Non-life insurance-linked securities: risk and pricing analysis
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Karlsruhe
Verl. Versicherungswirtschaft
2014
|
| Schriftenreihe: | Beiträge zu wirtschaftswissenschaftlichen Problemen der Versichung
69 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXV, 286 S. |
| ISBN: | 9783899528381 |
Internformat
MARC
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| 490 | 1 | |a Beiträge zu wirtschaftswissenschaftlichen Problemen der Versichung |v 69 | |
| 502 | |a Zugl.: Neubiberg, Univ. der Bundeswehr München, Diss., 2014 | ||
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| 650 | 0 | 7 | |a Versicherungsbetrieb |0 (DE-588)4063180-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Insurance Linked Securities |0 (DE-588)7620692-0 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
| _version_ | 1804152759108239360 |
|---|---|
| adam_text | CONTENTS
LIST OF FIGURES XII
LIST OF TABLES XV
LIST OF ABBREVIATIONS XV
LIST OF SYMBOLS XXI
1 INTRODUCTION 1
1.1 BACKGROUND 1
1.2 OBJECTIVES 5
1.3 OUTLINE 9
2 SECURITIZATION OF NON-LIFE INSURANCE RISK 13
2.1 CHARACTERIZATION OF INSURANCE-LINKED SECURITIES 13
2.2 RISK SECURITIZATION PROCESS 15
2.2.1 ISSUING INSURANCE-LINKED SECURITIES 15
2.2.2 SYNTHETIC RISK SECURITIZATION 18
2.3 DESIGN CHARACTERISTICS OF INSURANCE-LINKED SECURITIES .... 23
2.3.1 SECURITIZED RISK 23
2.3.2 LOSS TRIGGER 24
2.3.3 INSURANCE RISK PARTICIPATION 25
2.3.4 FURTHER DESIGN CHARACTERISTICS 30
2.4 RISK MODELING FIRMS 33
3 RISK ANALYSIS OF INSURANCE-LINKED SECURITIES 39
3.1 INSURANCE BUSINESS AND INSURANCE-LINKED SECURITY INVESTORS . 39
3.1.1 TECHNICAL CHARACTERISTICS OF INSURANCE RISK TRANSFERS . 39
3.1.2 INSURERRISKS 42
3.1.3 INSURER RISKS OF INSURANCE-LINKED SECURITY INVESTORS . 46
3.2 UNDERWRITING RISK 51
3.2.1 DEFINITIONS, COMPONENTS, AND RISK POOLING 51
3.2.1.1 DEFINITIONS AND COMPONENTS OF UNDERWRITING RISK 51
3.2.1.2 CONCEPTS OF INTERNAL RISK POOLING 57
IX
HTTP://D-NB.INFO/1058885758
3.2.2 UNDERWRITING RISK WITHIN INSURANCE-LINKED SECURITIES 67
3.2.2.1 UNDERWRITING RISK OF INSURANCE-LINKED SECURITY
INVESTORS 67
3.2.2.2 UNDERWRITING RISK DUE TO UNCERTAINTY IN
CATASTROPHE MODELING 73
3.2.2.3 UNDERWRITING RISK AND THE REQUIREMENTS OF
INSURABILITY 75
3.3 INVESTMENT RISK ASSOCIATED WITH INSURANCE-LINKED SECURITIES 79
3.3.1 INVESTMENT RISK BY INVESTING THE PRINCIPAL 79
3.3.2 INVESTMENT RISK BY EMBEDDED OPTIONS 89
3.3.3 INVESTMENT RISK IN THE CONTEXT OF DIVERSIFICATION WITH
INSURANCE-LINKED SECURITIES 90
4 ACTUARIAL MODELS FOR INSURANCE-LINKED SECURITIES 95
4.1 EXCESS OF LOSS REINSURANCE CONTRACTS 95
4.1.1 DESCRIPTION 95
4.1.2 STATISTICAL CHARACTERISTICS OF NON-PROPORTIONAL DIVIDED
RISKS 103
4.2 COLLECTIVE RISK MODEL WITH EXCESS OF LOSS REINSURANCE
CONTRACTS 115
4.2.1 COLLECTIVE RISK MODEL 115
4.2.2 CLAIM NUMBER DISTRIBUTIONS 119
4.2.3 CLAIM AMOUNT DISTRIBUTIONS 125
4.2.4 COLLECTIVE RISK MODEL FOR INSURANCE-LINKED SECURITY
INVESTORS 133
4.3 COLLECTIVE RISK THEORY WITH EXCESS OF LOSS REINSURANCE
CONTRACTS 142
4.3.1 COLLECTIVE RISK THEORY AND CLAIM NUMBER PROCESSES . 142
4.3.2 AGGREGATE CLAIM AMOUNT WITHIN THE COLLECTIVE RISK
THEORY 155
4.3.3 COLLECTIVE RISK THEORY FOR INSURANCE-LINKED SECURITY
INVESTORS 158
4.4 RUIN THEORY FOR INSURANCE-LINKED SECURITIES 161
4.4.1 RUIN THEORY WITH SUBEXPONENTIAL CLAIM AMOUNT
DISTRIBUTIONS 161
4.4.2 RUIN THEORY WITH ADVANCED RISK RESERVE PROCESSES 171
4.4.3 RUIN THEORY IN FINITE TIME 175
X
5 PRICING METHODOLOGIES OF INSURANCE-LINKED SECURITIES 177
5.1 ON TRADING AND VALUING INSURANCE-LINKED SECURITIES 177
5.2 PREMIUM COMPONENTS FOR INSURANCE-LINKED SECURITY OWNERS 182
5.3 ACTUARIAL CONTRA FINANCIAL APPROACHES FOR PRICING INSURANCE
RISK 188
5.3.1 ACTUARIAL PRICING APPROACHES 188
5.3.2 FINANCIAL PRICING APPROACHES FOR PRIMARY ASSETS . . . 192
5.3.3 OPTION PRICING MODELS 197
5.3.3.1 DESCRIPTION 197
5.3.3.2 OPTION PRICING FRAMEWORK IN THE CONTEXT OF
INSURANCE RISK 200
5.3.3.3 OPTION PRICING FEATURES IN THE CONTEXT OF
INSURANCE RISK 203
5.3.3.4 STRUCTURE PRESERVING MEASURES AND CALIBRATION 213
5.3.4 SYNOPSIS 216
5.4 ACTUARIAL AND INVESTMENT RELATED PREMIUM PRINCIPLES .... 220
5.4.1 PREMIUM PRINCIPLES FOR HEAVY TAILED CLAIMS 220
5.4.1.1 ASSESSMENT OF TRADITIONAL PREMIUM PRINCIPLES 220
5.4.1.2 COHERENT RISK MEASURES 223
5.4.2 KREPS INVESTMENT EQUIVALENT REINSURANCE PRICING . . . 225
5.4.2.1 DESCRIPTION 225
5.4.2.2 ASSESSMENT 228
5.5 PRICING MEASURES FOR INCOMPLETE MARKETS 229
5.5.1 WANG TRANSFORMS 229
5.5.1.1 DESCRIPTION 229
5.5.1.2 ASSESSMENT 231
5.5.2 MERTON S MEASURE 233
5.5.2.1 DESCRIPTION 233
5.5.2.2 ASSESSMENT 234
5.5.3 PHYSICAL MEASURE 236
5.5.3.1 DESCRIPTION 236
5.5.3.2 ASSESSMENT 236
5.5.4 ESSCHER TRANSFORM AND ESSCHER MEASURE 237
5.5.4.1 DESCRIPTION 237
5.5.4.2 ASSESSMENT 239
XI
6 CONCLUSION
BIBLIOGRAPHY
XN
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| building | Verbundindex |
| bvnumber | BV042227379 |
| classification_rvk | PE 530 |
| ctrlnum | (OCoLC)898070114 (DE-599)BVBBV042227379 |
| discipline | Rechtswissenschaft |
| format | Thesis Book |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:15:49Z |
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| isbn | 9783899528381 |
| language | English |
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| publishDate | 2014 |
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| series | Beiträge zu wirtschaftswissenschaftlichen Problemen der Versichung |
| series2 | Beiträge zu wirtschaftswissenschaftlichen Problemen der Versichung |
| spelling | Nowak, Thomas Verfasser (DE-588)1063291291 aut Non-life insurance-linked securities risk and pricing analysis Thomas Nowak Karlsruhe Verl. Versicherungswirtschaft 2014 XXV, 286 S. txt rdacontent n rdamedia nc rdacarrier Beiträge zu wirtschaftswissenschaftlichen Problemen der Versichung 69 Zugl.: Neubiberg, Univ. der Bundeswehr München, Diss., 2014 Risikoverteilung (DE-588)4138417-9 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Versicherungsbetrieb (DE-588)4063180-1 gnd rswk-swf Insurance Linked Securities (DE-588)7620692-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Insurance Linked Securities (DE-588)7620692-0 s Versicherungsbetrieb (DE-588)4063180-1 s Risikoverteilung (DE-588)4138417-9 s Risikoanalyse (DE-588)4137042-9 s DE-604 Beiträge zu wirtschaftswissenschaftlichen Problemen der Versichung 69 (DE-604)BV000002747 69 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027665755&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nowak, Thomas Non-life insurance-linked securities risk and pricing analysis Beiträge zu wirtschaftswissenschaftlichen Problemen der Versichung Risikoverteilung (DE-588)4138417-9 gnd Risikoanalyse (DE-588)4137042-9 gnd Versicherungsbetrieb (DE-588)4063180-1 gnd Insurance Linked Securities (DE-588)7620692-0 gnd |
| subject_GND | (DE-588)4138417-9 (DE-588)4137042-9 (DE-588)4063180-1 (DE-588)7620692-0 (DE-588)4113937-9 |
| title | Non-life insurance-linked securities risk and pricing analysis |
| title_auth | Non-life insurance-linked securities risk and pricing analysis |
| title_exact_search | Non-life insurance-linked securities risk and pricing analysis |
| title_full | Non-life insurance-linked securities risk and pricing analysis Thomas Nowak |
| title_fullStr | Non-life insurance-linked securities risk and pricing analysis Thomas Nowak |
| title_full_unstemmed | Non-life insurance-linked securities risk and pricing analysis Thomas Nowak |
| title_short | Non-life insurance-linked securities |
| title_sort | non life insurance linked securities risk and pricing analysis |
| title_sub | risk and pricing analysis |
| topic | Risikoverteilung (DE-588)4138417-9 gnd Risikoanalyse (DE-588)4137042-9 gnd Versicherungsbetrieb (DE-588)4063180-1 gnd Insurance Linked Securities (DE-588)7620692-0 gnd |
| topic_facet | Risikoverteilung Risikoanalyse Versicherungsbetrieb Insurance Linked Securities Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027665755&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000002747 |
| work_keys_str_mv | AT nowakthomas nonlifeinsurancelinkedsecuritiesriskandpricinganalysis |