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1
Kang, Yu. "Risk, ambiguity, and insurance /." Digital version accessible at:, 1998. http://wwwlib.umi.com/cr/utexas/main.
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Matevosyan, Hasmik <1993>. "Risk Prediction in Automobile Insurance." Master's Degree Thesis, Università Ca' Foscari Venezia, 2018. http://hdl.handle.net/10579/13433.
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The relationship between individual risks and the number of claims in automobile insurance has received growing attention over recent years among industry practitioners. The number of people who purchase cars grows exponentially. Risk managers of insurance companies need to deal with a variety of risks concerning vehicles and try to predict them as accurate as possible to avoid losses or to minimize them. For this reason, in this thesis I will examine different risk variables and models for these variables in the car insurance sector. The analyses are done based on the econometric approach. The main problem of the thesis concerns the risk prediction by count data models in the automobile insurance. First, the analysis will be done by Poisson regression model using maximum likelihood estimator. Then the Gamma heterogeneity will be taken into account and the negative-binomial regression model will be discussed. The latter provides a framework for the bonus-malus scheme. The extensions of Poisson regression will also be considered in this thesis. The models will be applied to the real data and the estimation results will be discussed at the end of the thesis.
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Karabey, Ugur. "Risk capital allocation and risk quantification in insurance companies." Thesis, Heriot-Watt University, 2012. http://hdl.handle.net/10399/2566.
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The objective of this thesis is to investigate risk capital allocation methods in detail for both non-life and life insurance business. In non-life insurance business loss models are generally linear with respect to losses of business-lines. However, in life insurance loss models are not generally a linear function of factor risks, i.e. the interest-rate factor, mortality rate factor, etc. In the first part of the thesis, we present the existing allocation methods and discuss their advantages and disadvantages. In a comprehensive simulation study we examine the allocations sensitivity to different allocation methods, different risk measures and different risk models in a non-life insurance business. We also show the possible usage of the Euclidean distance measure and rank correlation coefficients for the comparison of allocation methods. In the second part, we investigate the factor risk contribution theory and examine its application under a life annuity business. We provide two approximations that enable us to apply risk capital allocation methods directly to annuity values in order to measure factor risk contributions. We examine factor risk contributions for annuities with different terms to maturity and the annuities payable at different times in future. We also analyse the factor risk contributions under the extreme scenarios for the factor risks.
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Gong, Qi. "Gerber-Shiu function in threshold insurance risk models." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B40987966.
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Schreiber, Irene. "Risk-minimization for life insurance liabilities." Diss., lmu, 2012. http://nbn-resolving.de/urn:nbn:de:bvb:19-153192.
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蕭德權 and Tak-kuen Siu. "Risk measures in finance and insurance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31242297.
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Apere, Pius Oyabramo. "Modelling life insurance new business risk." Thesis, City University London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.435038.
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Delaney, J. M. "Education : risk enhancing or insurance mechanism?" Thesis, University College London (University of London), 2017. http://discovery.ucl.ac.uk/1558906/.
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In the first chapter, I examine the returns to education for both males and females with a particular focus on the effect of wage risk and periods of non-employment. I also account for selection in to the labour market using a Heckman selection equation and decompose earnings in to permanent and transitory components in an effort to understand the components of wage risk. My results suggest that failure to account for periods of non-employment, wage risk and selection in to the labour market when calculating returns to education leads to biased estimates. In the second chapter, along with my co-author, Paul Devereux, we look at the causal effect of education on earnings uncertainty and volatility and the effect of education on sheltering workers from the adverse effects of recessions. We use the 1973 change in compulsory schooling law to provide exogenous variation in education. Our regression discontinuity estimates suggest that men whose education was increased by the law subsequently had lower earnings volatility, less pro-cyclical earnings, and were less likely to experience real pay cuts. In the third chapter, I analyse the role of risk, family background, cognitive and noncognitive skills in determining college attendance. I use a structural life cycle model explicitly capturing the decision to go to college and incorporating important features which impact the returns to college such as savings, labour supply, human capital accumulation and depreciation, wage risk and employment risk. It is estimated that grants, parental background, non-cognitive skills and risk significantly impact the decision to go to college. However, the biggest factor in determining college attendance is cognitive skills. This is driven both by differences in returns to college conditional on cognitive skills and by the larger psychic costs faced by those with low cognitive skills.
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Bash-Taqi, A. Bubakarr. "Risk and insurance in rural Africa." Thesis, University of Sussex, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.496868.
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It is widely asserted that rural households In developing countries - including Ethiopia - are plagued by a plethora of shocks, which subsequently leads to significant risks to income and consumption. On the other hand, it is also conjectured that in the presence of these shocks and risks, households have access to a variety of formal and Informal mechanisms for dealing with these events as and when they occur. The existence of these mechanisms, It Is argued, explains why consumption does not exactly co-move with income. In other words, there are smaller consumption fluctuations than those that have been observed in income. Indeed, if this is the case, then it is plausible to assert that rural households possess consumption insurance against the relevant shocks.
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Siu, Tak-kuen. "Risk measures in finance and insurance." Hong Kong : University of Hong Kong, 2001. http://sunzi.lib.hku.hk/hkuto/record.jsp?B2323426X.
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Seck, Cheikh Ahmadou Bamba <1994>. "Basis risk in weather index insurance." Master's Degree Thesis, Università Ca' Foscari Venezia, 2018. http://hdl.handle.net/10579/13438.
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Nowadays the planet faces a problem of climate change giving rise to a frequency of climatic phenomena below or above the normal such as a rarity or an excess of the rainfall leading respectively to drought and floods in certain localities, cyclones, storms, temperature, etc. Face to this uncertainty of the occurrence of these events which are considered as risks, human being generally risk-averse, to protect themselves against these risks new form of insurance called weather insurance was created.
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Guseva, Alevtina Vladimirovna. "Uncertainty, risk and trust in the Russian credit card and insurance market /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC IP addresses, 2002. http://wwwlib.umi.com/cr/ucsd/fullcit?p3069222.
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Corzo, de la Colina Rafael, and Mendoza José Villafuerte. "Great risk insurances and disproportionate protection of insured persons in insurance contract Law." IUS ET VERITAS, 2017. http://repositorio.pucp.edu.pe/index/handle/123456789/122964.
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In this article, the authors tell us about great risk insurances and describe its regulation in foreign law. Then, they point out the protective role of State in the consumption relationship is to reduce information asymmetries, but there is no total disclosure obligation in the market. Therefore, information asymmetry ceases to be relevant when the user of the service has negotiating capacity and necessary resources to make an informed decision. They conclude it is pertinent to equate the application of the Peruvian Insurance Contract Law to international standards.<br>En el presente artículo, los autores nos hablan de los seguros de grandes riesgos y describen su tratamiento en la legislación extranjera. Luego, señalan que el rol protector del Estado en la relación de consumo es reducir las asimetrías informativas, pero no existe una obligación total de divulgación de información en el mercado. Por lo tanto, la asimetría informativa deja de ser relevante cuando el usuario del servicio tenga capacidad de negociación y recursos suficientes para tomar una decisión informada. Concluyen que es pertinente equiparar la aplicación de la Ley del Contrato de Seguro peruana a estándares internacionales.
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Wan, Lai-mei. "Ruin analysis of correlated aggregate claims models." Thesis, Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B30705708.
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Lin, Yijia. "Mortality Risk Management." Digital Archive @ GSU, 2006. http://digitalarchive.gsu.edu/rmi_diss/14.
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This is a multi–essay dissertation in the area of mortality risk management. The first essay investigates natural hedging between life insurance and annuities and then proposes a mortality swap between a life insurer and an annuity insurer. Compared with reinsurance, capital markets have a greater capacity to absorb insurance shocks, and they may offer more flexibility to meet insurers’ needs. Therefore, my second essay studies securitization of mortality risks in life annuities. Specifically I design a mortality bond to transfer longevity risks inherent in annuities or pension plans to financial markets. By explicitly taking into account the jumps in mortality stochastic processes, my third essay fills a gap in the mortality securitization modeling literature by pricing mortality securities in an incomplete market framework. Using the Survey of Consumer Finances, my fourth essay creates a new financial vulnerability index to examine a household’s life cycle demand for different types of life insurance.
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Fischer, Tom. "Valuation and risk management in life insurance." Phd thesis, [S.l. : s.n.], 2004. http://elib.tu-darmstadt.de/diss/000412.
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Zhang, Li. "Three essays on agricultural risk and insurance." [Ames, Iowa : Iowa State University], 2008.
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Tsanakas, Andreas. "Risk sharing in financial and insurance markets." Thesis, Imperial College London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.413788.
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Bennett, Paul. "Mutual risk : moral economy in environmental insurance." Thesis, University of Oxford, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.313039.
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Siyi, Zhou. "Essays on financial and insurance risk management." Thesis, Imperial College London, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.586894.
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This thesis conducts several empirical analyses of important issues in modern quantitative risk management The first exercise examines the joint distribution of changes in agency credit ratings. We estimate both intra- and inter-industry correlations using Maximum Likelihood techniques. The analysis is performed unconditionally and then conditional on de-trended GDP. The latter estimates may be used for macro stress testing in which the credit quality of a portfolio is simulated conditional on a hypothesized future path of real output. Following the financial crisis, banks and regulators are increasingly relying on stress tests to understand portfolio risk. Particularly important has been macro stress testing in which the effects of macroeconomic scenarios on bank portfolios are traced through. The second exercise builds on Pesaran, Schuermann, and Weiner (2004) in devising and implementing macro stress testing techniques for a bank credit portfolio. In contrast to this and earlier studies, richer dependencies of credit market conditions on macroeconomic variables are developed. Specifically, the model allows sovereign ratings, the credit quality of corporate credit exposures (categorized by rating and maturity) and credit spreads to be driven by macroeconomic developments The challenges in understanding enterprise-wide risk are exacerbated when very different financial organizations are combined. The third exercise devises a unified framework for analysing risk in bancassurance organizations and employs this to examine the diversification benefits of conglomerates involving general insurance and traditional banking.
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Mutenga, Stanley. "Risk management for property casualty insurance companies." Thesis, City University London, 2001. http://openaccess.city.ac.uk/7600/.
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This thesis addresses the need to reduce inefficiencies in management of insurance company risk capital. The laxity in managing the cost of capital is a result of dysfunctional property/casualty risk classification and capital accumulation practices in the insurance industry. We reclassify risk based on both peril and financial functional features, in order to capture all the facets of risk affecting a firm and ultimately to achieve optimal capital allocation. With the purpose of reducing inefficiencies in mind, we explore and isolate the impact of regulation on insurance company profitability. We use barrier option pricing models to mimic the impact of solvency requirements on firm-wide risk. This methodology of measuring risk is better than plain vanilla option pricing models, in that, through the option to an early default, we are able to capture the economic significance of financial distress, and allocate firm-wide risk capital. The firm-wide risk is incidentally used to empirically test the impact of risk on the cost of carry, the quality of operational profitability and forward asset commitment per unit of liabilities. Our empirical test confirms a strong relationship between firm-level risk, and the cost of carry, return on policyholders' surplus and the cost of capital per contract underwritten. The results are better than previous results obtained using plain vanilla option-pricing models and reveal the importance of incorporating solvency requirements in defining the economic significance of insolvency. The results also points to the importance of advised risk classification procedures to the whole process of integrated risk measurement and financing, which we explore in this study.
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Siokis, Vasilios. "Risk measurement and management of insurance companies." Thesis, City University London, 2001. http://openaccess.city.ac.uk/8400/.
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This thesis reviews some fundamental risk measurement and management concepts that insurance companies will face in the following years. The first chapter evaluates the theoretical and practical framework of the different approaches with respect to the determination of regulatory capital held by insurance companies. A critical assessment and substantial interpretation of these approaches is performed. Moreover, a number of new approaches is brought forward in order to add a more thorough and clear way of evaluating the level of the regulatory capital. Then, we provide evidence of the presence of the underwriting cycle in the UK. The underwriting cycle has been identified in a number of OECD and non-OECD countries and highlights the different stages and maturity of the insurance market. A number of reasons for the presence of this cycle is presented and evaluated in contrast with the reasons behind the underwriting cycle in other countries. The level of profitability of the insurance companies is used to determine the presence of the cycle. In the third chapter, profitability and cost of capital are connected with the credit rating assigned by credit agencies to insurance companies. The credit risk that insurance companies face is explained by the use of financial ratios that explicitly explain the particular credit rating. The credit rating is implicitly connected with the cost of capital, which in turn is explained by the level of the credit spread between the Treasury Yield and European bonds. Finally, securitisation as an alternative method of minimizing credit and market risk is analyzed. Different structures of securitised deals are presented and evaluated. The benefits of securitisation are presented in a systematic way.
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Chau, Ki-wai, and 周麒偉. "Fourier-cosine method for insurance risk theory." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/208586.
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In this thesis, a systematic study is carried out for effectively approximating Gerber-Shiu functions under L´evy subordinator models. It is a hardly touched topic in the recent literature and our approach is via the popular Fourier-cosine method.
In theory, classical Gerber-Shiu functions can be expressed in terms of an infinite sum of convolutions, but its inherent complexity makes efficient computation almost impossible. In contrast, Fourier transforms of convolutions could be evaluated in a far simpler manner. Therefore, an efficient numerical method based on Fourier transform is pursued in this thesis for evaluating Gerber-Shiu functions.
Fourier-cosine method is a numerical method based on Fourier transform and has been very popular in option pricing since its introduction. It then evolves into a number of extensions, and we here adopt its spirit to insurance risk theory. In this thesis, the proposed approximant of Gerber-Shiu functions under an L´evy subordinator model has O(n) computational complexity in comparison with that of O(n log n) via the usual numerical Fourier inversion. Also, for Gerber-Shiu functions within the proposed refined Sobolev space, an explicit error bound is given and error bound of this type is seemingly absent in the literature.
Furthermore, the error bound for our estimation can be further enhanced under extra assumptions, which are not immediate from Fang and Oosterlee’s works. We also suggest a robust method on the estimation of ruin probabilities (one special class of Gerber-Shiu functions) based on the moments of both claim size and claim arrival distributions. Rearrangement inequality will also be adopted to amplify the use of our Fourier-cosine method in ruin probability, resulting in an effective global estimation. Finally, the effectiveness of our result will be further illustrated in a number of numerical studies and our enhanced error bound is apparently optimal in our demonstration; more precisely, empirical evidence exhibiting the biggest possible error convergence rate agrees with our theoretical conclusion.<br>published_or_final_version<br>Mathematics<br>Master<br>Master of Philosophy
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Eichner, Matthew Jason. "Medical expenditures and major risk health insurance." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/10316.
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Hao, Mingjie. "Insurance loss coverage under restricted risk classification." Thesis, University of Kent, 2017. https://kar.kent.ac.uk/62465/.
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Insurers hope to make profit through pooling policies from a large number of individuals. Unless the risk in question is similar for all potential customers, an insurer is exposed to the possibility of adverse selection by attracting only high-risk individuals. To counter this, insurers have traditionally employed underwriting principles, identifying suitable risk factors to subdivide their potential customers into homogeneous risk groups, based on which risk-related premiums can be charged. In reality, however, insurers may not have all the information reflecting individuals' risks due to information asymmetry or restrictions on using certain risk factors by regulators. In either case, conventional wisdom suggests that the absence of risk classification in an insurance market is likely to lead to a vicious circle: increasing premium with the prime aim to recover losses from over-subscription by high risks would lead to more low risks dropping out of the market; and eventually leading to a collapse of the whole insurance system, i.e. an adverse selection spiral. However, this concept is difficult to reconcile with the successful operation of many insurance markets, even in the presence of some restrictions on risk classification by regulators. Theoretical analysis of polices under asymmetric information began in the 1960s and 1970s (Arrow (1963), Pauly (1974), Rothschild & Stiglitz (1976)), by which time the adverse consequences of information asymmetry had already been widely accepted. However, empirical test results of its presence are mixed and varied by markets. Arguably from society's viewpoint, the high risks are those who most need insurance. That is, if the social purpose of insurance is to compensate the population's losses, then insuring high risks contributes more to this purpose than insuring low risks. In this case, restriction on risk classification may be reasonable, otherwise premium for high risks would be too high to be affordable. Thus, the traditional insurers' risk classification practices might be considered as contrary to this social purpose. To highlight this issue, ''loss coverage'' was introduced in Thomas (2008) as the expected population losses compensated by insurance. A higher loss coverage indicates that a higher proportion of the population's expected losses can be compensated by insurance. This might be a good result for the population as a whole. A corollary of this concept is that, from a public policy perspective, adverse selection might not always be a bad thing. The author argued that a moderate degree of adverse selection could be negated by the positive influence of loss coverage. Therefore, when analysing the impact of restricting insurance risk classification, loss coverage might be a better measure than adverse selection. In this thesis, we model the outcome in an insurance market where a pooled premium is charged as a result of an absence of risk-classification. The outcome is characterised by four quantities: equilibrium premium, adverse selection, loss coverage and social welfare. Social welfare is defined as the total expected utility of individuals (including those who buy insurance and those who do not buy insurance) at a given premium. Using a general family of demand functions (of which iso-elastic demand and negative-exponential demand are examples) with a non-decreasing demand elasticity function with respect to premium, we first analyse the case when low and high risk-groups have the same constant demand elasticity. Then we generalise the results to the case where demand elasticities could be different. In general, equilibrium premium and adverse selection increase monotonically with demand elasticity, but loss coverage first increases and then decreases. The results are consistent with the ideas proposed by Thomas (2008, 2009) that loss coverage will be increased if a moderate degree of adverse selection is tolerated. Furthermore, we are able to show that, for iso-elastic demand with equal demand elasticities for high and low risks, social welfare moves in the same direction as loss coverage, i.e. social welfare at pooled premium is higher than at risk-differentiated premiums, when demand elasticity is less than 1. Therefore, we argue that loss coverage may be a better measure than adverse selection to quantify the impact of risk classification scheme being restricted. Moreover, (observable) loss coverage could also be a useful proxy for social welfare, which depends on unobservable utility functions. Therefore, adverse election is not always a bad thing, if demand elasticity is sufficiently low. The research findings should add to the wider public policy debate on these issues and provide necessary research insights for informed decision making by actuaries, regulators, policyholders, insurers, policy-makers, capital providers and other stakeholders.
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Pereira, Andreia Simões. "Risk adjustment in a life insurance portfolio." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20924.
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Mestrado em Actuarial Science<br>Desde que a IFRS 17 foi emitida, o estudo e compreensão de todas as suas componentes tem sido uma tarefa desafiante para o quadro segurador, principalmente o cálculo das componentes do passivo. A sua complexidade e abordagem baseada em princípios representa um desafio para todas as companhias, consultores e outros stakeholders.
Com isso em mente, este estágio teve como objetivo principal a compreensão de uma das suas componentes, o Risk Adjustment, que pode ser comparado à Margem de Risco de Solvência II. O Risk Adjustment representa a compensação que uma entidade requer para suportar a incerteza dos riscos não financeiros.
Assim, este relatório pretende perceber e ilustrar dois potenciais métodos para calcular o Risk Adjustment numa carteira de Vida. O primeiro usa a Fórmula Standard de Solvência II num específico grupo de seguros de vida. O segundo usa o Método de Estimação de Máxima Verossimilhança para calcular os parâmetros das distribuições do valor atual dos fluxos de caixa dos riscos não financeiros, para encontrar o Value at Risk e o Tail Value at Risk, e posteriormente, o Risk Adjustment.<br>Since IFRS 17 was issued, the study and understanding of all its components have been a critical task in the insurance framework, particularly the components of the liability's measurement. Its complexity and principle-based approach represent a challenge for all insurance companies, regulators, consultants, and other stakeholders.
With that in mind, this internship had the foremost goal of understanding one of its components, the Risk Adjustment, which has some similarities with Solvency II's Risk Margin. The Risk Adjustment represents the compensation an entity requires for bearing the uncertainty regarding non-financial risks.
Therefore, this report aims to understand and illustrate two potential methods to compute the Risk Adjustment in a Life Insurance Portfolio. The first one uses the Standard Formula of Solvency II to a specific life insurance group. The second uses the Maximum Likelihood Estimation Approach to find the parameters of the distributions of the present value of the cash flows of non-financial insurance risks to find the Value at Risk and the Tail Value at Risk, and posteriorly, the Risk Adjustment.<br>info:eu-repo/semantics/publishedVersion
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Ouattara, Korotoumou. "Credit, risk, and insurance in rural Gambia /." The Ohio State University, 1994. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487849377295198.
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Maynard, Trevor. "Extreme insurance and the dynamics of risk." Thesis, London School of Economics and Political Science (University of London), 2016. http://etheses.lse.ac.uk/3297/.
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The aim of this thesis is to explore the question: can scientific models improve insurance pricing? Model outputs are often converted to forecasts and, in the context of insurance, the supplementary questions: ‘are forecasts skillful?’ and ‘are forecasts useful?’ are examined. Skill score comparison experiments are developed allowing several scores in common use to be ranked. One score is shown to perform well; several others are shown to have systematic failings; with the conclusion that these should not be used by insurers. A new skill score property ‘Feasibility’ is proposed which highlights a key shortcoming of some scores in common use. Variables from a well known dynamical system are used as a proxy for an insurable index. A new method relating the system and its models is presented using skill scores to find their score optimal piecewise linear relationship. The index is priced using both traditional techniques and new methods that use the score optimal relationship. One new method is very successful in that it produces lower prices on average, is more profitable and leads to a lower probability of insurer failure. In this context the forecasts are both skilful and useful. The efficacy of forecast use is further explored by considering hurricane insurance. Here forecasts are shown to be useful only if very simple adjustments to pricing are made. A novel agent based model of a two company insurance industry containing many key features in the real world is presented enabling the impact of regulation and competition to be assessed. Several common practices are shown to reduce expected company lifetime.
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Gong, Qi, and 龔綺. "Gerber-Shiu function in threshold insurance risk models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40987966.
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Hellman, Isabella. "Automated Risk Assessment : potential benefits and risks in the Swedish insurance market." Thesis, Linnéuniversitetet, Institutionen för informatik (IK), 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-54641.
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The technological advances made in society has affected many industries, one that is affected is the insurance market. The purpose of this thesis has been to identify potential benefits and risks connected to the automation of the risk assessment process of life insurance on the Swedish insurance market. In order to enhance the understanding and further enabling the identification of the potential benefits and risks the future process, as preferred by the participants, and the current process are discussed. The thesis includes the participants by using participatory design and analyzes the findings in connection to literature within the area of e-business and strategic planning. The result shows a number of identified benefits of automating the risk assessment process along with potential risk that should be addressed.
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Kwan, Kwok-man. "Ruin theory under a threshold insurance risk model." Click to view the E-thesis via HKUTO, 2007. http://sunzi.lib.hku.hk/hkuto/record/B38320034.
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Chen, Yiqing. "Study on insurance risk models with subexponential tails and dependence structures." Click to view the E-thesis via HKUTO, 2009. http://sunzi.lib.hku.hk/hkuto/record/B42841768.
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Lanctôt, Sébastien. "L'utile et le juste de la discrimination dans la sélection, la classification et la tarification des risques assuranciels." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=115656.
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This thesis addresses the complex issue of risk classification in the field of insurance. Prior to accepting risks, insurance companies must first be able to evaluate those risks. Accordingly, they seek to collect the most information possible from, amongst other sources, the insured, so as to gage relative risk and evaluate whether to insure or not, to what degree and at what rate. In due course, the insurer will use this information on conjunction with statistical and actuarial calculations to draw hypotheses on the degree, probability and cost of risk. In selecting relevant risks for analysis, insurers will utilise set variables based on the area of insurance in which they operate. However, said variables are highly susceptible to being discriminatory. Notably, one thinks of sex and age which are contentiously considered by practitioners and scholars whether or not they operate in the field of insurance. This dissertation will examine exhaustively the normative framework in place in order to determine to what degree, if indeed at all, insurers can legitimately and legally utilize certain classifications such as age and sex in order to select, categorise and fix the price for the various risks offered to them.<br>The question shall arise, to what degree less or all-together non-discriminatory criteria should be favoured over criteria, sometimes considered, prohibited. In order to answer all these questions to better address the issue, we must first examine certain essential notions of insurance. Thus, in the first section, we will describe the relevant logistic practices in insurance industries. We shall focus on the decision process at various levels where potential discriminatory practices may arise. We will see that certain schools of thought on insurance classification are at odds, some times diametrically. We will, incidentally, favour the 'fair discrimination' doctrine over its traditional theoretical rival: 'anti-discrimination'. Our research shows that potentially discriminatory classification occurs at several stages of the ex ante and ex post contractual relationship, stages we will examine one at a time. In the second portion we will cover the general juridical regime of the right to non-discrimination in contracts at the international, national and provincial levels. Special attention will be paid to specific rules which allow some limited derogation to the constitutional rights against discrimination. We shall highlight that the legislative authority granted by the Quebec Charter does have limitations. What's more, certain guidelines recently established by the Supreme Court of Canada regarding application, must take precedence over various classification criteria pertaining to insurance which find their root in article 20.1 of the Quebec Charter. Ultimately, we will concentrate on what is just, which is to say the legitimacy of discrimination in a field that takes it for granted while seldomely questioning its foundations. We will come to apply a new measure for insurance discrimination. We will test this new measure in two specific fields: life insurance and automobile insurance. Overall, this thesis will allow us to determine how discriminatory classification can, at times, be legally employed (mostly in pre-selection and segmentation) in the above mentioned fields. We will conclude by proposing a new operating model which seeks to limit classification procedures that circumvent rights to privacy and non-discrimination.
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Solcà, Tatiana. "Expected risk-adjusted return for insurance based models." Zürich : Swiss Federal Institute of Technology Zurich, Department of Mathematics, 2000. http://e-collection.ethbib.ethz.ch/show?type=dipl&nr=21.
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Dimitrova, Dimitrina S. "Dependent risk modelling in (re)insurance and ruin." Thesis, City, University of London, 2007. http://openaccess.city.ac.uk/18910/.
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The work presented in this dissertation is motivated by the observation that the classical (re)insurance risk modelling assumptions of independent and identically distributed claim amounts, Poisson claim arrivals and premium income accumulating linearly at a certain rate, starting from possibly non-zero initial capital, are often not realistic and violated in practice. There is an abundance of examples in which dependence is observed at various levels of the underlying risk model. Developing risk models which are more general than the classical one and can successfully incorporate dependence between claim amounts, consecutively arriving at the insurance company, and/or dependence between the claim inter-arrival times, is at the heart of this dissertation. The main objective is to consider such general models and to address the problem of (non-) ruin within a finite-time horizon of an insurance company. Furthermore, the aim is to consider general risk and performance measures in the context of a risk sharing arrangement such as an excess of loss (XL) re insurance contract. There are two parties involved in an XL re insurance contract and their interests are contradictory, as has been first noted by Karl Borch in the 1960s. Therefore, we define joint, between the cedent and the reinsurer, risk and performance measures, both based on the probability of ruin, and show how the latter can be used to optimally set the parameters of an XL reinsurance treaty. Explicit expressions for the proposed risk and performance measures are derived and are used efficiently in numerical illustrations.
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Besley, T. J. "The theory of health risk and health insurance." Thesis, University of Oxford, 1987. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.384692.
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Jabbour, Mirna. "Investigation of risk management changes in insurance companies." Thesis, Brunel University, 2013. http://bura.brunel.ac.uk/handle/2438/7964.
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This thesis studies the change process of risk management practices associated with the implementation of Enterprise Risk Management (ERM) and the extent to which it can lead to changes in capital allocation practices. The study develops a theoretical framework to study risk management changes, which draws on structuration theory (Giddens, 1979, 1984) and institutional theory, particularly the institutional framework of Burns and Scapens (2000), as well as new institutional sociology theory. A two-stage empirical study was undertaken in non-life insurance companies. The first stage was a field study of 10 listed non-life insurance companies, while the second stage was a case study of a large non-life insurance company. Multiple data collection methods were used including semi-structured interviews, documentary evidence, annual reports, and publicly available data. Findings show internal, coercive, and normative pressures have mainly driven the ERM adoption decision. The literature supports the impact of coercive, mimetic, and normative pressures on the trend toward ERM in financial industries. However, the study finds that internal pressures related to achieving the company's objectives are either equal to or surpass the external pressures. The study also provides empirical evidence of the changes in risk management practices, which include capital allocation change process associated with ERM implementation. Effective capital allocation requires the incorporation of ERM elements in the whole process of allocating capital. Furthermore, new capital allocation routines and institutions are produced. The study shows that the risk-based capital allocation method is intra- and extra-institutionalised at the company level. The main contribution of this thesis is to identify the nature of ERM adoption and implementation in insurance companies. More specifically, this study provides a better understanding of the institutional forces driving ERM adoption and offers empirical evidence on ERM implementation and the change in risk management practices (routines) within nonlife insurance companies. Moreover, this study avoids the limitations of previous research that was based on surveys, and it does so by conducting an exploratory field study and explanatory case study to address the changes in risk management practices. Practices and process need to be located in their institutional context and hence cannot be reflected in surveys.
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Kwan, Kwok-man, and 關國文. "Ruin theory under a threshold insurance risk model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B38320034.
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Wat, Kam-pui, and 屈錦培. "Discrete-time insurance risk models with dependence structures." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B47849666.
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Regarding the relationships among different insurance claims, especially in
non-life insurance, the dependence behaviour in various models has been studied
extensively. In this thesis, some discrete-time risk models with dependence
structures would be investigated.
One traditional discrete-time risk model is the time series risk model, in
which the dependence would be on two aspects: time correlated claims and dependent
business classes. A general vector (multivariate) autoregressive moving
average (VARMA) model would be adopted to analyze the ruin probability
of a surplus process. An upper bound for the ruin probability is derived for the
general order of multivariate time series models in claims. Simulation studies
are carried out for model comparison for finite time ruin probabilities.
Another class of risk model is the compound binomial risk model, where the
dependence structure would be based on the existence of a so-called by-claim
in the claim process. The by-claim could be incurred in the same period as the
main insurance claim, or it would be incurred in the next period, depending
on a certain probability. A randomized dividend payment scheme with some
fixed threshold value in surplus level would also be considered in this thesis. A
methodology is discovered to obtain the Gerber-Shiu expected penalty function
for the extended model.
The final model investigated in this thesis is the periodic time series risk
model. The periodic structure of the model gives a practical interpretation
of the business cycle, in which there are high season and low season for the
business. Some lower order periodic time series models are considered for the
claim structures.<br>published_or_final_version<br>Statistics and Actuarial Science<br>Doctoral<br>Doctor of Philosophy
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MORGADO, WILSON LINS. "APPLYING RISK CLASSIFICATION METHOD IN CAR INSURANCE MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2004. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=5932@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>A estimação do risco em seguros de automóveis representa um
difícil
problema de regressão. As dificuldades vão desde a
utilização de um grande
número de variáveis discretas como explicativas, até a
distribuição particular dos
ruídos e uma quantidade expressiva de categorias com
valores nulos e valores
discrepantes.
Supondo que os problemas de estimação estejam relacionados
com a
classificação do risco adotada pelo mercado, este trabalho
propõe um método de
classificação alternativo. O método desenvolvido foi
baseado na técnica de análise
fatorial, e no algoritmo de agrupamento de dados denominado
fuzzy clustering
system.
Para avaliar a eficiência do método em solucionar os
problemas de
estimação, optou-se por utilizar o erro resultante da
aplicação de modelos lineares
generalizados. Ao final, o erro de estimação obtido diante
da classificação
proposta, foi comparado ao obtido diante da classificação
usual de mercado.<br>The estimation of car insurance risk rate represents a
difficult regression
problem. One of the difficulties of this problem is the use
of a number of discrete
independent variables and a specific error distribution
that presents an expressive
number of null and outlier values.
Assuming that these estimation problems are related to the
risk
classification adopted by the insurance companies, this
work proposes an
alternative classification method. This method is based on
factorial analysis
techniques and on the algorithm known as Fuzzy Clustering
System.
To evaluate the efficiency of this method in solving the
problems identified,
the risk was estimated using generalized linear models. The
errors from each
model were obtained and compared between classifications.
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Paiz, Fernando. "Political risk insurance : a solution to capital flight?" Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/67102.
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Xiong, Sheng. "Stochastic Differential Equations: Some Risk and Insurance Applications." Diss., Temple University Libraries, 2011. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/133166.
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Mathematics<br>Ph.D.<br>In this dissertation, we have studied diffusion models and their applications in risk theory and insurance. Let Xt be a d-dimensional diffusion process satisfying a system of Stochastic Differential Equations defined on an open set G Rd, and let Ut be a utility function of Xt with U0 = u0. Let T be the first time that Ut reaches a level u^*. We study the Laplace transform of the distribution of T, as well as the probability of ruin, psileft(u_{0}right)=Prleft{ T<inftyright} , and other important probabilities. A class of exponential martingales is constructed to analyze the asymptotic properties of all probabilities. In addition, we prove that the expected discounted penalty function, a generalization of the probability of ultimate ruin, satisfies an elliptic partial differential equation, subject to some initial boundary conditions. Two examples from areas of actuarial work to which martingales have been applied are given to illustrate our methods and results: 1. Insurer's insolvency. 2. Terrorism risk. In particular, we study insurer's insolvency for the Cram'{e}r-Lundberg model with investments whose price follows a geometric Brownian motion. We prove the conjecture proposed by Constantinescu and Thommann.<br>Temple University--Theses
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ZHANG, Jian. "Insurance and self-protection for increased risk aversion." Digital Commons @ Lingnan University, 2017. https://commons.ln.edu.hk/fin_etd/18.
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We re-examine the classic problem of risk aversion and self-protection in this paper. In the beginning of this paper, we conduct comparative statics of risk aversion and prevention efforts based on the mono-periodic two states model of choice under risk. We show this new condition is effective with self-insurance-cum-protection model (Lee, 1998), in which the decision maker's activities to prevent the risk can sever both as self-insurance and self-protection. We suggest a new condition that increased risk aversion induces more prevention activities. This new condition requires only one assumption concerning fear of ruin coefficient, marginal effect of SICP activity on probability and marginal cost of SICP activity. By applying interval dominance order (Quah and Strulovici,2009), we find that a decision maker will exert higher level of SICP activity if he becomes more risk averse, under the condition that his hazard rate is higher than the 'boldness' coefficient (Aumann and Kurz,1977). This new condition is effective even when the optimal level for SICP activity is not interior solution. With our method, the assumption, that optimal solution is interior, is not necessary and marginal utility functions do not need to be monotonic on the interval [0, w0]. Based on this, the optimal solution can be corner solution or inflection point solution. And the DM's attitude towards risk can be variable. Hence, the relation suggested by our findings is more consistent with real world situations.
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Frizziero, Luca <1995>. "Credit risk management in banks and insurance companies." Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/16815.
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This thesis aims to analyse the ways in which credit risk is managed and modelled in banks and insurance companies. The structure of this research is divided into four chapters. The first part aims to introduce the main features and parameters for the credit risk analysis, such as the probability of default of bond issuers and their joint correlation, the Loss Given Default (LGD), the Exposure at Default (EAD) and the computation of the main quantities of interest for the determination of the capital requirements, with a particular focus on how banks and insurance companies must comply with their respective EU regulatory frameworks, i.e. Basel III for banks and Solvency II for insurers. In Chapter 2, different approaches to model default correlation and the most widespread used models for credit risk management are discussed and compared. Particular emphasis is given to the CreditMetrics, KMV, CreditPortfolioView and CreditRisk+ models, of which this thesis provides an extensive explanation of their basic versions. The third chapter proposes an in-depth comparison of the features that make insurance companies differ from banks, with a specific focus on the insurance industry and the compliance with Solvency II. The last part of this paper encompasses a case study based on the development and application of a credit risk management model using Matlab programming software.
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Keykhah, Mojdeh. "The shape of uncertainty : insurance underwriting in the face of catastrophe." Thesis, University of Oxford, 2000. http://ora.ox.ac.uk/objects/uuid:850ace8c-da6d-4c9a-bce7-8f7495ba7357.
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In this thesis I study the nature of decision making under uncertainty in the case of natural catastrophes and reinsurance underwriting at Lloyd's of London. I begin by describing the broad context of natural catastrophes and society, which forms the basis for a market in catastrophe reinsurance. I then proceed to a review of literatures in risk, uncertainty, philosophy, and probability as a prelude to an analysis of decision making under catastrophic risk. According to the early 20th century philosopher-economist Frank Knight, risk specified those cases in which a frequency probability could be assigned, while situations of uncertainty do not allow a frequency probability since they are unique instances. In the thesis, I make the additional argument that risk and uncertainty are not solely categories of probability, but rather categories of probability and causality. The second main strand of the thesis refers to J.M. Keynes' work on probability which while related to frequency probability, is different in its emphasis on judgment and the assessment of information. I propose a causal framework to Keynes' weight of argument approach in terms of J.L. Mackie's causal field. With these two main ideas on probability and the addition of the causal field, the thesis presents the theoretical basis of its model of decision making. The last component of the model is developed through a review and critique of the economic literature on decision making under uncertainty. As the literature is founded upon frequency probability definitions of risk, the thesis argues through its theoretical investigations that this approach neglects the causal element of decision making, and that uncertainty requires a broader conceptualization than simply lack of probability. This final component, decision making routines, combines both individual and organizational elements. The empirical investigation of catastrophe risk underwriting at Lloyd's is organized into categories of decision making within a situated market context. I investigate the dominant categories and find that capital capacity and relationships drive reinsurance praxis. As an integration of its theoretical and empirical components, the thesis applies its risk decision making model. This model has implications for economic geography studies of the firm, in that it provides an epistemic and organizational basis for the formalization of tacit knowledge. The model also holds consequences for economic decision making theory, in that it integrates causal assessment in the purely probability based economic paradigm.
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Agarwal, Ruchi. "Implementation of Enterprise Risk Management practices." Thesis, University of Edinburgh, 2017. http://hdl.handle.net/1842/25823.
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The existence of complexity, uncertainty and ambiguity in current business environment promotes corporates need to establish good risk governance. Enterprise Risk Management (ERM) has been considered as a way to achieve good risk governance to deal with both upside (e.g. exploit opportunities) and downside (e.g. reduce insolvency) of risk and uncertainty. ERM holistically treats all risk to achieve organisation objective in normal, volatile and crisis situations. The thesis tackles issues in the implementation of ERM and how it has been adopted and implemented in Indian and UK insurance market. Mixed research methods have been employed from a qualitative stand point to explore the research issues, consisting of two surveys in UK and India, over 50 interviews and two case studies in the Indian and UK insurance markets. The research revealed that there is an ambiguity in the understanding of the definitions of ERM and risk appetite across both countries. Major issues in ERM implementation in Indian insurance market are fraud, under-risk reporting and insufficient resources to develop an appropriate risk culture. In the UK insurance market issues are related to customer complaints, fines/penalties, over-risk reporting and lack of capital efficiency. Regulatory risk seen as a major risk in both market, though, in the Indian market lack of regulation is the issue whereas in the UK insurance market lack of clarity in insurance regulation has been emphasised. From intuitional theory and strategic change perspective, the research presents cross-country comparative case studies highlighting four emerging ERM strategies based on the different state of development and maturity of companies: ‘Rudimentary’, ‘Anticipatory’, ‘Resilient’ and ‘Transformatory’ strategies. The case studies highlight the issues within the two insurance companies both internally and externally in a nascent and a mature market. Before companies can adopt a transformatory strategy, both companies require a fundamental understanding of strategic change that eventually can pave the way to good risk governance. Adopting the cognitive lens of strategic change will not only enhance company specific risk-based capabilities but it will improve industry risk-based capabilities through development of professional competence.
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Hagendorff, Bjorn. "Natural catastrophes and insurance securitization : performance and risk implications for insurance and reinsurance firms." Thesis, University of Leeds, 2012. http://etheses.whiterose.ac.uk/3130/.
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Insurance and reinsurance firms have seen a remarkable increase in underwriting losses associated with natural catastrophes during the past decade. Yet, the volume of global risk-financing capacity of catastrophe events has remained limited to date. This raises concerns over the effect of insolvencies and disruptions in insurance and reinsurance markets in the event of a severe natural catastrophe. Insurance securitization has long been hailed as an important tool to increase the underwriting capacity of firms exposed to catastrophe risk. Surprisingly, however, global volumes of insurance securitization have remained low to date. The thesis provides the first comprehensive analysis of the expected losses to U.S. insurers (as reflected in stock market returns) linked to a series of large natural catastrophes. The results show that, overall, the expected performance implications of mega-catastrophes are by no means devastating for insurers as the sample of natural catastrophes causes only relatively modest value losses for firms with catastrophe exposure. The thesis also provides the first empirical investigation into both the performance effects and the risk effects for insurance and reinsurance firms which engage in insurance securitization by issuing catastrophe bonds. The results show that insurance securitization provides issuers with potential cost advantages (compared to other forms of catastrophe risk management) and that insurance securitization is an effective tool for hedging catastrophe risk. In sum, while the relatively modest performance effects of natural catastrophes on insurance firms put a ceiling on the potential benefits of insurance securitization to firms exposed to catastrophe risk, the thesis shows that catastrophe bonds have some benefits for their issuers. Therefore, this thesis argues that insurance securitization is less valuable as a tool for capacity building in the market for catastrophe underwriting and more useful as a tool to realize cost efficacies and hedging benefits for insurance and reinsurance firms.
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Al-Tassan, Fahad. "The importance of ancillary insurance benefits by members of Medicare risk contract insurance plan." Thesis, Boston University, 2000. https://hdl.handle.net/2144/29783.
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Sundin, Jesper. "Risk contribution and its application in asset and risk management for life insurance." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-188873.
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In risk management one important aspect is the allocation of total portfolio risk into its components. This can be done by measuring each components' risk contribution relative to the total risk, taking into account the covariance between components. The measurement procedure is straightforward under assumptions of elliptical distributions but not under the commonly used multivariate log-normal distributions. Two portfolio strategies are considered, the "buy and hold" and the "constant mix" strategy. The profits and losses of the components of a generic portfolio strategy are defined in order to enable a proper definition of risk contribution for the constant mix strategy. Then kernel estimation of risk contribution is performed for both portfolio strategies using Monte Carlo simulation. Further, applications for asset and risk management with risk contributions are discussed in the context of life insurance.<br>En viktig aspekt inom riskhantering är tilldelning av total portföljrisk till tillångsportföljens beståndsdelar. Detta kan åstadkommas genom att mäta riskbidrag, som även kan ta hänsyn till beroenden mellan risktillgångar. Beräkning av riskbidrag är enkel vid antagande om elliptiska fördelningar så som multivariat normalfördelning, men inte vid antagande om multivariat log-normalfördelning där analytiska formler saknas. Skillnaden mellan riskbidragen inom två portföljstrategier undersöks. Dessa strategier är "buy and hold" och "constant mix" (konstant ombalansering). Tilldelning av resultaten hos de olika beståndsdelarna med en generisk portföljstrategi härleds för att kunna definiera riskbidrag för "constant mix" portföljstrategin. "Kernel estimering" används för att estimera riskbidrag genom simulering. Vidare diskuteras applikationer för tillgångs- och riskhantering inom ramen för livförsäkringsbolag.
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Pu, Ming. "Pricing in the actuarial market." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1180097795.
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