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Articles in "Insurance and Pensions"
To split or not to split: capital allocation with convex risk measures
Convex risk measures were introduced by Deprez and Gerber (1985). Here the problem of allocating risk capital to subportfolios is addressed, when aggregate capital is calculated by a convex risk measure. The Aumann-Shapley value is proposed as an appropriate allocation mechanism. Distortion-exponential measures are discussed extensively and explicit capital allocation formulas are obtained for the case that the risk measure belongs to this family. Finally the implications of capital allocation with a convex risk measure for the stability of portfolios are discussed.
Updated: 22/09/2011
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Views: 3,138
Risk measures and theories of choice
We discuss classes of risk measures in terms both of their axiomatic definitions and of the economic theories of choice that they can be derived from. More specifically, expected utility theory gives rise to the exponential premium principle, proposed by Gerber (1974), Dhaene et al. (2003), whereas Yaari's (1987) dual theory of risk can be viewed as the source of the distortion premium principle (Denneberg (1990), Wang (1996).
Updated: 22/09/2011
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Views: 3,062
Optimal capital allocation principles
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to its business units.
Updated: 03/11/2011
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Views: 2,446
Froot and Stein revisited once again
In this paper we show that the economic intuition behind the paper of Froot and Stein (1998) is correct and that their result can be obtained when the market is reformulated in a discrete time setting.
Updated: 22/09/2011
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Views: 3,673
A mixing model for operational risk
External data can often be useful in improving estimation of operational risk loss distributions. This paper develops a systematic approach that incorporates external information into internal loss distribution modelling.
Updated: 22/09/2011
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Views: 3,227
Combining underreported internal and external data for operational risk measurement
This paper proposes a model for operational losses that improves the internal loss distribution modelling by combining internal and external operational risk data. It also considers the possibility that internal and external data have been collected with a different truncation threshold.
Updated: 22/09/2011
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Views: 3,663
Estimating multiplicative and additive hazard functions by Kernel methods
We propose new procedures for estimating the univariate quantities of interest in both additive and multiplicative nonparametric marker dependent hazard models.
Updated: 22/09/2011
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Views: 3,062
Non-parametric regression with a latent time series
In this paper we investigate a class of semi-parametric models for panel data sets where the cross-section and time dimensions are large.
Updated: 22/09/2011
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Views: 3,070
Multidimensional credibility with time effects: an application to commercial business lines
This article considers Danish insurance business lines for which the pricing methodology has been dramatically upgraded recently.
Updated: 22/09/2011
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Views: 3,185
Survival analysis of a household portfolio of insurance policies: how much time do you have to stop total customer defection?
Customer-side influences on insurance have been relatively ignored in the literature. Using the household as the unit of analysis, this article focuses on the behavior of households having multiple policies of different types with the same insurance company, and who cancel their first policy.
Updated: 22/09/2011
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Views: 2,923
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