Tesi sul tema "Life insurance – Finance"

The impact of insurance market activity within financial development is gaining more attention in academia, as the sector experiences growth within emerging markets. This paper aims to understand which macro-economic and social variables impact the growth or decline of the non-life insurance sector broadly across Africa, with a view to provide recommendations to drive increased penetration across the region. The study examines the explanatory factors of non-life insurance demand in Africa, using annual data from 1990 to 2013 on 28 countries. Using Fixed Effects Panel Data Regression, the study finds that: levels of income, and unemployment rates have a significant negative impact on non-life insurance demand; whilst population growth rates, and the level of private sector credit (to GDP) positively impacted non-life insurance demand. Urbanisation rates, and levels of merchandise trade had statistically insignificant effects on non-life insurance demand. Since these variables only explained about 11 % of the variation in the dependent variable, the study suggests that further research into the cultural and institutional (ie. Legal / regulatory) dynamics is required to improve our understanding of what conditions would stimulate non-life insurance demand in future.

Life insurance has over the years emerged as one of the drivers of financial sector development. The savings mobilisation and financial intermediation functions have backed the growing importance of this investment source. Low penetration levels in Zambia have pointed to a vast untapped market and a potential source of financial sector development. Life insurance growth prospects in the country remain optimistic on the back of a growing population and increasing urbanisation. This study examined the impact of selected macroeconomic variables, namely income, inflation and financial development on life insurance demand in Zambia using annual time series secondary data from the period 1995 to 2017. The study utilised the Augmented Dickey-Fuller (ADF) test, Vector Autoregressive model (VAR) Autoregressive Distributed Lag (ARDL) and the Error Correction Model (ECM) in conducting econometric investigations. Findings from the study show that financial development negatively influences life insurance, while inflation has a positive effect at a 5% significance level. Further, the study finds no significant long-term relationship between income and life insurance. However, in the shortrun, a unidirectional causal relationship between life penetration and income exist. In conclusion, the study recommends that the Government prioritises the expansion of the financial sector through the central bank and other regulators in the industry. Policy reforms should be aimed at increasing financial inclusion and deepening the financial sector, as well as increasing access to financial services and products. The study further recommends that life insurance companies should augment Government efforts by increasing sensitisation and marketing of life insurance products and services.

Business Administration/Risk Management and Insurance
Ph.D.
The first part of the dissertation aims to determine whether and how variances in reinsurance relationships impact insurers' financial performance during the sample period of 2002-2012. Such impact on insurers' financial performance is measured by accounting measurements of ROA and ROE and by the efficiency scores (cost, revenue, and profit) estimated using data envelopment analysis (DEA). This essay analyzes how the usage of captive reinsurance affects life insurers’ firm performance using multivariate regression model. Results show that firm performance is negatively related to captive reinsurance arrangements. The second essay analyzes the value effects of mergers and acquisitions (M&As) in the global insurance industry by conducting an event study of M&A transactions that occurred during the period of 1990-2014, including two M&A waves before the financial crisis and the M&A activities after it. Our results show that (1) M&As are value-enhancing for both acquirers and targets over the whole sample period; (2) for acquirers, within-border transactions are more likely to be value-enhancing, while for targets, both cross-border and within-border transactions are value-enhancing; and (3) for acquirers, the cross-industry M&As are more likely to be value-enhancing, while for targets both cross- and within- border M&As are value-enhancing.
Temple University--Theses

In this thesis, I propose that consistency between a business unit’s generic organizational configuration (GOC) and a firm’s functional capability (FC) provides a better explanation of corresponding performance dimension across business units than either factor on its own. I investigate five types of GOC based on a combination of Miles and Snow’s (1978) and Porter’s (1980) typologies, which I map onto four different FCs (DeSarbo et al., 2005) and four different intermediate outcomes. Traditionally, quantitative analysis better matches GOC and qualitative analysis is more suitable for FC (Hoskisson et al., 1999). Instead, I employ fuzzy set qualitative comparative analysis (fsQCA) (Ragin, 1987, 2000), a formal analysis of qualitative evidence and small to medium-N situations using Boolean algebra to study causal complexity focusing on necessary and/or sufficient conditions for a desired outcome. This allows me 1) to explore exactly which combinations of GOC and FC provide sufficient conditions to achieve high levels of related performance dimensions; and 2) to examine equifinality (Fiss, 2007; Ragin, 2008). Based on causal asymmetry, this set theoretic approach is more appropriate to describe social science relationships than correlational tests that assume causal symmetry, the only causal assumption of methodologies available for previous researches (Ragin, 1987, 2000; Fiss, 2011). Therefore, the adoption of this new technique could also solve the methodological gap in this literature that partly leads to equivocal results in prior researches, which in turn mistakenly support falisification attempts for both GOC and FC theories, because these perceived inconsistency in former researches could actually be a normal situation of asymmetrical relationship (equifinality), a true nature of social science relationships. Moreover, fsQCA fits well with small to medium-sized sample that limits the use of traditional quantitative analysis. The context for this study is the Thai non-life insurance industry in 2011, focusing on a single industry in order to avoid the performance variation caused by differing industry conditions in multi-industry research (Conant, Mokwa and Varadarajan, 1990) which might affect the impact of GOC and FC, and to accord with the timing of the hypothesized cause-effect relationship, as well as to represent a novel setting – a service industry in an emerging market. The findings suggest that scholars should consider organizational configuration and capabilities in a more nuanced manner and should assume compatibility between GOC and FC. This shifts the focus from negating and replacing the former with the latter to searching for an appropriate combination of the two, because finding a compatible combination may be more important for generating high performance than either factor individually. This research contributes to academic and practical knowledge of the configuration-performance relationship, enhances explanations of performance and mitigates the equivocal results of previous research studies, as well as supporting the equifinality notion. The results also suggest that these two well-established and parallel research streams are compatible, thereby bridging the gap between them. Furthermore, it suggests that future research should take a more holistic view regarding the creation of competitive advantage through both external (market power of GOC) and internal (efficiency of FC) causal factors. Finally, it will help managers to select a GOC compatible with their FC and to match this combination with an appropriate performance goal.

Thesis (MBA (Business Management))--Stellenbosch University, 2008.
ENGLISH ABSTRACT: There are conflicting aims among the various stakeholders of a business. Shareholders wish to maximise their return on capital, whereas debt holders and customers wish to minimise the risk to capital. This conflict has led to the emergence of economic capital. Financial services companies, such as insurers, manage risk on behalf of their customers and at the same time make profits for the shareholders of the business. A company that employs economic capital analysis will strike a balance between too much capital, which can lead to an excessive cost of insurance, or not enough capital, which can lead to an unacceptable risk of insolvency. Sound financial management is required to manage the capital resources of the business. The aim on the part of management is to calculate an economic capital requirement for the business that can absorb any financial shocks or losses and provide the flexibility needed to continue with day·to·day operations. The issue is therefore whether to assess the amount of capital required based on a statutory view of solvency, or an "economic" (fair value) view of solvency. The statutory view of solvency is the capital adequacy requirement (CAR) as described by the Financial Services Board (FSB). CAR provides the insurer with an approximately 95% confidence in its ability to meet its obligations as they fall. More companies are moving towards an economic capital approach when assessing capital requirements. There is also much uncertainty around the calculation of economic capital. Apart from guidance note 104 of the Actuarial Society of South Africa that stipulates how CAR should be calculated for insurers, no single approach exists for the calculation of economic capital. Calculation methods are still emerging and companies have started to develop their own internal models to calculate economic capital. Rating agencies such as Fitch have introduced their own models with the objective of reviewing insurers' internal models. Various techniques have developed over the last few years to asses a company's capital requirements. Factors such as company size, resources and complexity of the insurer influence the use of deterministic or leading edge actuarial techniques to calculate capital requirements. Stochastic modelling, risk neutral and real world techniques are examples of sophisticated methods. Another element to consider in the calculation of economic capital is the understanding, modelling and quantification of financial and business risks. Capital adequacy requirement, CAR cover and excess of assets over liabilities were analysed for five South African insurers. The analysis illustrated that the relationship between CAR and excess is different for each insurer. This trend can be attributed to the unique risk profile of the business, the nature of the organisation's products and the maturity of risk management practices. The analysis also indicated that in the case of all the five insurers, the growth in excess over the period 2003-2007 exceeded the growth in CAR for the same period. This scenario could be the result of management actions, such as risk diversification and sophistication of capital modeling. It is clear that economic capital is of primary concern to insurance executives, shareholders and regulators.
AFRIKAANSE OPSOMMING: Die verskillende belanghebbendes in 'n onderneming het teenstrydige doelwitte. Aandeelhouers wil hulle kapitaalopbrengs vergroot terwyl skuldaktehouers en klante die kapitaalrisiko wil verminder. Hierdie konflik het gelei tot die ontstaan van ekonomiese kapitaal. Finansiele dienstemaatskappye, soos versekeraars, bestuur risiko namens hulle kliente en verdien terselfdertyd wins vir die aandeelhouers van die onderneming. 'n Maatskappy wat van ekonomiese kapitaalanalise gebruik maak, sal die regte balans vind tussen te veel kapitaal, wat tot buitensporige versekeringskoste kan lei, en te min kapitaal, wat tot 'n onaanvaarbare risiko van bankrotskap kan lei. Gesonde finansiele bestuur is nodig om die onderneming se kapitaalmiddele te bestuur. Die bestuurders se doel is om 'n ekonomiese kapitaalvereiste vir die onderneming vas te stel wat enige finansiele skokke of verliese kan absorbeer en wat die buigsaamheid wat nodig is om die daaglikse werksaamhede voort te sit, kan voorsien. Die vraag is dus of die hoeveelheid kapitaal wat nodig is, bepaal moet word op grond van 'n statutere beskouing van solvensie of 'n "ekonomiese" (billike waarde) beskouing van solvensie. Die statutere beskouing van solvensie is die kapitaaltoereikendheidsvereiste (KTV) soos beskryf deur die Raad op Finansiele Dienste (RFD). KTV voorsien die versekeraar van 'n vertroue van ongeveer 95% in sy vermoe om sy verpligtinge na te kom soos wat hulle betaalbaar word. Meer maatskappye neig na 'n ekonomiese kapitaalbenadering wanneer hulle hulle kapitaalbehoeftes bepaal. Daar bestaan ook baie onsekerheid oor die berekening van ekonomiese kapitaal. Behalwe riglyn 104 van die Aktuariele Vereniging van Suid-Afrika wat bepaal hoe KlV vir versekeraars bereken moet word, is daar geen enkele benadering vir die berekening van ekonomiese kapitaal nie. Nuwe berekeningsmetodes kom steeds te voorskyn en maatskappye het begin om hulle eie interne modelle om ekonomiese kapitaal te bereken, te ontwikkel. Graderingsagentskappe soos Fitch het hulle eie modelle ingestel met die doel om versekeraars se interne modelle te beoordeel. Verskeie tegnieke om 'n maatskappy se kapitaalbehoeftes vas te stel, is oor die afgelope paar jaar ontwikkel. Faktore soos maatskappygrootte, hulpbronne en saamgesteldheid van die versekeraar belnvloed die gebruik van deterministiese of ultramoderne aktuariele tegnieke om kapitaalbehoeftes te bereken. Stogastiese modellering, risikoneutrale- en reelewereldtegnieke is voorbeelde van gesofistikeerde metodes. Nog 'n beginsel om in gedagte te hou in die berekening van ekonomiese kapitaal is die verstaan, modellering en kwantifisering van finansiele en sakerisiko's. Kapitaaltoereikendheidsvereiste-dekking en oorskryding van bates oor aanspreeklikheid van vyf Suid-Afrikaanse versekeraars is ontleed. Die ontleding het geillustreer dat die verhouding tussen KTV en oorskryding vir elke versekeraar anders is. Hierdie neiging kan toegeskryf word aan die unieke risikoprofiel van die onderneming, die aard van die onderneming se produkte en die effektiwiteit van risikobestuurspraktyke. Die ontleding het ook aangedui dat die toename in die oorskryding gedurende die tydperk 2003-2007 in die geval van al vyf die versekeraars meer was as die toename in KTV gedurende dieselfde tydperk. Hierdie scenario kan die gevolg wees van bestuursaksies soos risikodiversifikasie en verfyning van kapitaalmodellering. Dit is duidelik dat ekonomiese kapitaal van pnmere belang is vir versekeringsbestuursbeamptes, -aandeelhouers en -reguleerders.

Mestrado em Finanças
A presente investigação examina os efeitos da recente crise financeira no comportamento individual na procura de seguros e perfis dos segurados (seguros do ramo vida). A investigação empírica é baseada em dados do Survey of Health Ageing and Retirement in Europe (SHARE), wave 2 (2007) e wave 4 (2010). O SHARE destina-se a indivíduos com idade igual ou superior a 50 anos, pelo que apenas foram considerados na presente investigação inquiridos entre os 50 e 86 anos. Foram definidas três amostras: (i) países comuns em ambas as waves (conjunto de 12 países); (ii) novos países estudados na wave 4 (incluindo Portugal); (iii) e mesmo indivíduo inquirido em ambas as waves. As diferentes especificações foram testadas através de modelos Probit, adotando como variável dependente a posse de seguros de vida. Foram ainda estudados dois tipos de seguros de vida que são analisados de forma autónoma pela literatura: term life e whole life. Os resultados obtidos sugerem a existência de alterações comportamentais, após a crise, a nível da procura individual de seguros de vida, pois características como o género, a aversão ao risco financeiro e a situação face ao emprego, ganham importância. Por sua vez, fatores como a existência de filhos e o estado civil perdem relevo. O estudo das categorias de seguro term life e whole life revelou ser uma mais-valia, pois verificam-se distinções no comportamento dos indivíduos que procuram especificamente cada um dos dois tipos. Entre os fatores estudados na procura de seguros de vida destacaram-se: a riqueza real e financeira, a educação e a aversão ao risco financeiro. Variáveis como a idade e o endividamento associado à habitação também se revelaram igualmente importantes, mas essa importância resulta com forte probabilidade de fatores associados à oferta.
This research investigates the effects of the recent financial crisis on individual demand for life insurance. The empirical research is based on Survey of Health Ageing and Retirement in Europe (SHARE), wave 2 (2007) and wave 4 (2010). The SHARE includes for individuals aged equal or higher than 50 years, in the present study the age group considered is 50-86 years. Three samples were defined: (i) countries common in both waves (12 countries); (ii) wave 4 first time SHARE countries (including Portugal); (iii) and panel data with the same individual observed at both waves. The different specifications were tested using Probit models, adopting as the dependent variable having or not life insurance. Two types of life insurance are analyzed independently by literature: term life and whole life. The results suggest the existence of behavioural changes, after crisis, in terms of individual demand for life insurance because characteristics such as gender, aversion to financial risk and employment status gain importance. Meanwhile, factors such as existence of children and marital status lose importance. The study of term life and whole life insurance proved to be an added value to the research because there are distinctions in the behavior of individuals demanding specifically each one of these two insurance types. Among the studied predictors of individual life insurance the more relevant are: real and financial wealth, education and aversion to financial risk. Variables like age and house debt also proved equally important, but this importance have strong probability of being associated with supply factors.

Thesis (MBA)--Stellenbosch University, 2007.
AFRIKAANSE OPSOMMING: In Februarie 2000 het die Minister van Finansies aangekondig dat die regering besluit het om 'n inflasie teiken van 3 tot 6 persent vir 2002 daar te stel en het dus 'n beleid om 'n bepaalde inflasiekoers na te streef, aangeneem. 'n Eksplisiete lae inflasiekoersteiken is gestel as deel van die regering se ekonomiese beleid. Dit is 'n aanvaarde aanname dat hierdie teikenkoers vir die afsienbare toekoms sal geld. Veranderinge in die inflasiekoers, ongeag of dit na hoer of laer vlakke beweeg, het 'n invloed op hoe bateklasse reageer. Dit is dus belangrik dat beleggers die dinamika van inflasie verstaan en hoe dit beleggingsopbrengste bernvloed. Dit sal hulle help om deurdagte beleggingsbesluite te neem en om realistiese verwagtinge van be leggings - en polisopbrengste te he. Vir verskaffers van beleggingsprodukte in Suid-Afrika, veral die lewensversekeringsindustrie, is daar twee beduidende uitdagings in die huidige omgewing van lae rentekoerse en lae inflasie: om 'n winsgewende kontantvloei te genereer en om aan kliente se verwagtinge te valdoen. Volgens kliente is daar in die onlangse verlede nie aan hul verwagtinge valdoen nie, aangesien il1lustratiewe uitkeerwaardes wat gekwoteer is toe die polis uitgeneem is, nie geldig is in die huidige lae-inflasie omgewing nie. Kliente is ook teleurgesteld met huidige nomina Ie opbrengste wat laer is wat voorheen bereik is. Alhoewe[ dit algemeen aanvaar word dat 'n lae en stabiele inflasiekoers 'n voorvereiste is vir volhoubare ekonomiese groei en vooruitgang. verander dit die beleggingsomgewing vir private beleggers, verskaffers van beleggingsprodukte en beheerliggame. Hierdie verslag ondersoek die impak van lae inflasie op beleggingsopbrengste asook die implikasie daarvan vir beleggers, beleggingsproduk-verskaffers en beheerliggame in die finansiele dienstesektor in Suid-Afrika.

In the United States, 20% of newly established small businesses, including small businesses in the life insurance industry, fail within 2 years, and over 50% of them fail during the first 5 years. The purpose of this multiple case study was to identify and explore the strategies that life insurance brokerage owners use to sustain business operations beyond 5 years. Porter's 5 forces model served as the conceptual framework for exploring this subject matter. Owners of 3 separate small life insurance brokerage firms in Texas, who sustained their businesses beyond 5 years, participated in semistructured interviews. A secondary source of data was relevant company documents. Methodological triangulation and member checking assured the reliability and validity of the interpretations. Through thematic analysis and supporting software, 5 themes emerged: exceptional customer service, relationship-building, efficient promotional strategies, regular training of salespersons, and hiring the right employees. The application of the findings of the study could contribute to positive social change by reducing unemployment and thereby catalyzing an economic environment supporting employees, families, and communities.

L'actuariat non-vie étudie les différents aspects quantitatifs de l'activité d'assurance. Cette thèse vise à expliquer sous différentes perspectives les interactions entre les différents agents économiques, l'assuré, l'assureur et le marché, sur un marché d'assurance. Le chapitre 1 souligne à quel point la prise en compte de la prime marché est importante dans la décision de l'assuré de renouveler ou non son contrat d'assurance avec son assureur actuel. La nécessitéd'un modèle de marché est établie. Le chapitre 2 répond à cette problématique en utilisant la théorie des jeux non-coopératifs pour modéliser la compétition. Dans la littérature actuelle, les modèles de compétition seréduisent toujours à une optimisation simpliste du volume de prime basée sur une vision d'un assureur contre le marché. Partant d'un modèle de marché à une période, un jeu d'assureurs est formulé, où l'existence et l'unicité de l'équilibre de Nash sont vérifiées. Les propriétés des primes d'équilibre sont étudiées pour mieux comprendre les facteurs clés d'une position dominante d'un assureur par rapport aux autres. Ensuite, l'intégration du jeu sur une période dans un cadre dynamique se fait par la répétition du jeu sur plusieurs périodes. Une approche par Monte-Carlo est utilisée pour évaluer la probabilité pour un assureur d'être ruiné, de rester leader, de disparaître du jeu par manque d'assurés en portefeuille. Ce chapitre vise à mieux comprendre la présence de cycles en assurance non-vie. Le chapitre 3 présente en profondeur le calcul effectif d'équilibre de Nash pour n joueurs sous contraintes, appelé équilibre de Nash généralisé. Il propose un panorama des méthodes d'optimisation pour la résolution des n sous-problèmes d'optimisation. Cette résolution sefait à l'aide d'une équation semi-lisse basée sur la reformulation de Karush-Kuhn-Tucker duproblème d'équilibre de Nash généralisé. Ces équations nécessitent l'utilisation du Jacobiengénéralisé pour les fonctions localement lipschitziennes intervenant dans le problème d'optimisation.Une étude de convergence et une comparaison des méthodes d'optimisation sont réalisées.Enfin, le chapitre 4 aborde le calcul de la probabilité de ruine, un autre thème fondamentalde l'assurance non-vie. Dans ce chapitre, un modèle de risque avec dépendance entre lesmontants ou les temps d'attente de sinistre est étudié. De nouvelles formules asymptotiquesde la probabilité de ruine en temps infini sont obtenues dans un cadre large de modèle de risquesavec dépendance entre sinistres. De plus, on obtient des formules explicites de la probabilité deruine en temps discret. Dans ce modèle discret, l'analyse structure de dépendance permet dequantifier l'écart maximal sur les fonctions de répartition jointe des montants entre la versioncontinue et la version discrète.

Dans un marché de l'assurance vie en Afrique subsaharienne francophone à la traîne, mais promis à un bel avenir en cas d'émergence de solutions techniques et commerciales endogènes, la thèse propose des outils théoriques et opérationnels adaptés à son développement. Cette démarche s'inscrit en parallèle des actions entreprises par l'autorité de contrôle régionale (la CIMA) pour fournir aux assureurs de la région des outils adaptés. En effet, la CIMA a initié des travaux pour la construction de nouvelles tables réglementaires d'expérience, ce qui a permis de fournir des références fiables et pertinentes pour la mortalité de la population assurée dans la région. Toutefois, certaines problématiques techniques utiles n'ont pas été développées dans ces travaux de construction. La thèse leur accorde alors une attention particulière. Ainsi, d'une part, la thèse permet de fournir des outils pour tenir compte des différences de mortalité entre pays de la région, tout en limitant les risques systématiques liés aux fluctuations d'échantillonnage (dues à la petite taille des échantillons de données par pays). Il apparaît notamment que si la modélisation indépendante de chaque pays n'est pas appropriée, les modèles d'hétérogénéité à facteurs observables, tels que le modèle de Cox ou de Lin et Ying, permettent d'atteindre cet objectif. On précise toutefois ici que ces modèles d'hétérogénéité ne permettent pas de supprimer le risque systématique lié aux fluctuations d'échantillonnage lors de l'estimation du modèle, ils engendrent seulement une réduction de ce risque en contrepartie d'une augmentation du risque systématique lié au choix du modèle. D'autre part, la thèse permet également de fournir des outils pour modéliser la mortalité d'expérience future dans la région. En absence de données sur les tendances passées de la mortalité d'expérience, ni le modèle classique de Lee-Carter ni ses extensions ne sont applicables. Une solution basée sur un ajustement paramétrique, une hypothèse sur la forme de l'évolution du niveau de mortalité (évolution linaire ou exponentielle) et un avis d'expert sur l'espérance de vie générationnelle à un âge donné est alors proposée (ces travaux s'appuient sur le modèle de Bongaarts). Ensuite, dans un second temps, en supposant disposer de données sur les tendances passées (ce qui pour mémoire n'est pas le cas à ce stade dans la région, mais devrait l'être dans les prochaines années), la thèse propose une modélisation de la mortalité future à partir d'une référence de mortalité externe et une analyse des risques systématiques associés (risques liés aux fluctuations d'échantillonnage et au choix de la référence de mortalité).

Esta tesis doctoral se enmarca en un novedoso mercado basado en la compra/venta de pólizas de vida donde se comercializan dos tipos de productos: el Viatical y el Settlement. Un primer análisis se centra en el desarrollo de unos modelos económicos de optimización basados en la maximización de la utilidad esperada de un tomador para determinar si resulta óptimo o no vender su póliza de vida en el mercado secundario. La venta de la póliza viene determinada por múltiples factores personales y de mercado del tomador del seguro de vida. Un segundo análisis se centra en la definición de los riesgos a los que incurre el inversor al invertir tanto en Viaticals como en Life Settlements. Se destaca el riesgo de longevidad, muy elevado en este tipo de operaciones. Se propone, por tanto, la medición de dicho riesgo mediante un instrumento denominado modified life extension duration.
This thesis focuses on a new market where the policyholder can sell his life insurance policy by hiring two kinds of contracts: a Viatical if the insured is a terminally ill person or a Life Settlement if he is impaired. A first study concerns the optimal decision rules for a policyholder who wants to sell his life insurance policy. We present two economic models, the first model is focused on Viaticals and is treated in discrete setting, the second model is focused on Life Settlements and should be treated in continuous time. In both models a terminally ill/impaired policyholder has to decide whether or not to sell his life insurance policy in the secondary market and in case of selling it when it is optimally better to do it. A second study concerns the risks assumed by the investor in Viaticals or Life Settlements. The main risk is the longevity risk. We propose a measure to value this risk called modified life extension duration. This measure determines the loss in the Life Settlement/Viatical value because of an increase of the life expectancy of the insured.

Cette thèse traite plusieurs aspects des risques financiers liés aux contrats d’assurance vie. Elle étudie trois sujets distincts et est composée en six chapitres qui peuvent être lus indépendamment. Le comportement de l’assuré est un risque majeur pour les assureurs dans le cadre de produits d’assurance vie comme les annuités variables. Ainsi, nous nous penchons dans les premiers chapitres sur le comportement optimal pour deux classes de produits commercialisés. Nous traitons le cas du rachat total pour les « guaranteed minimum account benefits » (GMAB), et le retrait optimal dans le cadre des « guaranteed minimum income benefit » (GMIB). Le troisième chapitre est dédié au management et à la couverture d’une classe de produits à unité de compte également commercialisés par les assurances.Le second sujet consiste en un chapitre et traite l’exécution optimal d’un large portefeuille d’options. En effet, les produits d’assurance vie sont partiellement couverts statiquement par la détention d’options vanilles. Nous considérons le cas où la taille des trades affecte le prix des options et cherchons à définir la stratégie optimale permettant de minimiser le coût de l’acquisition de ce portefeuille de couverture, en prenant en compte l’impact de marché.Enfin, le dernier thème de la thèse étudie le processus de volatilité. A cet effet, nous utilisons deux types d’estimateurs. En l’absence de données haute fréquence, les estimateurs dit de « range » permettent de revérifier que la volatilité est rugueuse. Ensuite, en utilisant les prix d’options, la volatilité implicite et une version raffinée de cette dernière permettent encore une fois d’aboutir à la même conclusion
This thesis tackles several aspects of financial risks encountered in the life insurance industry and particularly in a class of the products insurers offer; namely variable annuities and unit-linked products. It consists of three distinct topics and is split into six chapter that can be read independently.In variable annuities (VAs), policyholders’ behavior is a major risk for the insurer that affects life insurance industry in almost every aspect. The first two chapters of this first part deal with policyholders’ optimal policyholder for two VAs products. We address the rational lapse behavior in the guaranteed minimum account benefit (GMAB), and optimal withdrawals in the guaranteed minimum income benefit (GMIB). The third chapter is dedicated to a class of unit-linked products from a managing and hedging point of view. The second topic consists of one chapter and addresses the optimal execution of a large book of options. Typically, life insurance products are partially hedged using vanilla options. We consider the case where trades are affected by the traded quantity, and seek to find an optimal strategy that minimizes the expected cost and the mean-variance criterion.Finally, in the last topic we study the volatility process using two different proxies. First, range based estimators that rely on the asset price range data allow us to double-check that volatility is a rough process in the sense that it has a scaling parameter H less than 1/2. Then, using short time-to-maturity implied volatility, and a refined version of it, allows us to confirm that the rough aspect of volatility is universal along different proxies

The aim of this thesis is to describe particular financial products and compare them from the evaluation point of view. We also will review these products from the perspective of clients who differ in investment and saving attitude. We will focus on czech households and describe their habits in area of financial products and examine their behaviour during a time period in relation to phases of economic cycles and other exogenous variables. We also will describe functioning of financial system and focus on information asymmetry between houselholds and financial institutions. Further we will look at examples of moral hazard done by financial institutions. The conclusion of this thesis provides recommendations of suitable products for each client.

La présente thèse est composée d’un ensemble de travaux de recherche en économie appliquée qui s’inscrivent dans le champ contemporain de l’économie de l’assurance. La thèse s’interroge sur comment les pays en développement pourraient développer davantage le secteur d’assurance afin de bénéficier des effets sur l’économie domestique. La première partie de la thèse analyse les déterminants macroéconomiques du développement du secteur d’assurance. Premièrement, les résultats montrent que l'augmentation du revenu par habitant conduit à une augmentation des primes d'assurance-vie et l’assurance-vie est un bien de luxe en Afrique Subsaharienne (chapitre 2). On trouve également des preuves que l’impact marginal du revenu dépend de la qualité de l'environnement juridique et politique. Deuxièmement, l’analyse de l’effet des IDE montre que, ceux-ci constituent un facteur clé dans l'augmentation des primes d'assurance non-vie à la fois dans les pays d’Afrique Subsaharienne (ASS) et dans les autres pays en développement (chapitre 3). Troisièmement, les activités d’assurance-vie et bancaire sont substituables en ASS, cependant les résultats indiquent une causalité unidirectionnelle allant du crédit bancaire au secteur privé vers le développement des activités d’assurance-vie (chapitre 4). La deuxième partie de la thèse analyse l’impact du développement du secteur d’assurance sur l’économie des pays en développement. Premièrement, il apparaît que le développement de l'assurance-vie a un effet positif sur la croissance économique dans les pays en développement d'une part et d'autre part, l’effet marginal de l’assurance-vie est influencé par les caractéristiques structurelles des pays (chapitre 5). Les primes d'assurance augmentent de façon significative la valeur des titres négociés sur le marché financier aussi bien avant et après la crise de 2007(chapitre 6). Troisièmement, la thèse a montré qu’il existe une relation à long terme entre le développement de l’assurance non-vie et l’ouverture commerciale et que les primes d'assurance non-vie améliorent l'ouverture au commerce international aussi bien dans les pays en développement que spécifiquement dans les pays à faible et moyen revenu (chapitre 7)
This thesis is composed of a set of research in applied economics that enroll in the contemporary field of economics of insurance. The thesis analyses how developing countries could develop more the insurance sector and benefit from these effects on local economy. The first part explored the determinants of insurance development from a macroeconomic perspective. First, the results show that increase of income per capita leads to an increase in life insurance premiums and that life insurance is a luxury commodity in Sub-Saharan Africa (chapter 2). We also find evidence that the marginal impact of income varies according to the quality of legal and political environment. Second, analysis of effect of the FDI inflows shows that these are a key factor in increase of non-life insurance premiums in countries of Sub-Saharan Africa (SSA) and in other developing countries (chapter 3). In chapter 4, the results highlighted that the activities of life insurance and banking are substitutable in SSA and, however, there is presence of unidirectional causality running from real private credit density to life insurance and insurance density. The second part of the thesis has analysed effect of development of insurance sector on economy in developing countries. First, it appears that the development of life insurance has a positive effect on economic growth on the one hand and on the other hand marginal effect of life insurance is influenced by the structural characteristics of countries (chapter 5). In chapter 6, the results showed that the insurance premiums significantly increase stock market value traded, before as well and after the 2007's economic crisis. Finally, the thesis showed that there is a long term relationship between the development of non-life insurance and trade openness and that non-life insurance premiums improve openness to international trade as well in developing countries than specifically in low and middle income countries (chapter 7)

Cette thèse est une contribution à la réflexion sur les implications de la période prolongée de faible taux d’intérêt sur l’Assurance vie et les conséquences sur la stabilité financière induites par le comportement d’investissement des firmes de la branche. Le premier chapitre est consacré à l'identification des causes et l'évaluation des conséquences de l'impact de l'actuel contexte de taux sur les performances sectorielles. A l’aide de modèles économétriques, nous observons que les assureurs engagés dans les activités d'assurance vie traditionnelle sont, pour la période postérieure à la crise financière globale, plus sensibles aux variations de taux d'intérêt que leurs homologues non-vie. Le deuxième chapitre est dédié au recensement des déterminants et des preuves d'une réallocation potentielle des placements assurantiels en faveur d'actifs risqués, susceptible d'aider les compagnies à stimuler une vigueur financière déclinante. Grâce à des données sectorielles issues de la base SHS que nous re-ventilons par note de crédit, nous constatons que la part croissante d'actifs de moindre qualité dans l’encours obligataire public des assureurs et des fonds de pension européens ne s'explique principalement pas par une montée de la prise de risque mais par des dégradations de ratings. Le troisième chapitre est axé sur l'examen des implications du choix d'investissement des institutions assurantielles, effectué dans un environnement de taux contraignant, sur la stabilité financière. Sur la base d’une analyse économétrique, nous remarquons que la contribution au risque systémique des assureurs, particulièrement ceux engagés dans la fourniture d'assurance vie traditionnelle, provient des catégories d'actifs les moins rémunérateurs. Ce résultat, a priori contre-intuitif, pourrait possiblement s'expliquer par les difficultés des institutions assujetties à de rigoureuses contraintes prudentielles à saisir des opportunités d'investissement non obligataire susceptibles de relâcher les pressions financières exercées par la période prolongée de faible taux d'intérêt
This thesis is a contribution to the reflection on the implications of the prolonged period of low interest rates on life insurance and the consequences on financial stability induced by the investment behavior of firms in the sector. The first chapter is devoted to identifying the causes and assessing the consequences of the impact of the current interest rate environment on sector performance. Using econometric models, we observe that insurers engaged in traditional life insurance activities are, for the period following the global financial crisis, more sensitive to interest rate variations than their non-life counterparts The second chapter is dedicated to identifying the determinants and evidence of a potential reallocation of insurance investments to risky assets, which could help companies to stimulate declining financial strength. Using sectoral data from the SHS database, which we re-analyze by credit rating, we find that the increasing share of lower quality assets in the public bond stock of European insurers and pension funds is not mainly explained by an increase in risk taking but by rating downgrades. The third chapter focuses on examining the implications of the investment choices of insurance institutions, made in a constrained rate environment, on financial stability. Based on an econometric analysis, we find that the contribution to systemic risk of insurers, particularly those engaged in the provision of traditional life insurance, comes from the least remunerative asset classes. This result, a priori counter-intuitive, could possibly be explained by the difficulties of institutions subject to strict prudential constraints to seize non-bond investment opportunities that could relieve the financial pressure exerted by the prolonged period of low interest rates

The purpose of this dissertation is to solve an optimal investment, consumption and life insurance problem described by jump-diffusion processes in two settings. First, we consider a problem with random parameters of a wage earner who wants to save to his beneficiary for his death. Using one risk-free asset and one risky asset price given by a geometric jump-diffusion process, we obtain the optimal strategy via the dynamic programming approach, combining the Hamilton-Jacobi-Bellman equation with a backward stochastic differential equation with jumps. Secondly, we discuss the optimal investment, consumption and life insurance problem with capital constraints. The problem consists of one risk-free asset and two risky asset prices defined in an independent Brownian motion and Poisson process. We derive the optimal strategy of the unconstrained problem via martingale approach, from which, the problem with capital constraint is solved applying the option based portfolio insurance method.
Dissertation (MSc)--University of Pretoria, 2016.
Mathematics and Applied Mathematics
MSc
Unrestricted

碩士
淡江大學
保險學系保險經營碩士班
92
“Trust” is a property management system based on fiduciary relation for the benefits of others or himself. Trust allows people grant the right to trustee to transfer, manage, and take disciplinary action against his or her property. Because trust has great flexibility in its application and possessing functions, trust becomes one of the tools for personal financial management. “Life insurance” is a economic life stable system based on assure insurance beneficiary. The Life Claim Trust connects with function of life insurance and trust, that achieves the property disposition, the management, utilizes and protects the underage children basically to live. Because of the 921 earthquake and china airline, it shows more importance from life insurance claim enter account. Therefore the trust enterprise sets up this commodity also for the domestic new seed''s trust business one in progression, but the idea not yet popularizes, therefore also waits for the promotion. The main theme of this paper is first focused on discusses definition life insurance claim trust, again aims at the trust enterprise to promote contract of content analysis and the comparison the commodity, proposing enterprise is promoting with the consumer plans this commodity to be supposed the matters needing attention. Finally, it puts forward the proposal to the present life insurance claim trust operation.

The key objective of insurance company on money management is asset liability management, as policy asset is solely for paying policy liability. It is true whether it is in case of life insurance, general insurance, or reinsurance. The difficulty of achieving such objective is that the exact cash flow and the exact duration of policy liability are unknown ex ante that requires the asset manager's a good quantitative, financial skill. What is worse is that the variations of cash flow and duration can be huge that is demanding on the asset manager's quantitative, financial skill. Quantitative problem is difficult but qualitative problem can be even more difficult. The specialist problem in insurance industry, which is also known as agency problem in information economics, is notorious. It is because a specialist may no longer work for the insurance company when the long term liability is due and the existing liability portfolio is always composed of myriad policies liability.
The purpose of this thesis is to try to provide solutions to three critical problems in insurance industry. (1) China is the most booming country for insurance at the moment. So, it is selected for discussing about the most difficult problem in modern finance---specialist problem. A structural approach is devised in this thesis to solve such problem. The solution can be generalized to all countries. (2) As many people argue about that modern finance is inapplicable to emerging market, such as China, especially when there are capital account and currency controls, the bond market of China is selected to provide evidence that modern finance is applicable to emerging market even both the capital account and the currency of the country are controlled by the government. (3) The last part of this thesis provides a breakthrough solution to price insurer default option, an embedded option, in insurance company using observable credit default swap price, as the traditional approach needs statistical assumption that is subjective.
Li, Wing Ping Desmond.
Adviser: Frank Youhua Chen.
Source: Dissertation Abstracts International, Volume: 70-06, Section: A, page: 2169.
Thesis (Ph.D.)--Chinese University of Hong Kong, 2008.
Includes bibliographical references (leaves 64-65).
Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Abstracts in English and Chinese.
School code: 1307.

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2015.
The main purpose of the study is to determine which value drivers of economic value added (EVA) are most important. That is, what are the main determinants of the overall company value? The three main questions raised in the study are: (1) How sensitive is total EVA to changes in each of the various value drivers? (2) Which of the value drivers are more important in managing economic value? (3) Is there a combination of these value drivers that best explain EVA as a group? The study, which adopts the Stewart (1991) definition of EVA, covers the life insurance sector in South Africa, specifically focusing on the following companies: Discovery Holdings, Liberty Holdings, MMI Holdings, Old Mutual plc, and Sanlam Ltd. It covers the period 2004-2014 and uses variance analysis and principal component analysis to identify the main drivers of EVA. Five main drivers of EVA were identified namely; underwriting, asset management, costs, opportunity cost and strategic investments.

碩士
南臺科技大學
高階主管企管碩士班
106
Abstract Recently, domestic finance holding companies have started up one after another, competing and contending in the limited market of property insurance in Taiwan. Now, finance holding companies should maintain their long-term operating advantages and keep developing innovative strategies of marketing. Further, insurance services like one stop shopping should be provided to clients by using marketing channels, information of clients, business locations, physical facilities and business model. Property insurance companies which are subsidiaries of finance holding groups should make good use of the group resources to reach cross selling, increasing revenue, keeping cost down and further making maximum synergy and resource sharing. In this way, companies can obtain competitive advantages and create benefits. This research aims to analyze by referring to the business performance from 2012 to 2017 of a domestic property insurance company, including the data of performance and statistical trend of different channels and insurance categories. The purpose of the study is to investigate how the property insurance company, a subsidiary of a finance holding group, make use of group resources to achieve cross selling, and reach expected goal of synergy. Outcome of practice shows that cross selling makes a positive effect on increasing business performance. Keywords: finance holding, property insurance, cross selling, synergy

A thesis submitted in partial fulfillment of the requirements for the degree of Doctor in Information Management, specialization in Statistics and Econometrics
The modelling, measurement, and management of systemic financial stability remains a critical issue in most countries. Policymakers, regulators, and managers depend on complex models for financial stability and risk management. The models are compelled to be robust, realistic, and consistent with all relevant available data. This requires great data disclosure, which is deemed to have the highest quality standards. However, stressed situations, financial crises, and pandemics are the source of many new risks with new requirements such as new data sources and different models. This dissertation aims to show the data quality challenges of high-risk situations such as pandemics or economic crisis and it try to theorize the new machine learning models for predictive and longitudes time series models. In the first study (Chapter Two) we analyzed and compared the quality of official datasets available for COVID-19 as a best practice for a recent high-risk situation with dramatic effects on financial stability. We used comparative statistical analysis to evaluate the accuracy of data collection by a national (Chinese Center for Disease Control and Prevention) and two international (World Health Organization; European Centre for Disease Prevention and Control) organizations based on the value of systematic measurement errors. We combined excel files, text mining techniques, and manual data entries to extract the COVID-19 data from official reports and to generate an accurate profile for comparisons. The findings show noticeable and increasing measurement errors in the three datasets as the pandemic outbreak expanded and more countries contributed data for the official repositories, raising data comparability concerns and pointing to the need for better coordination and harmonized statistical methods. The study offers a COVID-19 combined dataset and dashboard with minimum systematic measurement errors and valuable insights into the potential problems in using databanks without carefully examining the metadata and additional documentation that describe the overall context of data. In the second study (Chapter Three) we discussed credit risk as the most significant source of risk in banking as one of the most important sectors of financial institutions. We proposed a new machine learning approach for online credit scoring which is enough conservative and robust for unstable and high-risk situations. This Chapter is aimed at the case of credit scoring in risk management and presents a novel method to be used for the default prediction of high-risk branches or customers. This study uses the Kruskal-Wallis non-parametric statistic to form a conservative credit-scoring model and to study its impact on modeling performance on the benefit of the credit provider. The findings show that the new credit scoring methodology represents a reasonable coefficient of determination and a very low false-negative rate. It is computationally less expensive with high accuracy with around 18% improvement in Recall/Sensitivity. Because of the recent perspective of continued credit/behavior scoring, our study suggests using this credit score for non-traditional data sources for online loan providers to allow them to study and reveal changes in client behavior over time and choose the reliable unbanked customers, based on their application data. This is the first study that develops an online non-parametric credit scoring system, which can reselect effective features automatically for continued credit evaluation and weigh them out by their level of contribution with a good diagnostic ability. In the third study (Chapter Four) we focus on the financial stability challenges faced by insurance companies and pension schemes when managing systematic (undiversifiable) mortality and longevity risk. For this purpose, we first developed a new ensemble learning strategy for panel time-series forecasting and studied its applications to tracking respiratory disease excess mortality during the COVID-19 pandemic. The layered learning approach is a solution related to ensemble learning to address a given predictive task by different predictive models when direct mapping from inputs to outputs is not accurate. We adopt a layered learning approach to an ensemble learning strategy to solve the predictive tasks with improved predictive performance and take advantage of multiple learning processes into an ensemble model. In this proposed strategy, the appropriate holdout for each model is specified individually. Additionally, the models in the ensemble are selected by a proposed selection approach to be combined dynamically based on their predictive performance. It provides a high-performance ensemble model to automatically cope with the different kinds of time series for each panel member. For the experimental section, we studied more than twelve thousand observations in a portfolio of 61-time series (countries) of reported respiratory disease deaths with monthly sampling frequency to show the amount of improvement in predictive performance. We then compare each country’s forecasts of respiratory disease deaths generated by our model with the corresponding COVID-19 deaths in 2020. The results of this large set of experiments show that the accuracy of the ensemble model is improved noticeably by using different holdouts for different contributed time series methods based on the proposed model selection method. These improved time series models provide us proper forecasting of respiratory disease deaths for each country, exhibiting high correlation (0.94) with Covid-19 deaths in 2020. In the fourth study (Chapter Five) we used the new ensemble learning approach for time series modeling, discussed in the previous Chapter, accompany by K-means clustering for forecasting life tables in COVID-19 times. Stochastic mortality modeling plays a critical role in public pension design, population and public health projections, and in the design, pricing, and risk management of life insurance contracts and longevity-linked securities. There is no general method to forecast the mortality rate applicable to all situations especially for unusual years such as the COVID-19 pandemic. In this Chapter, we investigate the feasibility of using an ensemble of traditional and machine learning time series methods to empower forecasts of age-specific mortality rates for groups of countries that share common longevity trends. We use Generalized Age-Period-Cohort stochastic mortality models to capture age and period effects, apply K-means clustering to time series to group countries following common longevity trends, and use ensemble learning to forecast life expectancy and annuity prices by age and sex. To calibrate models, we use data for 14 European countries from 1960 to 2018. The results show that the ensemble method presents the best robust results overall with minimum RMSE in the presence of structural changes in the shape of time series at the time of COVID-19. In this dissertation’s conclusions (Chapter Six), we provide more detailed insights about the overall contributions of this dissertation on the financial stability and risk management by data science, opportunities, limitations, and avenues for future research about the application of data science in finance and economy.

碩士
國立中山大學
高階經營碩士班
100
This study is to investigate the factors for successful training programs in the life insurance industry. From the aspects of curriculum design, instructors’ arrangements, and trainers’ self-evaluation on their efforts in the training program, this study analyzed the trained and on-schedule promoted trainers to understand how much the trainers identify with the program arrangements. This study further pointed out that, on the premise of the same instructors and curriculum, the trainees’ quality and how their supervisors do the mentoring determine if the training program will succeed. This study used the survey and randomly chose 180 trainees to be the research participants, with 143 valid responses. This study concludes some trainees’ and their supervisors’ qualities that tend to generate the training success. The qualities will be used as some referential indicators for recruitment and adjusting curriculum in the future.

碩士
國立東華大學
企業管理學系
94
Abstract: This research bases on personality specialty and demography to create the cause-effect model of leadership, organizational culture, organizational commitment, organizational learning, knowledge management, and the organizational performance. Finally, through the application of structural equation modeling, probe into the leadership, organizational cultures, organizational commitment, organizational learning, knowledge management, and the organizational performance in real world. Through empirical example analysis, this research can get most of every variable, and understand the variable and variable existence relation and intensity of one. The result of this study is helpful life insurance finance industries factory according to different industries and companies to fond their own strategies. And the overall qualitative control and variables of leadership, organizational cultures, organizational commitment, organizational learning, knowledge management, and the organizational performance, can be the foundation of the relevant topic for other researchers.