums for a portfolio of income protection insurance policies in a stochastic environment represented both by random transitions in the underlying multiple state model and random external economic factors in the form of stochastic investment returns and inflation. We also investigate the sensitivity of the process error to the level of volatility incorporated in a given model using suitably defined risk measures. We then draw conclusions and identify possible avenues for future research.
44
Gómez-Déniz, Emilio, und Enrique Calderín-Ojeda. „A Survey of the Individual Claim Size and Other Risk Factors Using Credibility Bonus-Malus Premiums“. Risks 8, Nr. 1 (21.02.2020): 20. http://dx.doi.org/10.3390/risks8010020.
Der volle Inhalt der QuelleAnnotation:
In this paper, a flexible count regression model based on a bivariate compound Poisson distribution is introduced in order to distinguish between different types of claims according to the claim size. Furthermore, it allows us to analyse the factors that affect the number of claims above and below a given claim size threshold in an automobile insurance portfolio. Relevant properties of this model are given. Next, a mixed regression model is derived to compute credibility bonus-malus premiums based on the individual claim size and other risk factors such as gender, type of vehicle, driving area, or age of the vehicle. Results are illustrated by using a well-known automobile insurance portfolio dataset.
45
Bacinello, Anna Rita. „Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed“. ASTIN Bulletin 31, Nr. 2 (November 2001): 275–97. http://dx.doi.org/10.2143/ast.31.2.1006.
Der volle Inhalt der QuelleAnnotation:
AbstractIn this paper we analyse, in a contingent-claims framework, one of the most common life insurance policies sold in Italy during the last two decades. The policy, of the endowment type, is initially priced as a standard one, given a mortality table and a technical interest rate. Subsequently, at the end of each policy year, the insurance company grants a bonus, which is credited to the mathematical reserve and depends on the performance of a special investment portfolio. More precisely, this bonus is determined in such a way that the total interest rate credited to the insured equals a given percentage (participation level) of the annual return on the reference portfolio and anyway does not fall below the technical rate (minimum interest rate guaranteed, henceforth). Moreover, if the contract is paid by periodical premiums, it is usually stated that the annual premium is adjusted at the same rate of the bonus, and thus the benefit is also adjusted in the same measure. In such policy the variables controlled by the insurance company (control-variables, henceforth) are the technical rate, the participation level and, in some sense, the riskiness of the reference portfolio measured by its volatility. However, as it is intuitive, not all sets of values for these variables give rise to a fair contract, i.e. to a contract priced consistently with the usual assumptions on financial markets and, in particular, with no-arbitrage. We derive then necessary and sufficient conditions under which each control-variable is determined by a fair pricing of the contract, given the remaining two ones.
46
Shengwang, Meng, Yuan Wei und G. A. Whitmore. „Accounting for Individual Over-Dispersion in a Bonus-Malus Automobile Insurance System“. ASTIN Bulletin 29, Nr. 2 (November 1999): 327–37. http://dx.doi.org/10.2143/ast.29.2.504619.
Der volle Inhalt der QuelleAnnotation:
AbstractIndividual automobile insurance claims are characterized by over-dispersion relative to the Poisson model. In addition, claim propensities vary among individuals in any insurance portfolio. This paper presents a model which takes account of both characteristics. The model employs the negative-binomial distribution as the distribution for individual-level claims and a Pareto distribution as the distribution for claim propensities within the portfolio. The paper shows that the resulting model is tractable and has a number of attractive properties which make it suitable for this application. The fit of the model to actual claim numbers for automobile third party liability insurance is examined and found acceptable. Bayes theorem is then applied to this model to calculate illustrative optimal premiums under the Bonus-Malus System (BMS).
47
Helms, Florian, Claudia Czado und Susanne Gschlößl. „Calculation of LTC Premiums Based on Direct Estimates of Transition Probabilities“. ASTIN Bulletin 35, Nr. 02 (November 2005): 455–69. http://dx.doi.org/10.2143/ast.35.2.2003462.
Der volle Inhalt der QuelleAnnotation:
In this paper we model the life-history of LTC-patients using a Markovian multi-state model in order to calculate premiums for a given LTC-plan. Instead of estimating the transition intensities in this model we use the approach suggested by Andersen et al. (2003) for a direct estimation of the transition probabilities. Based on the Aalen-Johansen estimator, an almost unbiased estimator for the transition matrix of a Markovian multi-state model, we calculate so-called pseudo-values, known from Jackknife methods. Further, we assume that the relationship between these pseudo-values and the covariates of our data are given by a GLM with the logit as link-function. Since the GLMs do not allow for correlation between successive observations we use instead the “Generalized Estimating Equations” (GEEs) to estimate the parameters of our regression model. The approach is illustrated using a representative sample from a German LTC portfolio.
48
Helms, Florian, Claudia Czado und Susanne Gschlößl. „Calculation of LTC Premiums Based on Direct Estimates of Transition Probabilities“. ASTIN Bulletin 35, Nr. 2 (November 2005): 455–69. http://dx.doi.org/10.1017/s0515036100014331.
Der volle Inhalt der QuelleAnnotation:
In this paper we model the life-history of LTC-patients using a Markovian multi-state model in order to calculate premiums for a given LTC-plan. Instead of estimating the transition intensities in this model we use the approach suggested by Andersen et al. (2003) for a direct estimation of the transition probabilities. Based on the Aalen-Johansen estimator, an almost unbiased estimator for the transition matrix of a Markovian multi-state model, we calculate so-called pseudo-values, known from Jackknife methods. Further, we assume that the relationship between these pseudo-values and the covariates of our data are given by a GLM with the logit as link-function. Since the GLMs do not allow for correlation between successive observations we use instead the “Generalized Estimating Equations” (GEEs) to estimate the parameters of our regression model. The approach is illustrated using a representative sample from a German LTC portfolio.
49
R.B.Sartova. „ANALYSIS OF INVESTMENT ACTIVITIES OF INSURANCE ORGANIZATIONS OF KAZAKHSTAN“. Herald of KSUCTA n a N Isanov, Nr. 3 (23.09.2019): 518–26. http://dx.doi.org/10.35803/1694-5298.2019.3.518-526.
Der volle Inhalt der QuelleAnnotation:
This article discusses the investment activities of insurance (reinsurance) organizations of the Republic of Kazakhstan in the period 2014-2018. The dynamics of the main indicators of the activities of insurance companies for the specified five-year period is given. The financial resources attracted by insurers as insurance premiums are sources of investments that can be used in accordance with the current legislation of Kazakhstan. The norms for diversifying the assets of insurance organizations are aimed at ensuring the reliability of investments and the financial stability of national insurers. The insurance portfolio of companies shows from 2014 to 2018. positive dynamics, while the structure itself has not changed significantly. The main share of the insurance portfolio is occupied by classical financial instruments: securities and deposits. In order to strengthen the role of insurance organizations as institutional investors, the transformation of insurance reserves into various sectors of the Kazakhstan economy is necessary.
50
Beirlant, J., G. Matthys und G. Dierckx. „Heavy-Tailed Distributions and Rating“. ASTIN Bulletin 31, Nr. 1 (Mai 2001): 37–58. http://dx.doi.org/10.2143/ast.31.1.993.
Der volle Inhalt der QuelleAnnotation:
AbstractIn this paper we consider the problem raised in the Astin Bulletin (1999) by Prof. Benktander at the occasion of his 80th birthday concerning the choice of an appropriate claim size distribution in connection with reinsurance rating problems. Appropriate models for large claim distributions play a central role in this matter. We review the literature on extreme value methodology and consider its use in reinsurance. Whereas the models in extreme-value methods are non-parametric or semi-parametric of nature, practitioners often need a fully parametric model for assessing a portfolio risk both in the tails and in more central portions of the claim distribution. To this end we propose a parametric model, termed the generalised Burr-gamma distribution, which possesses such flexibility. Throughout we consider a Norwegian fire insurance portfolio data set in order to illustrate the concepts. A small sample simulation study is performed to validate the different methods for estimating excess-of-loss reinsurance premiums.