Modeling and management of biometric risk: = (Modellierung und Management biometrischer Risiken)
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2014
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | X, 136 S. graph. Darst. |
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Record in the Search Index
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| adam_text | FACHBEREICH WIRTSCHAFTS-
WISSENSCHAFTEN
MODELING AND MANAGEMENT OF
BIOMETRIC RISK
(MODELLIERUNG UND MANAGEMENT BIOMETRISCHER RISIKEN)
DER RECHLS- UND WIRTSCHAFTSWISSENSCHAFTLICHEN FAKULTAT /
DEM FACHBEREICH WIRTSCHAFTSWISSENSCHAFTEN
DER FRIEDRICH-ALEXANDER-UNIVERSITAT ERLANGEN-NIIRNBERG
ZUR
ERLANGUNG DES DOKTORGRADES
DR. RER. POL.
VORGELEGT VON
ALEXANDER HENDRIK MAGEBIER, MS IOE (UNIV. OF MICHIGAN)
AUS NEUMIINSTER
HTTP://D-NB.INFO/1064900984
CONTENTS
ABSTRACT IX
ZUSAMMENFASSUNG X
I. INTRODUCTION 1
1. MOTIVATION AND RESEARCH QUESTIONS 1
2. RESEARCH OBJECTIVES 4
REFERENCES 8
II. VALUATION AND RISK ASSESSMENT OF DISABILITY INSURANCE USING A
DISCRETE TIME TRIVARIATE
MARKOV RENEWAL REWARD PROCESS 13
1. INTRODUCTION 14
2. DISCRETE TIME BIVARIATE MARKOV RENEWAL REWARD PROCESS 17
2.1 DEFINITION OF THE DISCRETE TIME BIVARIATE MARKOV RENEWAL PROCESS 17
2.2 INTEGRATION OF REWARDS 20
3. DISCRETE TIME TRIVARIATE MARKOV RENEWAL REWARD PROCESS 20
3.1 DEFINITION OF THE DISCRETE TIME TRIVARIATE MARKOV RENEWAL PROCESS 20
3.2 THE EXPECTED VALUE OF THE ACCUMULATED DISCOUNTED REWARDS 23
3.3 CALCULATING THE N-TH RAW MOMENT OF THE ACCUMULATED DISCOUNTED REWARD
26
3.4 AN ASSUMED DEPENDENCE BETWEEN THE INTER-ARRIVAL TIMES IN TWO
SUCCESSIVE STATES. 27
4. SIMULATION APPROACH 29
5. NUMERICAL ANALYSIS 31
5.1 INPUT PARAMETERS AND EVOLUTION GRAPH 31
5.2 COMPARISON WITH OTHER EXISTING MODELS AND SENSITIVITY ANALYSIS 35
6. SUMMARY AND CONCLUSION 35
REFERENCES 37
APPENDIX 39
III. THE IMPACT OF DISABILITY INSURANCE ON A PORTFOLIO OF LIFE
INSURANCES 43
1. INTRODUCTION 44
2. MODEL FRAMEWORK 46
2.1 THE MODELING OF MORTALITY RATES 46
2.2 THE DISCRETE TIME NON-HOMOGENEOUS MARKOV RENEWAL PROCESS 47
2.3 MULTIPLE STATE MODELS IN DISABILITY AND LIFE INSURANCE 49
2.4 MODELING THE INSURANCE COMPANY 50
2.5 RISK MEASUREMENT 55
3. NUMERICAL ANALYSIS 55
3.1 MORTALITY ESTIMATION AND PROJECTION 55
3.2 INPUT PARAMETERS 56
3.3 THE IMPACT OF DISABILITY INSURANCE ON A LIFE INSURER S RISK
SITUATION: THE IMPACT OF
DIVERSIFICATION EFFECTS 59
3.4 NATURAL HEDGING IN A LIFE INSURANCE PORTFOLIO WITH DISABILITY
INSURANCE: THE IMPACT
OF SHOCKS TO MORTALITY 64
3.5 NATURAL HEDGING IN A LIFE INSURANCE PORTFOLIO WITH DISABILITY
INSURANCE: THE IMPACT
OF SHOCKS TO DISABILITY RISK 67
4. CONCLUSION 69
REFERENCES 71
APPENDIX 74
IV. SECURITIZATION OF DISABILITY RISK VIA BONDS AND SWAPS 77
1. INTRODUCTION 78
2. DISCUSSION OF VARIOUS ASPECTS ASSOCIATED WITH THE SECURITIZATION 81
2.1 GENERAL CHARACTERISTICS OF BONDS AND SWAPS LINKED TO LIFE INSURANCE
81
2.2 ADVANTAGES AND DISADVANTAGE 83
2.3 COMPARISON OF POTENTIAL DISABILITY-LINKED INDICES WITH
MORTALITY-LINKED ONES 86
2.4 BASIS RISK 88
2.5 POTENTIAL MARKET SUCCESS, BENEFITS AND LIMITATIONS FROM A PRACTICAL
POINT OF VIEW.. 89
3. POTENTIAL DESIGN AND VALUATION OF DISABILITY BONDS AND SWAPS 91
3.1 THE DISCRETE TIME MARKOV RENEWAL PROCESS AND THE ASSOCIATED
SEMI-MARKOV PROCESS
91
3.2 POTENTIAL LINKS TO THE DISABILITY EXPERIENCE 95
3.3 POTENTIAL DESIGN OF THE DISABILITY BOND AND FEATURES OF THE COUPON
PAYMENTS 97
3.4 DESIGN OF THE DISABILITY SWAP 101
3.5 VALUATION OF THE SUGGESTED DISABILITY-LINKED SECURITIES 102
4. SUMMARY AND CONCLUSION 103
REFERENCES 105
APPENDIX 109
V. CRITICAL ILLNESS INSURANCES: CHALLENGES AND OPPORTUNITIES FOR
INSURERS 111
1. INTRODUCTION 112
2. CRITICAL ILLNESS INSURANCE: CONTRACT DESIGN AND MARKET DEVELOPMENT
113
2.1 COVERAGE 113
2.2 SPECIFICS OF THE CONTRACT STRUCTURE 115
VII
2.3 TYPES OF CRITICAL ILLNESS INSURANCE 116
2.4 MARKET DEVELOPMENT IN SELECTED MARKETS 118
3. COMPARISONS WITH ALTERNATIVE PRODUCTS 120
3.1 CANCER INSURANCE 120
3.2 HEALTH INSURANCE 121
3.3 DISABILITY INSURANCE 121
3.4 PERSONAL ACCIDENT INSURANCE 123
4. CHALLENGES AND OPPORTUNITIES FROM AN INSURERS PERSPECTIVE 124
4.1 AVAILABILITY OF PRECISE DEFINITIONS AND CLEAR DIAGNOSIS 124
4.2 PRICING AND RISK ASSESSMENT - DATA AVAILABILITY 12S
4.3 ASYMMETRIC INFORMATION 126
4.4 INNOVATIONS AND FURTHER PRODUCT DESIGNS 126
4.5 DEMAND FACTORS AND POTENTIAL BUYERS 128
4.6 CII MARKETING ASPECTS 129
5. SUMMARY 130
REFERENCES 132
VI. CONCLUSION 135
|
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| format | Thesis Book |
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| spelling | Mägebier, Alexander Hendrik Verfasser (DE-588)1067088415 aut Modeling and management of biometric risk = (Modellierung und Management biometrischer Risiken) vorgelegt von Alexander Hendrik Mägebier (Modellierung und Management biometrischer Risiken) 2014 X, 136 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Erlangen-Nürnberg, Univ., Diss., 2014 Dread-Disease-Versicherung (DE-588)4796354-2 gnd rswk-swf Berufsunfähigkeit (DE-588)4005951-0 gnd rswk-swf Lebensversicherung (DE-588)4034928-7 gnd rswk-swf Management (DE-588)4037278-9 gnd rswk-swf Biometrisches Modell (DE-588)4145641-5 gnd rswk-swf Risiko (DE-588)4050129-2 gnd rswk-swf Modellierung (DE-588)4170297-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Management (DE-588)4037278-9 s Biometrisches Modell (DE-588)4145641-5 s Risiko (DE-588)4050129-2 s Modellierung (DE-588)4170297-9 s Berufsunfähigkeit (DE-588)4005951-0 s Lebensversicherung (DE-588)4034928-7 s Dread-Disease-Versicherung (DE-588)4796354-2 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027689982&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Mägebier, Alexander Hendrik Modeling and management of biometric risk = (Modellierung und Management biometrischer Risiken) Dread-Disease-Versicherung (DE-588)4796354-2 gnd Berufsunfähigkeit (DE-588)4005951-0 gnd Lebensversicherung (DE-588)4034928-7 gnd Management (DE-588)4037278-9 gnd Biometrisches Modell (DE-588)4145641-5 gnd Risiko (DE-588)4050129-2 gnd Modellierung (DE-588)4170297-9 gnd |
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| title | Modeling and management of biometric risk = (Modellierung und Management biometrischer Risiken) |
| title_alt | (Modellierung und Management biometrischer Risiken) |
| title_auth | Modeling and management of biometric risk = (Modellierung und Management biometrischer Risiken) |
| title_exact_search | Modeling and management of biometric risk = (Modellierung und Management biometrischer Risiken) |
| title_full | Modeling and management of biometric risk = (Modellierung und Management biometrischer Risiken) vorgelegt von Alexander Hendrik Mägebier |
| title_fullStr | Modeling and management of biometric risk = (Modellierung und Management biometrischer Risiken) vorgelegt von Alexander Hendrik Mägebier |
| title_full_unstemmed | Modeling and management of biometric risk = (Modellierung und Management biometrischer Risiken) vorgelegt von Alexander Hendrik Mägebier |
| title_short | Modeling and management of biometric risk |
| title_sort | modeling and management of biometric risk modellierung und management biometrischer risiken |
| title_sub | = (Modellierung und Management biometrischer Risiken) |
| topic | Dread-Disease-Versicherung (DE-588)4796354-2 gnd Berufsunfähigkeit (DE-588)4005951-0 gnd Lebensversicherung (DE-588)4034928-7 gnd Management (DE-588)4037278-9 gnd Biometrisches Modell (DE-588)4145641-5 gnd Risiko (DE-588)4050129-2 gnd Modellierung (DE-588)4170297-9 gnd |
| topic_facet | Dread-Disease-Versicherung Berufsunfähigkeit Lebensversicherung Management Biometrisches Modell Risiko Modellierung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027689982&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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