Risk management in the insurance industry: modeling and measuring market and credit risks
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2013
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XI, 201 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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| adam_text | VII
CONTENTS
ABSTRACT XI
I INTRODUCTION 1
1 MOTIVATION AND RESEARCH QUESTIONS 1
2 RESEARCH OBJECTIVES 5
II QUANTIFYING CREDIT AND MARKET RISK UNDER SOLVENCY II: STANDARD
APPROACH VERSUS INTERNAL MODEL 13
1 INTRODUCTION 14
2 OVERVIEW: MARKET AND CREDIT RISK UNDER SOLVENCY II 17
3 MODEL FRAMEWORK 20
3.1 STANDARD APPROACH UNDER SOLVENCY II 20
3.2 PARTIAL INTERNAL MODEL 27
3.3 MODEL RISK 32
3.4 PORTFOLIO BUILDING AND DIVERSIFICATION EFFECTS 33
4 NUMERICAL RESULTS 34
4.1 INPUT PARAMETERS 34
4.2 SCR FOR STOCKS 37
4.3 SCR FOR BONDS 41
4.4 SCR FOR THE STOCK AND BOND PORTFOLIO 47
5 CONCLUSION 50
III ASSESSING THE MODEL RISK WITH RESPECT TO THE INTEREST RATE TERM
STRUCTURE UNDER SOLVENCY II 59
1 INTRODUCTION 60
2 SHORT RATE MODELS: A TIME-HOMOGENOUS FRAMEWORK 63
2.1 ONE FACTOR SHORT RATE MODELS IN CONTINUOUS TIME 63
2.2 TIME-HOMOGENOUS ONE FACTOR SHORT TERM INTEREST RATE MODELS AND
CHARACTERISTICS : 66
2.3 TIME-HOMOGENOUS ONE FACTOR SHORT RATE MODELS WITH AFFINE TERM
STRUCTURE 67
2.4 MAXIMUM LIKELIHOOD ESTIMATION FOR PROCESSES WITH THE PROPERTY OF
MEAN REVERSION 71
VIII CONTENTS
3 MODEL FRAMEWORK 74
3.1 PARTIAL INTERNAL APPROACH 74
3.2 SOLVENCY II STANDARD APPROACH 77
3.3 RISK TYPES AND DIVERSIFICATION EFFECTS 81
4 NUMERICAL RESULTS 82
4.1 INPUT PARAMETERS 83
4.2 NON-DEFAULTABLE ZERO COUPON PRICES 85
4.3 SCR FOR SINGLE BONDS 85
4.4 SCR FOR BOND PORTFOLIO AND MODEL RISK OF PARAMETER CALIBRATION 89
4.5 SCR FOR INTEREST RATE AND CREDIT RISK AS A FUNCTION OF BONDS
CHARACTERISTICS 92
5 CONCLUSION 95
IV VALUATION AND RISK ASSESSMENT OF PARTICIPATING LIFE INSURANCE IN THE
PRESENCE OF CREDIT RISK 105
1 INTRODUCTION 106
2 MODEL FRAMEWORK 108
2.1 COMPANY OVERVIEW 108
2.2 MODELING THE LIABILITIES 109
2.3 ASSET DYNAMICS 110
2.4 FAIR VALUATION AND RISK MEASUREMENT 115
3 NUMERICAL RESULTS 117
3.1 INPUT PARAMETERS 117
3.2 THE IMPACT OF CREDIT RISK ON FAIR VALUATION AND SHORTFALL RISK 120
3.3 THE IMPACT OF CREDIT RISK ON POLICYHOLDERS NET PRESENT VALUE 123
3.4 FURTHER ANALYSES 127
4 CONCLUSION 128
V EQUITY RISK UNDER SOLVENCY II: INTERNAL MODELS AND PROCYCLICAL
EFFECTS 135
1 INTRODUCTION 136
2 SYSTEMIC RISK AS A CONSEQUENCE OF REGULATION 140
2.1 CAPITAL BUFFERS IN BASEL III 140
2.2 SYMMETRIC ADJUSTMENT MECHANISM IN SOLVENCY II 141
CONTENTS
3 MODEL FRAMEWORK 144
3.1 STANDARD FORMULA: EQUITY RISK SUB-MODULE AND SQUARE-ROOT FORMULA 144
3.2 INTERNAL MODEL: GEOMETRIC BROWNIAN MOTION AND COPULA CONCEPT 145
3.3 ADJUSTMENTS TO COUNTERACT SYSTEMIC RISK 148
4 NUMERICAL RESULTS 151
4.1 INPUT PARAMETERS 151
4.2 DIVERSIFICATION BENEFITS WITH BERNSTEIN COPULA 155
4.3 SCR AND ADJUSTMENTS TO MITIGATE PROCYCLICITY 157
4.4 CRITICAL DISCUSSION AND COMPARISON 162
5 CONCLUSION 164
VI DETERMINANTS AND VALUE OF ENTERPRISE RISK MANAGEMENT: EMPIRICAL
EVIDENCE FROM THE LITERATURE 173
1 INTRODUCTION 174
2 ENTERPRISE RISK MANAGEMENT 176
2.1 DEFINITION OF ERM AND DIFFERENCE TO TRADITIONAL RISK MANAGEMENT 176
2.2 DATA COLLECTION AND MEASURING THE IMPLEMENTATION AND LEVEL OF AN
ERM 177
3 DETERMINANTS OF ERM IMPLEMENTATION 179
3.1 EMPIRICAL STUDIES ON ERM DETERMINANTS 179
3.2 EMPIRICAL RESULTS REGARDING THE DETERMINANTS OF AN ERM
IMPLEMENTATION 183
4 THE VALUE OF IMPLEMENTING AN ERM SYSTEM 185
4.1 EMPIRICAL STUDIES ON ERM PERFORMANCE 185
4.2 EMPIRICAL RESULTS REGARDING THE VALUE OF IMPLEMENTING AN ERM 189
5 CONCLUSION 192
VII CONCLUSIONS 199
|
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| indexdate | 2024-07-10T00:56:48Z |
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| language | English |
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| spelling | Martin, Michael Verfasser aut Risk management in the insurance industry modeling and measuring market and credit risks vorgelegt von Michael Martin 2013 XI, 201 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Erlangen-Nürnberg, Univ., Diss., 2013 Versicherungswirtschaft (DE-588)4063206-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Versicherungsrecht (DE-588)4117359-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Versicherungswirtschaft (DE-588)4063206-4 s Risikomanagement (DE-588)4121590-4 s Kreditrisiko (DE-588)4114309-7 s Versicherungsrecht (DE-588)4117359-4 s DE-604 SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026890114&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Martin, Michael Risk management in the insurance industry modeling and measuring market and credit risks Versicherungswirtschaft (DE-588)4063206-4 gnd Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd Versicherungsrecht (DE-588)4117359-4 gnd |
| subject_GND | (DE-588)4063206-4 (DE-588)4114309-7 (DE-588)4121590-4 (DE-588)4117359-4 (DE-588)4113937-9 |
| title | Risk management in the insurance industry modeling and measuring market and credit risks |
| title_auth | Risk management in the insurance industry modeling and measuring market and credit risks |
| title_exact_search | Risk management in the insurance industry modeling and measuring market and credit risks |
| title_full | Risk management in the insurance industry modeling and measuring market and credit risks vorgelegt von Michael Martin |
| title_fullStr | Risk management in the insurance industry modeling and measuring market and credit risks vorgelegt von Michael Martin |
| title_full_unstemmed | Risk management in the insurance industry modeling and measuring market and credit risks vorgelegt von Michael Martin |
| title_short | Risk management in the insurance industry |
| title_sort | risk management in the insurance industry modeling and measuring market and credit risks |
| title_sub | modeling and measuring market and credit risks |
| topic | Versicherungswirtschaft (DE-588)4063206-4 gnd Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd Versicherungsrecht (DE-588)4117359-4 gnd |
| topic_facet | Versicherungswirtschaft Kreditrisiko Risikomanagement Versicherungsrecht Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026890114&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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