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Author: Georges Dionne Publisher: Springer Science & Business Media ISBN: 9401711682 Category : Business & Economics Languages : en Pages : 536
Book Description
For a number of years, I have been teaching and doing research in the economics of uncertainty, information, and insurance. Although it is now possible to find textbooks and books of essays on uncertainty and in formation in economics and finance for graduate students and researchers, there is no equivalent material that covers advanced research in insurance. The purpose of this book is to fill this gap in literature. It provides original surveys and essays in the field of insurance economics. The contributions offer basic reference, new material, and teaching supple ments to graduate students and researchers in economics, finance, and insurance. It represents a complement to the book of readings entitled Foundations of Insurance Economics - Readings in Economics and Finance, recently published by the S.S. Huebner Foundation of Insurance Education. In that book, the editors (G. Dionne and S. Harrington) disseminate key papers in the literature and publish an original survey of major contributions in the field.
Author: Georges Dionne Publisher: Springer Science & Business Media ISBN: 9401711682 Category : Business & Economics Languages : en Pages : 536
Book Description
For a number of years, I have been teaching and doing research in the economics of uncertainty, information, and insurance. Although it is now possible to find textbooks and books of essays on uncertainty and in formation in economics and finance for graduate students and researchers, there is no equivalent material that covers advanced research in insurance. The purpose of this book is to fill this gap in literature. It provides original surveys and essays in the field of insurance economics. The contributions offer basic reference, new material, and teaching supple ments to graduate students and researchers in economics, finance, and insurance. It represents a complement to the book of readings entitled Foundations of Insurance Economics - Readings in Economics and Finance, recently published by the S.S. Huebner Foundation of Insurance Education. In that book, the editors (G. Dionne and S. Harrington) disseminate key papers in the literature and publish an original survey of major contributions in the field.
Author: Georges Dionne Publisher: Springer Science & Business Media ISBN: 1461401550 Category : Business & Economics Languages : en Pages : 1133
Book Description
This new edition of the Handbook of Insurance reviews the last forty years of research developments in insurance and its related fields. A single reference source for professors, researchers, graduate students, regulators, consultants and practitioners, the book starts with the history and foundations of risk and insurance theory, followed by a review of prevention and precaution, asymmetric information, risk management, insurance pricing, new financial innovations, reinsurance, corporate governance, capital allocation, securitization, systemic risk, insurance regulation, the industrial organization of insurance markets and other insurance market applications. It ends with health insurance, longevity risk, long-term care insurance, life insurance financial products and social insurance. This second version of the Handbook contains 15 new chapters. Each of the 37 chapters has been written by leading authorities in risk and insurance research, all contributions have been peer reviewed, and each chapter can be read independently of the others.
Author: Christian Gollier Publisher: Springer Science & Business Media ISBN: 9401724407 Category : Business & Economics Languages : en Pages : 147
Book Description
Expected utility provides simple, testable properties of the optimum behavior that should be displayed by risk-averse individuals in risky decisions. Simultaneously, given the existence of paradoxes under the expected utility paradigm, expected utility can only be regarded as an approximation of actual behavior. A more realistic model is needed. This is particularly true when treating attitudes toward small probability events: the standard situation for insurable risks. Non-Expected Utility and Risk Management examines whether the existing results in insurance economics are robust to more general models of behavior under risk.
Author: John Quiggin Publisher: Springer Science & Business Media ISBN: 9780792393023 Category : Business & Economics Languages : en Pages : 234
Book Description
Economic analysis of choice under uncertainty has been dominated by the expected utility (EU) model, yet the EU model has never been without critics. Psychologists accumulated evidence that individual choices under uncertainty were inconsistent with the predictions of the EU model. Applied work in areas such as finance was dominated by the simpler mean-variance analysis. In the 1980s this skepticism was dispelled as a number of generalizations of EU were proposed, most of which were capable of explaining evidence inconsistent with EU, while preserving transitivity and dominance. Generalized expected utility is now a flourishing subfield of economics, with dozens of competing models and considerable literature exploring their theoretical properties and comparing their empirical performance. But the EU model remains the principal tool for the analysis of choice under uncertainty. There is a view that generalized models are too difficult to handle or incapable of generating sharp results. This creates a need to show that the new models can be used in the kinds of economic analysis for which EU has been used, and that they can yield new and interesting results. This book meets this need by describing one of the most popular generalized models -- the rank-dependent expected utility model (RDEU), also known as anticipated utility, EU with rank-dependent preferences, the dual theory of choice under uncertainty, and simply as rank-dependent utility. As the many names indicate, the model has been approached in many ways by many scientists and for this reason, consideration of a single model sheds light on many of the concerns that have motivated the development of generalized utility models. The popularity of the RDEU model rests on its simplicity and tractability. The standard tools of analysis developed for EU theory may be applied to the RDEU model, but since RDEU admits behavior inconsistent with EU, the field of potential applications is widened. As such, the RDEU model is not as much a competitor to EU as an extension based on less restrictive assumptions.
Author: Hansjörg Albrecher Publisher: John Wiley & Sons ISBN: 0470772689 Category : Mathematics Languages : en Pages : 366
Book Description
Reinsurance: Actuarial and Statistical Aspects provides a survey of both the academic literature in the field as well as challenges appearing in reinsurance practice and puts the two in perspective. The book is written for researchers with an interest in reinsurance problems, for graduate students with a basic knowledge of probability and statistics as well as for reinsurance practitioners. The focus of the book is on modelling together with the statistical challenges that go along with it. The discussed statistical approaches are illustrated alongside six case studies of insurance loss data sets, ranging from MTPL over fire to storm and flood loss data. Some of the presented material also contains new results that have not yet been published in the research literature. An extensive bibliography provides readers with links for further study.
Author: Ulrich Schmidt Publisher: Springer Science & Business Media ISBN: 3642588778 Category : Business & Economics Languages : en Pages : 216
Book Description
The first attempts to develop a utility theory for choice situations under risk were undertaken by Cramer (1728) and Bernoulli (1738). Considering the famous St. Petersburg Paradox! - a lottery with an infinite expected monetary value -Bernoulli (1738, p. 209) observed that most people would not spend a significant amount of money to engage in that gamble. To account for this observation, Bernoulli (1738, pp. 199-201) proposed that the expected monetary value has to be replaced by the expected utility ("moral expectation") as the relevant criterion for decision making under risk. However, Bernoulli's 2 argument and particularly his choice of a logarithmic utility function seem to be rather arbitrary since they are based entirely on intuitively 3 appealing examples. Not until two centuries later, did von Neumann and Morgenstern (1947) prove that if the preferences of the decision maker satisfy cer tain assumptions they can be represented by the expected value of a real-valued utility function defined on the set of consequences. Despite the identical mathematical form of expected utility, the theory of von Neumann and Morgenstern and Bernoulli's approach have, however, IFor comprehensive discussions of this paradox cf. Menger (1934), Samuelson (1960), (1977), Shapley (1977a), Aumann (1977), Jorland (1987), and Zabell (1987). 2Cramer (1728, p. 212), on the other hand, proposed that the utility of an amount of money is given by the square root of this amount.
Author: NA NA Publisher: Springer ISBN: 1349741736 Category : History Languages : en Pages : 696
Book Description
A great deal of economics is about law - the functioning of markets, property rights and their enforcement, financial obligations, and so forth - yet these legal aspects are almost never addressed in the academic study of economics. Conversely, the study and practice of law entails a significant understanding of economics, yet the drafting and administration of laws often ignore economic principle. The New Palgrave Dictionary of Economics and the Law is uniquely placed by the quality, breadth and depth of its coverage to address this need for building bridges. Drawn from the ranks of academics, professional lawyers, and economists in eight countries, the 340 contributors include world experts in their fields. Among them are Nobel laureates in economics and eminent legal scholars. First published in 1998 and now available in paperback for the first time, The New Palgrave Dictionary of Economics and the Law has established itself as a classic reference work in this important field.
Author: Stephen J. Mildenhall Publisher: John Wiley & Sons ISBN: 1119756529 Category : Business & Economics Languages : en Pages : 564
Book Description
PRICING INSURANCE RISK A comprehensive framework for measuring, valuing, and managing risk Pricing Insurance Risk: Theory and Practice delivers an accessible and authoritative account of how to determine the premium for a portfolio of non-hedgeable insurance risks and how to allocate it fairly to each portfolio component. The authors synthesize hundreds of academic research papers, bringing to light little-appreciated answers to fundamental questions about the relationships between insurance risk, capital, and premium. They lean on their industry experience throughout to connect the theory to real-world practice, such as assessing the performance of business units, evaluating risk transfer options, and optimizing portfolio mix. Readers will discover: Definitions, classifications, and specifications of risk An in-depth treatment of classical risk measures and premium calculation principles Properties of risk measures and their visualization A logical framework for spectral and coherent risk measures How risk measures for capital and pricing are distinct but interact Why the cost of capital, not capital itself, should be allocated The natural allocation method and how it unifies marginal and risk-adjusted probability approaches Applications to reserve risk, reinsurance, asset risk, franchise value, and portfolio optimization Perfect for actuaries working in the non-life or general insurance and reinsurance sectors, Pricing Insurance Risk: Theory and Practice is also an indispensable resource for banking and finance professionals, as well as risk management professionals seeking insight into measuring the value of their efforts to mitigate, transfer, or bear nonsystematic risk.
Author: Annett Keller Publisher: Logos Verlag Berlin GmbH ISBN: 3832520376 Category : Mathematics Languages : en Pages : 133
Book Description
An important branch in insurance mathematics is the pricing of possible large claims that are either the results of many small claims occuring at once or that are caused by single events. A premium calculation principle that emphasises the structure of an insurance portfolio is the so called credibility premium.The credibility premium is a convex combination of the class mean, representing the insurance portfolio's general behaviour and the individual mean. The latter takes into account the individual claim history of the risks subsumed in the portfolio. The insurer calculating the premium does not necessarily need to know the claim amount distribution, even though she has to make some assumptions. In this thesis an insurance portfolio of $N$ risks -- then called risk classes -- is considered. It is assumed that each of the risks typically causesa small claim amount during an insurance period. But once in a while, the risks may produce large claim amounts due to a contamination of the small claim amount distribution function. For such models to calculate an insurance premium, the credibility approach can be applied combined with methods from robust statistics. In that case, both the claim amounts and the insurance premiums are separated into ordinary and extreme parts. The premium for the ordinary part is determined by applying the credibility principle. We assume the claim amount distribution function of risk $i, \, i=1, \ldots, N$ to be $\Gamma(\alpha, \theta_i)$ with risk parameter $\theta_i$, being a random variable itself. The distribution function of the independent risk parameters $\theta_i$ is known. The rare, large claim amounts originate from a contamination of the claim amount distribution function $\Gamma(\alpha, \theta_i)$. Thus, we will introduce robust estimators. Determining the premium of the extreme part, the mean excess function is going to be used. After a brief introduction of conecpts in robust statistics, such as robust M-estimators and influence functions, we will define two robust scale M-estimators with respect to our data model, both of them depending on parameters $a$ and $b$. We also discuss the question of choosing optimal values for $a$ and $b$. Besides we are going to compute the influence functions, gross errors and finite sample breakdown points for these estimators. It is also proved that the two estimators are asymptotically normally distributed. The thesis is completed by a simulation study. We analyse the sensitivity of the robust scale M-estimators towards different choices of $a$ and $b$, as well as changing sample sizes and possible occurings of large claims. The simulation will show that for reasonable choices of $a$ and $b$, the robust estimators can bear the comparison with the median, which is known as the most robust estimator. As well, we will estimate the credibility premiums for an insurance portfolio consisting of 25 risk classes and discuss the circumstances, when an actuary should apply the robust credibility approach.
Author: Stephane Hess Publisher: Edward Elgar Publishing ISBN: 1781003157 Category : Business & Economics Languages : en Pages : 721
Book Description
The Handbook of Choice Modelling, composed of contributions from senior figures in the field, summarizes the essential analytical techniques and discusses the key current research issues. The book opens with Nobel Laureate Daniel McFadden calling for d
Author: Georges Dionne
Author: Georges Dionne
Author: Georges Dionne
Author: Christian Gollier
Author: John Quiggin
Author: Hansjörg Albrecher
Author: Ulrich Schmidt
Author: NA NA
Author: Stephen J. Mildenhall
Author: Annett Keller
Author: Stephane Hess