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Denis Toplek
Former Member
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1 - 10 of 10
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PublicationAn Analysis of Pricing and Basis Risk for Industry Loss WarrantiesIn recent years, industry loss warranties (ILWs) have become increasingly popular in the reinsurance market. The defining feature of ILW contracts is their dependence on an industry loss index. The use of an index reduces moral hazard and generally results in lower prices compared to traditional, purely indemnity-based reinsurance contracts. However, use of the index also introduces basis risk since the industry loss and the reinsured company's loss are usually not fully correlated. The aim of this paper is to simultaneously examine basis risk and pricing of an indemnity-based industry loss warranty contract, which is done by comparing actuarial and financial pricing approaches for different measures of basis risk. Our numerical results show that modification of the contract parameters to reduce basis risk can either raise or lower prices, depending on the specific parameter choice. For instance, basis risk can be reduced by decreasing the industry loss trigger, which implies higher prices, or by increasing the reinsured company attachment, thus inducing lower prices.Type: journal articleJournal: Zeitschrift für die gesamte VersicherungswissenschaftVolume: 100Issue: 4
Scopus© Citations 3 -
PublicationModeling and Management of Nonlinear Dependencies - Copulas in Dynamic Financial AnalysisThe aim of this paper is to study the influence of nonlinear dependencies on a nonlife insurers risk and return profile. To achieve this, we integrate several copula models in a dynamic financial analysis (DFA) framework and conduct numerical tests within a simulation study. We also test several risk management strategies in response to adverse outcomes generated by nonlinear dependencies. We find that nonlinear dependencies have a crucial influence on the insurers risk profile that can hardly be affected by the analyzed management strategies. Depending on the copula concept employed, we find large differences in risk assessment for the ruin probability and for the expected policyholder deficit. This has important implications for regulators and rating agencies that use these risk measures as a foundation for capital standards and ratings.Type: journal articleJournal: Journal of Risk and InsuranceVolume: 76Issue: 3
Scopus© Citations 29 -
PublicationType: journal articleJournal: European Journal of FinanceVolume: 15Issue: 7-8
Scopus© Citations 3 -
PublicationType: journal articleJournal: Zeitschrift für die gesamte VersicherungswissenschaftVolume: 97Issue: 4
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PublicationAsset Liability Management in der deutschsprachigen Assekuranz(IVW, 2007)
;Schuckmann, Stefan ;Steger, MarcusGerber, MichaelType: case study -
PublicationHerausforderungen bei der IT-Umsetzung von Asset Liability Management(Verlag Versicherungswirtschaft GmbH, 2008-10-01)Steger, MarkusType: newspaper articleJournal: VersicherungswirtschaftIssue: 20
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PublicationType: newspaper articleJournal: I.VW Management-InformationVolume: 29Issue: 4
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PublicationType: newspaper articleJournal: Zeitschrift für Versicherungswesen : ZfVVolume: 56Issue: 21
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PublicationDeferred Annuity Contracts under Stochastic Mortality and Interest Rates: Pricing and Model Risk Assessment( 2007)Annuity contracts transfer the risk of an individual outliving available assets to an insur-ance company. Thus, the insurance company has to value and manage long term risks. Interest rate risk and longevity risk are the two most important risks for annuity providers. In this paper, we develop a framework to evaluate deferred life annuities with stochastic mortality and stochastic interest rate dynamics. We then study the impact of model risk on valuation. An important result of this paper is the considerable risk potential due to random fluctuations and systematic deviations from the assumptions about in-terest rate dynamics and mortality dynamics over a long time period.