Essays on risk management and insurance:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2006
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Frankfurt am Main, Univ., Diss., 2006. - Enth.: Brandts, S.: Quantifying the risk mitigation of operational risk insurance. - Brandts, S.: Operational risk reduction via simple measures [u.a.] |
| Beschreibung: | VIII, 152 S. Ill., graph. Darst. |
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| 100 | 1 | |a Brandts, Silke N. |d 1975- |e Verfasser |0 (DE-588)132012324 |4 aut | |
| 245 | 1 | 0 | |a Essays on risk management and insurance |c vorgelegt von Silke Brandts |
| 264 | 1 | |c 2006 | |
| 300 | |a VIII, 152 S. |b Ill., graph. Darst. | ||
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| 500 | |a Frankfurt am Main, Univ., Diss., 2006. - Enth.: Brandts, S.: Quantifying the risk mitigation of operational risk insurance. - Brandts, S.: Operational risk reduction via simple measures [u.a.] | ||
| 502 | |a Frankfurt (Main), Univ., Diss., 2006 | ||
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Datensatz im Suchindex
| _version_ | 1804135782877757440 |
|---|---|
| adam_text | Contents
List of Original Working Papers In
VTTT
List of Figures
List of Tables IX
Preface
References
1 Quantifying the risk mitigation of operational risk insurance: A stochas¬
tic approach 9
1.1 Introduction 9
1.2 Literature and general model elements 12
1.2.1 Literature overview 12
1.2.2 Elements of an operational risk model 13
1.2.2.1 Loss process 14
1.2.2.2 Adding dependence 15
1.2.3 Insurance contracts 18
1.3 Insurance model 19
1.3.1 Separate evaluation 20
1.3.2 Stochastic algorithm 21
1.3.3 Residual risks 24
1.3.3.1 Counter party risk 26
1.3.3.2 Payment uncertainty 27
1.3.3.3 Liquidity risk 29
1.4 Empirical results 30
IV
Contents V
1.4.1 Data and distribution fitting 31
1.4.2 Simulation and test of the model 34
1.4.2.1 Parametrization and simulation setup 35
1.4.2.2 Simulation results 37
1.4.2.3 Sensitivity analysis 40
1.5 Conclusion 43
1.6 Tables 45
1.7 Figures 55
References 58
2 Operational risk reduction via simple measures: Implications and
caveats 62
2.1 Introduction 62
2.2 Loss process and contracts 67
2.3 Valuation 68
2.3.1 No arbitrage pricing 69
2.3.2 Premium calculation principles 69
2.4 Risk reduction 72
2.4.1 VaR and ESF 74
2.4.1.1 VaR 74
2.4.1.2 ESF 76
2.4.2 Simple Measures 78
2.4.2.1 Premium approaches 79
2.4.2.2 Limit approach 82
2.4.2.3 Cover approaches 83
2.4.2.4 Preliminary assessment of the simple measures 85
2.5 Simulation 86
Contents VI
2.5.1 Setup 86
2.5.2 Results 88
2.6 Policy implications 98
2.7 Conclusion 100
2.8 Appendix 102
2.9 Figures HO
2.10 Tables 114
References 121
3 ART versus reinsurance: The disciplining effect of information insensi
tivity 124
3.1 Introduction 124
3.2 The model 127
3.3 Reinsurance equilibrium 129
3.4 ART product 131
3.5 Discussion 135
3.5.1 First period 135
3.5.2 Multiple insiders 136
3.5.3 Retention 137
3.5.4 Monitoring cost 138
3.5.5 Transaction cost and risk premium 138
3.5.6 Empirical implications 140
3.6 Conclusion 141
3.7 Appendix 142
3.8 Figures 145
References 148
List of Figures
1.1 Stylized AMA model for operational risk 14
1.2 Impact of common shocks 17
1.3 Xet losses after insurance recognition 19
1.4 Aggregate net distributions up to 90% quantile 55
1.5 Aggregate net distributions above the 99.0% quantile 55
1.6 Mapping of operational risk types to insurance policies 56
1.7 QQ Plot for lognormal distribution 57
1.8 QQ Plot for log exponential distribution with weighting factor 57
2.1 Payout profile of an insurance contract 68
2.2 Risk reduction per unit of insurance premium as a function of D 91
2.3 RRvaR RRs mp]e measure per unit of insurance premium 93
2.4 Scaling factors for RRyaR as function of D 95
2.5 ESF for different contract specifications 110
2.6 Risk reduction for simple measures as a function of the premium 110
2.7 i?/?B.s f —/?i?Simpie meaaurc Per un t of insurance premium Ill
2.8 Scaling factors for RRyan as function of D Ill
2.9 Scaling factors for RRESF as function of D (I) 112
2.10 Scaling factors for RResf as function of D (II) 112
2.11 Pricing kernels as function of X 113
3.1 Insider s rent and cross subsidization 145
3.2 Reinsurance Cat XL covers versus Cat bonds 145
3.3 Number of Cat bond issues since 1997 146
3.4 Ratio of catastrophe insurance premiums to expected losses 146
3.5 Geographical distribution of reinsurance Cat XL covers and cat bonds . . . 147
VII
List of Tables
1.1 Simulation results for the benchmark case (Data in € million) 38
1.2 Wilcoxon signed rank statistics for the benchmark case 39
1.3 Estimated parameters for loss distribution 45
1.4 Parameter assumptions for simulation with aggregate insurance 46
1.5 Parameter assumptions for simulation with each and every loss insurance 47
1.6 Simulation results for individual insurance 48
1.7 Wilcoxon signed rank statistics for individual insurance 48
1.8 Sensitivity analysis regarding common shocks for bootstrapped data .... 49
1.9 Sensitivity analysis regarding common shocks for lognormal distribution . . 50
1.10 Sensitivity analysis regarding common shocks for exponential distribution . 51
1.11 Sensitivity analysis regarding deductibles for aggregate insurance 52
1.12 Sensitivity analysis regarding limits for aggregate insurance 53
1.13 Sensitivity analysis regarding common shocks for individual insurance ... 54
2.1 Optimal contract characterizations for different risk measures 114
2.2 Scaling factors for Premium and Limit approaches 115
2.3 Scaling factors Cover approaches 116
2.4 Contract specifications 117
2.5 Risk reduction for different contracts 118
2.6 Scaling factors for simple measures and VaR 119
2.7 Scaling factors for simple measures and ESF 120
VIII
|
| adam_txt |
Contents
List of Original Working Papers In
VTTT
List of Figures
List of Tables IX
Preface
References '
1 Quantifying the risk mitigation of operational risk insurance: A stochas¬
tic approach 9
1.1 Introduction 9
1.2 Literature and general model elements 12
1.2.1 Literature overview 12
1.2.2 Elements of an operational risk model 13
1.2.2.1 Loss process 14
1.2.2.2 Adding dependence 15
1.2.3 Insurance contracts 18
1.3 Insurance model 19
1.3.1 Separate evaluation 20
1.3.2 Stochastic algorithm 21
1.3.3 Residual risks 24
1.3.3.1 Counter party risk 26
1.3.3.2 Payment uncertainty 27
1.3.3.3 Liquidity risk 29
1.4 Empirical results 30
IV
Contents V
1.4.1 Data and distribution fitting 31
1.4.2 Simulation and test of the model 34
1.4.2.1 Parametrization and simulation setup 35
1.4.2.2 Simulation results 37
1.4.2.3 Sensitivity analysis 40
1.5 Conclusion 43
1.6 Tables 45
1.7 Figures 55
References 58
2 Operational risk reduction via simple measures: Implications and
caveats 62
2.1 Introduction 62
2.2 Loss process and contracts 67
2.3 Valuation 68
2.3.1 No arbitrage pricing 69
2.3.2 Premium calculation principles 69
2.4 Risk reduction 72
2.4.1 VaR and ESF 74
2.4.1.1 VaR 74
2.4.1.2 ESF 76
2.4.2 Simple Measures 78
2.4.2.1 Premium approaches 79
2.4.2.2 Limit approach 82
2.4.2.3 Cover approaches 83
2.4.2.4 Preliminary assessment of the simple measures 85
2.5 Simulation 86
Contents VI
2.5.1 Setup 86
2.5.2 Results 88
2.6 Policy implications 98
2.7 Conclusion 100
2.8 Appendix 102
2.9 Figures HO
2.10 Tables 114
References 121
3 ART versus reinsurance: The disciplining effect of information insensi
tivity 124
3.1 Introduction 124
3.2 The model 127
3.3 Reinsurance equilibrium 129
3.4 ART product 131
3.5 Discussion 135
3.5.1 First period 135
3.5.2 Multiple insiders 136
3.5.3 Retention 137
3.5.4 Monitoring cost 138
3.5.5 Transaction cost and risk premium 138
3.5.6 Empirical implications 140
3.6 Conclusion 141
3.7 Appendix 142
3.8 Figures 145
References 148
List of Figures
1.1 Stylized AMA model for operational risk 14
1.2 Impact of common shocks 17
1.3 Xet losses after insurance recognition 19
1.4 Aggregate net distributions up to 90% quantile 55
1.5 Aggregate net distributions above the 99.0% quantile 55
1.6 Mapping of operational risk types to insurance policies 56
1.7 QQ Plot for lognormal distribution 57
1.8 QQ Plot for log exponential distribution with weighting factor 57
2.1 Payout profile of an insurance contract 68
2.2 Risk reduction per unit of insurance premium as a function of D 91
2.3 RRvaR RRs\mp]e measure per unit of insurance premium 93
2.4 Scaling factors for RRyaR as function of D 95
2.5 ESF for different contract specifications 110
2.6 Risk reduction for simple measures as a function of the premium 110
2.7 i?/?B.s f —/?i?Simpie meaaurc Per un't of insurance premium Ill
2.8 Scaling factors for RRyan as function of D Ill
2.9 Scaling factors for RRESF as function of D (I) 112
2.10 Scaling factors for RResf as function of D (II) 112
2.11 Pricing kernels as function of X 113
3.1 Insider's rent and cross subsidization 145
3.2 Reinsurance Cat XL covers versus Cat bonds 145
3.3 Number of Cat bond issues since 1997 146
3.4 Ratio of catastrophe insurance premiums to expected losses 146
3.5 Geographical distribution of reinsurance Cat XL covers and cat bonds . . . 147
VII
List of Tables
1.1 Simulation results for the benchmark case (Data in € million) 38
1.2 Wilcoxon signed rank statistics for the benchmark case 39
1.3 Estimated parameters for loss distribution 45
1.4 Parameter assumptions for simulation with aggregate insurance 46
1.5 Parameter assumptions for simulation with "each and every loss" insurance 47
1.6 Simulation results for individual insurance 48
1.7 Wilcoxon signed rank statistics for individual insurance 48
1.8 Sensitivity analysis regarding common shocks for bootstrapped data . 49
1.9 Sensitivity analysis regarding common shocks for lognormal distribution . . 50
1.10 Sensitivity analysis regarding common shocks for exponential distribution . 51
1.11 Sensitivity analysis regarding deductibles for aggregate insurance 52
1.12 Sensitivity analysis regarding limits for aggregate insurance 53
1.13 Sensitivity analysis regarding common shocks for individual insurance . 54
2.1 Optimal contract characterizations for different risk measures 114
2.2 Scaling factors for Premium and Limit approaches 115
2.3 Scaling factors Cover approaches 116
2.4 Contract specifications 117
2.5 Risk reduction for different contracts 118
2.6 Scaling factors for simple measures and VaR 119
2.7 Scaling factors for simple measures and ESF 120
VIII |
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| author | Brandts, Silke N. 1975- |
| author_GND | (DE-588)132012324 |
| author_facet | Brandts, Silke N. 1975- |
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| dewey-full | 368 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 368 - Insurance |
| dewey-raw | 368 |
| dewey-search | 368 |
| dewey-sort | 3368 |
| dewey-tens | 360 - Social problems and services; associations |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Thesis Book |
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| index_date | 2024-07-02T16:02:11Z |
| indexdate | 2024-07-09T20:45:59Z |
| institution | BVB |
| language | English |
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| physical | VIII, 152 S. Ill., graph. Darst. |
| publishDate | 2006 |
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| spelling | Brandts, Silke N. 1975- Verfasser (DE-588)132012324 aut Essays on risk management and insurance vorgelegt von Silke Brandts 2006 VIII, 152 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Frankfurt am Main, Univ., Diss., 2006. - Enth.: Brandts, S.: Quantifying the risk mitigation of operational risk insurance. - Brandts, S.: Operational risk reduction via simple measures [u.a.] Frankfurt (Main), Univ., Diss., 2006 Risikomanagement (DE-588)4121590-4 gnd rswk-swf Versicherung (DE-588)4063173-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Versicherung (DE-588)4063173-4 s Risikomanagement (DE-588)4121590-4 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015058040&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Brandts, Silke N. 1975- Essays on risk management and insurance Risikomanagement (DE-588)4121590-4 gnd Versicherung (DE-588)4063173-4 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4063173-4 (DE-588)4113937-9 |
| title | Essays on risk management and insurance |
| title_auth | Essays on risk management and insurance |
| title_exact_search | Essays on risk management and insurance |
| title_exact_search_txtP | Essays on risk management and insurance |
| title_full | Essays on risk management and insurance vorgelegt von Silke Brandts |
| title_fullStr | Essays on risk management and insurance vorgelegt von Silke Brandts |
| title_full_unstemmed | Essays on risk management and insurance vorgelegt von Silke Brandts |
| title_short | Essays on risk management and insurance |
| title_sort | essays on risk management and insurance |
| topic | Risikomanagement (DE-588)4121590-4 gnd Versicherung (DE-588)4063173-4 gnd |
| topic_facet | Risikomanagement Versicherung Hochschulschrift |
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