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Full-Text Articles in Business
Risky Asset Substitution In The Insurance Industry: An Historical Example, Brenda Wells, Karen Epermanis, Larry A. Cox, Michael Mcshane
Risky Asset Substitution In The Insurance Industry: An Historical Example, Brenda Wells, Karen Epermanis, Larry A. Cox, Michael Mcshane
Finance Faculty Publications
In the 1980s, life insurers sold guaranteed investment contracts (GICs) to pension plan sponsors, then backed these contracts with portfolios heavily weighted with higher risk assets such as common stocks and junk bonds. Ultimately this caused considerable loss, and history has repeated itself in many respects in recent years via holdings of equities and mortgage-backed securities. We evaluate the risky asset substitution in the life insurance industry from an historical perspective to determine if organizational form or other factors might be rationale for managerial decisions to engage in asset substitution. We find evidence that stock insurer managers are more likely …
Solvency Of Life Insurance Companies: Methodological Issues, Rosa Cocozza, Emilia Di Lorenzo
Solvency Of Life Insurance Companies: Methodological Issues, Rosa Cocozza, Emilia Di Lorenzo
Journal of Actuarial Practice (1993-2006)
The paper deals with solvency assessment for life insurance business; some methodological issues concerning the solvency of life insurance companies, particularly connected to the investment risk, are suggested. Considerations about the technical equilibrium of an insurance portfolio and the financial regulation lead to a dynamic system involving risk measure and solvency assessment. The formal model is applied to a life annuity cohort in a stochastic context in order to exemplify the potential of the model, especially referred to the need to frame solvency assessment in a dynamic perspective.
Fuzzy Underwriting: An Application Of Fuzzy Logic To Medical Underwriting, Per-Johan Horgby, Ralf Lohse, Nicola-Alexander Sittaro
Fuzzy Underwriting: An Application Of Fuzzy Logic To Medical Underwriting, Per-Johan Horgby, Ralf Lohse, Nicola-Alexander Sittaro
Journal of Actuarial Practice (1993-2006)
One of the most difficult issues in the medical underwriting of life insurance applicants is diabetes mellitus. Compiling the prognosticating parameters for diabetic applicants results in a complex system of mutually interacting factors. In addition, neither the prognosticating factors themselves nor their impact on the mortality risk is clear cut. We show how a fuzzy inference system can be used in underwriting diabetes mellitus. A fuzzy inference system can cope with the imprecise nature of medical parameters by converting them into fuzzy sets and aggregating them using mathematical techniques. The fuzzy underwriting system presented goes further than previous applications of …