Time deductibles as screening devices: competitive markets

In this article, we analyse the strength of screening based on an alternative screening device, namely limitations to the period of coverage of the contract.

Updated: 05/10/2013
Comments:
Views: 489

Modelling the short-term dependence between two remaining lifetimes

Author(s):

Jaap Spreeuw

 et al.

Dependence between times of death of coupled lives is said to be of a short-term type if the probability of death of the bereaved life is highest in the first period (six months or a year, say) after death of the partner. A multiple state model is introduced, allowing for this type of dependence, which is applied to a life annuity portfolio.

Updated: 09/12/2014
Comments: 21
Views: 4,924

Modelling stochastic mortality for dependent lives

Author(s):

Jaap Spreeuw

 et al.

This paper is a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity approach.

Updated: 22/09/2011
Comments:
Views: 3,715

Modelling stochastic mortality for dependent lives

Author(s):

Jaap Spreeuw

 et al.

This paper is a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity approach.

Updated: 22/09/2011
Comments:
Views: 3,715

Stochastic processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics

We consider a new class of processes, called LG processes, defined as linear combinations ofindependent gamma processes. Their distributional and path-wise properties are explored by following their relation to polynomial and Dirichlet (B-) splines. In particular, it is shown that the density of an LG process can be expressed in terms of Dirichlet (B-) splines, introduced independently by Ignatov and Kaishev (1987, 1988, and 1989) and Karlin et al. (1986).

Updated: 22/09/2011
Comments:
Views: 4,768

Momentum profits, non-normality risks and the business cycle

This paper investigates the extent to which the profitability of momentum strategies is a compensation for exposure to systematic departures from normality. We document that winner returns are more negatively skewed than loser returns, and that the winners exhibit higher positive kurtosis than the losers.

Updated: 24/10/2011
Comments:
Views: 3,974

The third annual Cass-Capco conference of the Cass-Capco institute paper series on risk

Author(s):

Podcast containing interviews, presentations and keynote address of the event at Cass Business School on 19 April 2010

Updated: 30/09/2011
Comments:
Views: 8,915

Developing a risk rating methodology

This report provides the guidelines necessary for standardising the measurement of risk so that it can be applied to make meaningful comparisons between one fund and another.

Updated: 01/12/2014
Comments: 14
Views: 13,742

Insurance solvency under parameter uncertainty

Financial institutions such as insurance companies or banks are regulated according to a Value-at-Risk principle. This means that they have to hold enough capital, such that their probability of becoming insolvent over a fixed time horizon (e.g. 1 year) is very low (e.g. at most 0.5%). Calculation of the required capital according to this principle stumbles on the quite fundamental difficulty of estimating the probability of very extreme scenarios based on limited data sets.

Updated: 23/11/2014
Comments: 4
Views: 8,774