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Http Dx Doi Org 10 1080 03461231003703672, 2010

Mathematics

A novel flexible extension of the Chen distribution is defined and studied in this paper. Relevant statistical properties of the novel model are derived. For the actuarial risk analysis and evaluation, the maximum likelihood, weighted least squares, ordinary least squares, Cramer–von Mises, moments, and Anderson–Darling methods are utilized. For actuarial purposes, a comprehensive simulation study is presented using various combinations to evaluate the performance of the six methods in analyzing insurance risks. These six methods are used in evaluating actuarial risks using insurance claims data. Two applications on bimodal data are presented to highlight the flexibility and relevance of the new distribution. The new distribution is compared to several competing distributions. Actuarial risks are analyzed and evaluated using actuarial data, and the ability to disclose actuarial risks is compared by a comprehensive simulation study, through which actuarial disclosure models are compa...

Journal of Insurance and Financial Management, 2022

The theory of economic equilibria is an important part of mathematical economics, and the theory of insurance equilibria a significant special case thereof. The origins of the theory of economic equilibria date back to early 1800's, and it has developed strongly during the last seventy years. The insurance equilibria have been studied since 1970's. We give a literature survey covering the most important research on insurance equilibria since 1980's. After an extensive chapter on the background to economic and insurance equilibria we discuss insurance market equilibrium, reinsurance, insurance markets with asymmetric information, adverse selection, monopolistic / competitive insurance markets, deposit insurance, moral hazard, Internet, signalling, reputation, linear equilibria, Nash equilibria, other research and remarks on the Finnish insurance market. We finish with concluding remarks. The purpose of this paper is to help researchers to discover relevant papers in the field of insurance equilibria.

Insurance: Mathematics and Economics, 2012

This literature review summarizes the results from a collection of research papers that relate to modeling insurance claims and the processes associated with them. We consider work by more than 55 authors, published or presented between 1971 and 2008.

The Geneva Papers on Risk and Insurance - Issues and Practice

Vulnerability comes, according to Orio Giarini, with two risks: human-made risks, also called entrepreneurial risks, and natural or pure risks such as accidents and earthquakes. Both types of risk are growing in dimension and are increasingly interrelated. To control the vulnerability, sophisticated insurance products are called for. Here, mutual insurance is relevant, in particular when risks are large, probabilities uncertain or unknown, and events interrelated or correlated. In this paper the following three examples are discussed and the advantages of mutual insurance are shown: unknown probabilities connected with unforeseeable events, correlated risks and macroeconomic or demographic risks.

As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking network model composed of banks and bank assets and propose a cascading failure model to describe the risk propagation process during crises. We empirically test the model with 2007 US commercial banks balance sheet data and compare the model prediction of the failed banks with the real failed banks after 2007. We find that our model efficiently identifies a significant portion of the actual failed banks reported by Federal Deposit Insurance Corporation. The results suggest that this model could be useful for systemic risk stress testing for financial systems. The model also identifies that commercial rather than residential real estate assets are major culprits for the failure of over 350 US commercial banks during 2008-2011.

Insurance: Mathematics and Economics, 2009

We present mathematical results allowing one to evaluate the moments of order 1 and 2 of the cedent's share in the framework of reinsurance treaties based on ordered claim sizes. These results consist of closed analytical formulas that do not involve any approximation procedure. This is illustrated by numerical examples when the claim number has the Poisson or the negative binomial distribution, and the claim cost has the exponential or the Pareto distribution.

Ekonomski horizonti, 2013

The operation of business insurance companies, based on assuming risks of different profiles, is accompanied by fluctuations in the business environment. The complexity of predicting a financial effect for claims in non-life insurance lies in the structure of insurers' liabilities, whose amount cannot be determined at the time of payment of the premium. By analyzing the key insurance processes, risk theory focuses on modeling claims as the financial consequences of unforeseen events. In addition, it provides the answer as to how much of a premium to charge in order to avoid bankruptcy, which makes it a complex and topical research area. The paper presents the main results of the collective risk model for the key business processes of nonlife insurance companies: the claim number process and the claim amount process. In risk theory, these are treated as stochastic processes, which offers a wide range of possibilities for the modeling and simulation of specific business problems.

Theory and Decision, 2014

Catastrophe insurance differs from regular insurance in that individual claims are correlated and insurers have to pay more clients at once, which creates a liquidity strain. In this paper, I show two related findings: first, that when customers know their claims are correlated, this correlation can cause positive-sloping demand at low prices, and second, that because of this, a catastrophe insurance market can fail. Market failure is a stable equilibrium, which provides a better understanding of the frequent failures in catastrophe insurance markets. Keywords Insurance • Catastrophic risks • Default risk • Catastrophes 1 Introduction In 1981, Hoy and Robson (1981) raised the question whether insurance can be a Giffen good violating the law of demand. This paper revisits the same topic, but from a different angle: the angle of catastrophe insurance. Catastrophe insurance differs from regular insurance in that individual claims are correlated and insurers have to pay more clients at once, thereby often facing a large liquidity strain. A case in point is the aftermath of hurricane Katrina in 2005. After the hurricane caused insured damages in excess of $40 billion, many insurance companies refused to pay claimants, resulting in one of the largest insurance-related class-action The views expressed in this article are those of the author and do not represent the views of Bank of Canada. The material presented is partly based on the author's doctoral dissertation written at Boston College. The author wishes to thank Uzi Segal, Utku Unver, Hideo Konishi, and two anonymous referees for advice and suggestions.

2003

Risk Management and Insurance. Sharon S. Yang. Current Position. .Assistant Professor, Department of Business Mathematics, College of Business, Soochow University, Taipei, Taiwan. (August. 2004). Assistant Professor, Department ...