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- Adverse selection (2)
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- Moral hazard (2)
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- AMA (1)
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- Actuarial Model Risk (1)
- Annuity Crediting Strategies (1)
- Asymmetric information (1)
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- Financial Service Integration; Conglomeration; Gra (1)
- Firm Performance (1)
- Insurance regulation (1)
- LDA (1)
- Longevity risk (1)
- Maximum entropy (1)
- Mergers and Acquisitions (1)
- Moment problem (1)
- Mortality Securitization (1)
- Operational risk (1)
- Optimal Exercise Behavior. Frictions. Guaranteed Minimum Benefits. Life Settlements (1)
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Articles 1 - 16 of 16
Full-Text Articles in Insurance
Sec Risk Factors: A Structural Topic Model (Stm) Approach, Kelli A. Duncan, Brandon Vi Trieu
Sec Risk Factors: A Structural Topic Model (Stm) Approach, Kelli A. Duncan, Brandon Vi Trieu
Georgia State Undergraduate Research Conference
No abstract provided.
Risk, Governance, And Readability: An Examination Of Corporate Risk Discussions, Rwanda Smith
Risk, Governance, And Readability: An Examination Of Corporate Risk Discussions, Rwanda Smith
Georgia State Undergraduate Research Conference
No abstract provided.
Tort Reform And Accidental Deaths: Is There A Link?, Haley Tipsord
Tort Reform And Accidental Deaths: Is There A Link?, Haley Tipsord
Georgia State Undergraduate Research Conference
No abstract provided.
Policyholder Exercise Behavior In Life Insurance: The State Of Affairs, Daniel Bauer, Jin Gao, Thorsten Moenig, Eric R. Ulm, Nan Zhu
Policyholder Exercise Behavior In Life Insurance: The State Of Affairs, Daniel Bauer, Jin Gao, Thorsten Moenig, Eric R. Ulm, Nan Zhu
Risk Management and Insurance Faculty Publications
The paper presents a review of structural models of policyholder behavior in life insurance. We first discuss underlying drivers of policyholder behavior in theory and survey the implications of different models. We then turn to empirical behavior and appraise how well different drivers explain observations. The key contributions lie in the synthesis and the systematic categorization of different approaches. The paper should provide a foundation for future studies, and we describe some important directions for future research in the conclusion.
The Effect Of Labor Income And Health Uncertainty On The Valuation Of Guaranteed Minimum Death Benefits, Jin Gao, Eric R. Ulm
The Effect Of Labor Income And Health Uncertainty On The Valuation Of Guaranteed Minimum Death Benefits, Jin Gao, Eric R. Ulm
Risk Management and Insurance Faculty Publications
We examine the effect of labor income and health uncertainty on the optimal choices of policyholders with Guaranteed Minimum Death Benefits embedded in Variable Annuities. These choices are determined in the context of a utility-based life cycle model including bequest motives and optimal term life purchases. We then determine risk-neutral prices from the perspective of the issuing financial institutions. In contrast to previous studies which do not include income and health uncertainty, we find that very risk-averse policyholders in weak job markets would be willing to pay the risk-neutral price in order to receive these benefits. This occurs because an …
On The Interaction Between Transfer Restrictions And Crediting Strategies In Guaranteed Funds, Eric R. Ulm
On The Interaction Between Transfer Restrictions And Crediting Strategies In Guaranteed Funds, Eric R. Ulm
Risk Management and Insurance Faculty Publications
Guaranteed funds with crediting rates for fixed periods determined by a Pension Provider or Insurance Company are common features of accumulation annuity contracts. Policyholders can transfer money back and forth between these accounts and Money Market accounts which give them features similar to demand deposits and yet they frequently credit a higher rate than the Money Market. Transfer restrictions are commonly employed to prevent arbitrage. In this paper, we model the interaction between company and policyholder as a multiperiod game in which the company maximizes risk-neutral expected present value of profits and the policyholder maximizes his expected discounted utility. We …
A Dynamic Analysis Of Variable Annuities And Guarenteed Minimum Benefits, Jin Gao
A Dynamic Analysis Of Variable Annuities And Guarenteed Minimum Benefits, Jin Gao
Risk Management and Insurance Dissertations
We determine the optimal allocation of funds between the fixed and variable sub-accounts in a variable annuity with a GMDB (Guaranteed Minimum Death Benefit) clause featuring partial withdrawals by using a utility-based approach. In section two, the Merton method is applied by assuming that individuals allocate funds optimally in order to maximize the expected utility of lifetime consumption. It also reflects bequest motives by including the recipient's utility in terms of the policyholder's guaranteed death benefits. We derive the optimal transfer choice by the insured, and furthermore price the GMDB through maximizing the discounted expected utility of the policyholders and …
Essays On Adverse Selection And Moral Hazard In Insurance Market, Jian Wen
Essays On Adverse Selection And Moral Hazard In Insurance Market, Jian Wen
Risk Management and Insurance Dissertations
Essay One examines the asymmetric information problem between primary insurers and reinsurers in the reinsurance industry and contributes uniquely to the separation of adverse selection from moral hazard, if both are present. A two-period principal-agent model is set up to identify the signals of adverse selection and moral hazard generated by the actions of the primary insurer and to provide a basis for corresponding hypotheses for empirical testing. Using data from the National Association of Insurance Commissioners (NAIC) and A.M. Best Company, the empirical tests show that the problem of adverse selection exists in the reinsurance market between the affiliated …
Reinsurance Contracting With Adverse Selection And Moral Hazard: Theory And Evidence, Zhiqiang Yan
Reinsurance Contracting With Adverse Selection And Moral Hazard: Theory And Evidence, Zhiqiang Yan
Risk Management and Insurance Dissertations
This dissertation includes two essays on adverse selection and moral hazard problems in reinsurance markets. The first essay builds a competitive principal-agent model that considers adverse selection and moral hazard jointly, and characterizes graphically various forms of separating Nash equilibria. In the second essay, we use panel data on U.S. property liability reinsurance for the period 1995-2000 to test for the existence of adverse selection and moral hazard. We find that (1) adverse selection is present in private passenger auto liability reinsurance market and homeowners reinsurance market, but not in product liability reinsurance market; (2) residual moral hazard does not …
Contingent Claim Pricing With Applications To Financial Risk Management, Hua Chen
Contingent Claim Pricing With Applications To Financial Risk Management, Hua Chen
Risk Management and Insurance Dissertations
Contingent Claim Pricing with Applications to Financial Risk Management By Hua Chen 2008 Committee Chair: Samuel H. Cox and Shaun Wang Major Academic Unit: Department of Risk Management and Insurance This is a multi-essay dissertation designed to explore the contingent claim pricing theory with non-tradable underlying assets, with emphasis on its applications to insurance and risk management. In the first essay, I apply the real option pricing theory and dynamic programming methods to address problems in the area of operational risk management. Particularly, I develop a two-stage model to help firms determine optimal switching triggers in the event of an …
Moment Problems With Applications To Value-At-Risk And Portfolio Management, Ruilin Tian
Moment Problems With Applications To Value-At-Risk And Portfolio Management, Ruilin Tian
Risk Management and Insurance Dissertations
Moment Problems with Applications to Value-At-Risk and Portfolio Management By Ruilin Tian May 2008 Committee Chair: Dr. Samuel H. Cox Major Department: Risk Management and Insurance My dissertation provides new applications of moment theory and optimization to financial and insurance risk management. In the investment and managerial areas, one often needs to determine some measure of risk, especially the risk of extreme events. However, complete information of the underlying outcomes is usually unavailable; instead one has access to partial information such as the mean, variance, mode, or range. In Chapters 2 and 3, we find the semiparametric upper and lower …
Analysis Of Pricing And Reserving Risks With Applications In Risk-Based Capital Regulation For Property/Casualty Insurance Companies, Chayanin Kerdpholngarm
Analysis Of Pricing And Reserving Risks With Applications In Risk-Based Capital Regulation For Property/Casualty Insurance Companies, Chayanin Kerdpholngarm
Risk Management and Insurance Dissertations
The subject of the study for this dissertation is the relationship between pricing and reserving risks for property-casualty insurance companies. Since the risk characteristics of insurers differ based on their structure, objectives and incentives, segmenting the insurers into subgroups would allow for a better understanding of group-specific risks. Based on this approach to analyzing insurer financial risks, we find that, in a given accident year, the pricing and reserving errors are positively correlated, especially in long-tailed lines of business. Large insurers, stock insurers, and multi-state insurers, in general, exhibit a strong correlation between accident-year price and reserve errors. However, only …
Financial Integration And Scope Efficiency: Post Gramm-Leach-Bliley, Yuan Yuan
Financial Integration And Scope Efficiency: Post Gramm-Leach-Bliley, Yuan Yuan
Risk Management and Insurance Dissertations
The enactment of the Gramm-Leach-Bliley Act of 1999 promised the most fundamental reform to be made in U.S. financial services regulation in more than half a century. The Gramm-Leach-Bliley Act (GLB) removed barriers that forced separation between commercial banks, investment banks, and insurance companies; and it allowed subsidiaries of banks or insurance companies to engage in a broad range of financial activities that were not permitted for banks or insurers themselves. Few doubted the potential for GLB to have a profound impact on financial service providers and on the financial market. However, there is a striking lack of empirical research …
The Effects Of Merger And Acquisition On The Price Of Insurance And Firm Performance In The U.S. Property-Liability Insurance Industry, Jeung Bo Shim
The Effects Of Merger And Acquisition On The Price Of Insurance And Firm Performance In The U.S. Property-Liability Insurance Industry, Jeung Bo Shim
Risk Management and Insurance Dissertations
Although the economic motivation and efficiency effects of mergers and acquisitions (M & As) in the insurance industry have been discussed, none of the prior studies have addressed the relationship between M & A activity and insurance price change. In addition, little is known about the effect of diversification on the differences in insurance price across lines. The main objective of the dissertation is to provide evidence on these issues. A secondary objective is to investigate the relationship between M & A activity and insurer’s efficiency and financial performance. We also examine various firm characteristics that affect insurance price differences …
The Effect Of Defined Contribution Plans On The Retirement Decision, Wonku Hong
The Effect Of Defined Contribution Plans On The Retirement Decision, Wonku Hong
Risk Management and Insurance Dissertations
This study examines the effect of pensions on the timing of retirement, focusing on the differences between defined benefit (DB) plans and defined contribution (DC) plans. I find that DC plans have different effects on the accumulation of retirement wealth, the incentives for retirement and the risk of retirement benefits than DB plans. Thereby, DC plans have different effects from DB plans on the decision to retire. This paper is the first empirical study to investigate the effect of longevity risk in pension plans on retirement. It is an important addition to the literature on retirement behavior since longevity risk …
Operational Risk Capital Provisions For Banks And Insurance Companies, Edoh Fofo Afambo
Operational Risk Capital Provisions For Banks And Insurance Companies, Edoh Fofo Afambo
Risk Management and Insurance Dissertations
This dissertation investigates the implications of using the Advanced Measurement Approaches (AMA) as a method to assess operational risk capital charges for banks and insurance companies within Basel II paradigms and with regard to U.S. regulations. Operational risk has become recognized as a major risk class because of huge operational losses experienced by many financial firms over the last past decade. Unlike market risk, credit risk, and insurance risk, for which firms and scholars have designed efficient methodologies, there are few tools to help analyze and quantify operational risk. The new Basel Revised Framework for International Convergence of Capital Measurement …