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Sveinarne Persson - One of the best experts on this subject based on the ideXlab platform.

  • exotic unit linked life Insurance Contracts
    Social Science Research Network, 1996
    Co-Authors: Steinar Ekern, Sveinarne Persson
    Abstract:

    This article integrates aspects of traditional Insurance with advances in financial economics, yielding proper valuation and premium assessments of Insurance benefits linked to various financial assets. Several new types of unit-linked life Insurance Contracts are discussed with substantial potential for real-life applications. Compared to usual unit-linked products, these Contracts offer added flexibility and/or altered exposure to financial risk for the insured and/or the insurer. The single premiums of these policies are calculated as expectations under a risk adjusted probability measure (equivalent martingale measure), satisfying no-arbitrage conditions in financial markets.

Barry K Goodwin - One of the best experts on this subject based on the ideXlab platform.

  • parametric and nonparametric statistical modelling of crop yield implications for pricing crop Insurance Contracts
    Applied Economics, 2008
    Co-Authors: Vitor Augusto Ozaki, Barry K Goodwin, Ricardo Shirota
    Abstract:

    This article considers alternative methods to calculate the fair premium rate of crop Insurance Contracts based on county yields. The premium rate was calculated using parametric and nonparametric approaches to estimate the conditional agricultural yield density. These methods were applied to a data set of county yield provided by the Statistical and Geography Brazilian Institute (IBGE), for the period of 1990 through 2002, for soybean, corn and wheat, in the State of Parana. In this article, we propose methodological alternatives to pricing crop Insurance Contracts resulting in more accurate premium rates in a situation of limited data.

  • spatio temporal modeling of agricultural yield data with an application to pricing crop Insurance Contracts
    2005 Annual meeting July 24-27 Providence RI, 2005
    Co-Authors: Vitor Augusto Ozaki, Sujit K Ghosh, Barry K Goodwin, Ricardo Shirota
    Abstract:

    This article focuses on the modeling of agricultural yield data using hierarchical Bayesian models. In recovering the generating process of these data, we consider the temporal, spatial and spatio-temporal relationships pertinent to the prediction and pricing of Insurance Contracts based on regional crop yields. A county-average yield data set was analyzed for the State of Parana, Brazil for the period of 1990 through 2002. The choice of the best model from among the several non-nested models considered was based on the posterior predictive criterion. The methodology used in this article proposes improvements in the statistical and actuarial methods often applied to the calculation of Insurance premium rates. These improvements are especially relevant to situations of limited data. These conditions are frequently encountered, especially at the individual level.

  • nonparametric estimation of crop yield distributions implications for rating group risk crop Insurance Contracts
    American Journal of Agricultural Economics, 1998
    Co-Authors: Barry K Goodwin, Alan P Ker
    Abstract:

    We use nonparametric density estimation procedures to evaluate county-level crop yield distributions. Implications for rating area-yield crop Insurance Contracts are discussed. The procedures developed are used to measure yield risk and calculate Insurance premium rates for wheat and barley in the 1995-96 Group Risk Program.

  • nonparametric estimation of crop yield distributions implications for rating group risk crop Insurance Contracts
    American Journal of Agricultural Economics, 1998
    Co-Authors: Barry K Goodwin
    Abstract:

    We use nonparametric density estimation procedures to evaluate county-level crop yield distributions. Implications for rating area-yield crop Insurance Contracts are discussed. The procedures developed are used to measure yield risk and calculate Insurance premium rates for wheat and barley in the 1995–96 Group Risk Program. Copyright 1998, Oxford University Press.

Alexander Szimayer - One of the best experts on this subject based on the ideXlab platform.

  • the effect of policyholders rationality on unit linked life Insurance Contracts with surrender guarantees
    Quantitative Finance, 2014
    Co-Authors: Alexander Szimayer
    Abstract:

    We study the valuation of unit-linked life Insurance Contracts with surrender guarantees. Instead of solving an optimal stopping problem, we propose a more realistic approach accounting for policyholders’ rationality in exercising their surrender option. The valuation is conducted at the portfolio level by assuming that the surrender rate of the representative agent is bounded from below and from above. The lower bound corresponds to purely exogenous surrender, and the difference between the upper bound and the lower bound represents the rationality of the policyholders. The valuation problem is formulated by a PDE approach and solved with the finite difference method. We show that the rationality of the policyholders has a significant effect on average contract value and hence on the fair contract design. We also present the separating boundary between purely exogenous surrender and endogenous surrender. This provides implications on the predicted surrender activity of the policyholders.

  • the uncertain mortality intensity framework pricing and hedging unit linked life Insurance Contracts
    Research Papers in Economics, 2010
    Co-Authors: Alexander Szimayer
    Abstract:

    We study the valuation and hedging of unit-linked life Insurance Contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is almost surely bounded under the statistical measure. Further, we restrict the equivalent martingale measures and apply the same bounds to the mortality intensity under these measures. For this setting we derive upper and lower price bounds for unit-linked life Insurance Contracts using stochastic control techniques. We also show that the induced hedging strategies indeed produce a dynamic superhedge and subhedge under the statistical measure in the limit when the number of Contracts increases. This justifies the bounds for the mortality intensity under the pricing measures. We provide numerical examples investigating fixed-term, endowment Insurance Contracts and their combinations including various guarantee features. The pricing partial differential equation for the upper and lower price bounds is solved by finite difference methods. For our Contracts and choice of parameters the pricing and hedging is fairly robust with respect to misspecification of the mortality intensity. The model risk resulting from the uncertain mortality intensity is of minor importance.

  • the effect of policyholders rationality on unit linked life Insurance Contracts with surrender guarantees
    Research Papers in Economics, 2010
    Co-Authors: Alexander Szimayer
    Abstract:

    We study the valuation of unit-linked life Insurance Contracts with surrender guarantees. Instead of solving an optimal stopping problem, we propose a more realistic approach accounting for policyholders’ rationality in exercising their surrender option. The valuation is conducted at the portfolio level by assuming the surrender intensity to be bounded from below and from above. The lower bound corresponds to purely exogenous surrender and the upper bound represents the limited rationality of the policyholders. The valuation problem is formulated by a valuation PDE and solved with the finite difference method. We show that the rationality of the policyholders has a significant effect on average contract value and hence on the fair contract design. We also present the separating boundary between purely exogenous surrender and endogenous surrender. This provides implications on the predicted surrender activity of the policyholders.

Pierre Picard - One of the best experts on this subject based on the ideXlab platform.

  • Participating Insurance Contracts and the Rothschild-Stiglitz equilibrium puzzle
    Geneva Risk and Insurance Review, 2014
    Co-Authors: Pierre Picard
    Abstract:

    We show that an equilibrium always exists in the Rothschild-Stiglitz Insurance market model with adverse selection when insurers can offer either non- participating or participating policies, i.e. Insurance Contracts which may involve policy dividends or supplementary calls for premium. The equilibrium coincides with the Miyazaki- Spence-Wilson equilibrium, which may involves cross-subsidization between Contracts within subgroups of individuals. The paper establishes that participating policies act as an implicit threat that dissuades deviant insurers who aim at attracting low risk individuals only. The model predicts that the mutual corporate form should be prevalent in Insurance markets or submarkets where second-best Pareto efficiency requires cross-subsidization between risk types. Stock insurers and mutuals may coexist, with stock insurers offering Insurance coverage at actuarial price and mutuals cross-subsidizing risks.

  • Participating Insurance Contracts and the Rothschild-Stiglitz Equilibrium Puzzle
    The Geneva Risk and Insurance Review, 2014
    Co-Authors: Pierre Picard
    Abstract:

    We extend the Rothschild-Stiglitz (RS) Insurance market model with adverse selection by allowing insurers to offer either non-participating or participating policies, that is, Insurance Contracts with policy dividends or supplementary calls for premium. It is shown that an equilibrium always exists in such a setting. Participating policies act as an implicit threat that dissuades deviant insurers who aim to attract low-risk individuals only. The model predicts that the mutual corporate form should be prevalent in Insurance markets where second-best Pareto efficiency requires cross-subsidisation between risk types.

Steinar Ekern - One of the best experts on this subject based on the ideXlab platform.

  • exotic unit linked life Insurance Contracts
    Social Science Research Network, 1996
    Co-Authors: Steinar Ekern, Sveinarne Persson
    Abstract:

    This article integrates aspects of traditional Insurance with advances in financial economics, yielding proper valuation and premium assessments of Insurance benefits linked to various financial assets. Several new types of unit-linked life Insurance Contracts are discussed with substantial potential for real-life applications. Compared to usual unit-linked products, these Contracts offer added flexibility and/or altered exposure to financial risk for the insured and/or the insurer. The single premiums of these policies are calculated as expectations under a risk adjusted probability measure (equivalent martingale measure), satisfying no-arbitrage conditions in financial markets.