共查询到20条相似文献,搜索用时 31 毫秒
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Hans Cl. Nybølle 《Scandinavian actuarial journal》2013,2013(1-2):95-101
Summary In the theory of Poisson processes and compound Poisson processes with time-dependent change variables some results are obtained by use of a transformed change variable, independent of time. The theorem presented below shows that this method can be used in a wide class of problems, many of which are of actuarial interest. 相似文献
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Arne Benzin 《保险科学杂志》2005,94(4):709-738
After the terrorist attack of September 11 the ongoing discussion about terrorism in the insurance industry focuses especially on the question to what extent terrorism risk is insurable at all. In this context the subsequent analysis of insurability draws the conclusion that from a theory perspective the statement — ?terrorism is not insurable“ — cannot be sustained. Simultaneously this thesis is supported both by insurance practice and also by a comparison of other extreme risks which have a similar risk exposure like the terrorism risk and which equally violate the established limits of insurability. 相似文献
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Reiner Hans 《保险科学杂志》2005,94(4):789-813
The opening of national life insurance markets is prevented by the fear, that the mortality experience might be too different to adopt one country’s principles to other markets. In this article the postwar German mortality is related to main cause of death groups, showing a simular development in relation to what was observed in the US and other countries. Comparing actual population life tables of Western European countries unvails that today’s differences in the death probabilities are only minor. From this point of view selling German life insurance contracts in neighborning countries like Austria or Switzerland would not create an unacceptable risk. 相似文献
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Thomas Schulz 《Financial Markets and Portfolio Management》2003,17(4):459-465
Ohne Zusammenfassung 相似文献
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Mirko Kraft 《保险科学杂志》2012,101(5):657-674
This paper analyses how the foreseen Solvency II provisions on group solvency calculations will affect the capital allocation within insurance groups. In this respect influencing factors are identified and the incentives set by them are disputed, in particular choice of method (consolidation method vs. deduction and aggregation method), choice of model (internal model vs. standard formula), non-transferability and treatment of participations at solo level. It is shown that the effects will depend heavily on the concrete implementation of the new provisions on the one hand and on the interplay of national supervisors and EIOPA (inter alia in certifying internal models and in setting capital add-ons) on the other hand. 相似文献
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Horst Baumann 《保险科学杂志》2002,91(2):169-202
The investigation deals with constitutional and insurance law problems of gene tests on completion of life and health insurance contracts. There are predominate reasons for the admissibility of a fundamental prohibition of predictive gene tests as a requirement of the completion of an insurance contract. Exceptions from the prohibition are only thinkable in special cases. Gene tests that were already performed should be allowed to be used by the insurer (only) if the insurer offers an expectancy insurance to the person affected. Furthermore the person must be informed about possible insurance related and legal risks before commencement of the test by the physician. 相似文献
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Current discussions of Insurance Accounting and supervisory regulation present some major challenges for insurance companies. The International Accounting Standards Board (IASB) started a project on Insurance Accounting to apply the principles of fair value to insurance liabilities. At the same time ‘Solvency II’ contains a fundamental and wide-ranging review of the insurance solvency regime in the light of adequate risk consideration. The paper discusses the aims and problems of both projects. The separate illustration presents the basis to identify the essential interdependences of ‘Insurance IFRS’ and ‘Solvency II’.The main problem is to create a unique valuation basis for Insurance Liabilities which makes allowance for relevant and reliable accounting rules as well as for solvency margins. On the basis of an actuarial approach an adequate model is shown. The construction of Fair Value contains the deviation of a Market Value Margin (MVM), which reflects the premium that a marketplace participant would demand for bearing the uncertainty inherent in the cash flows. For the purpose of solvency additional risk components must be integrated due to the fact that the Market Value Margin basically does not allow for all parts of volatility and uncertainty risk in insurance liabilities. 相似文献
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One of the major problems in the market development of cat bonds is their impact on the economical capital requirement, while non-indemnity-triggers are used. In this article, an example portfolio is constructed which is heavily exposed to hurricane risks in Florida. A cat bond with a parametric trigger, a reinsurance without collateral and two other reference covers are used on this portfolio and their capital relief effect are calculated by means of monte carlo simulation. Amongst others, it shows that not only basis risk, but also default risk and cost disadvantage lead to the decline of a risk transfer instrument's capital relief effect. In the next step, the simulation is extended to the value based management with the capital requirement being a constraint and the maximization of the company's value being the objective function. In this context, the basis risk shows a much lower influence compared with the cost factors. 相似文献
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Prof. Dr. Johannes Grabmeier 《保险科学杂志》2006,95(1):75-89
A golden rule for data modelling for data mining classification models with special considerations of problems in insurances. To create classification models to avoid contract cancellations and for cross selling purposes to be used in marketing and sales of insurance companies the necessary data modelling will be discussed. Starting from a binary classification variable — cancelled contracts and active contracts, customers of a branch and non-customers of a branch — we in particular focus on the importance of historical data: To be able to detect decision patterns for cancellations respectively for new contracts in the data with the help of data mining tools, it is necessary for such contracts respectively customers not to use actual data, but data as they were at the time of decision. This obvious, but rarely used principle, is presented in detail as a golden rule for correct data modelling in such situations. As a case study a project and results for nine branches in each case of the Gothaer Versicherungen is presented. 相似文献
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Hato Schmeiser 《保险科学杂志》1998,87(1-2):95-123
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Hato Schmeiser 《保险科学杂志》2001,90(1):139-159
The KonTraG (law for control and transparency of firms) obliges corporations to install a risk management system. The common literature referring to the KonTraG only offers some requirements for risk management models. Yet, approaches for an implementation in the insurance practice cannot be found. On the other hand, there is a variety of general stochastic insurance models, but due to their high complexity a practical implementation for KonTraG purposes is doubtful. This article wishes to serve as a link by including KonTraG requirements in a theoretical model, which can easily be implemented in insurance practice with the help of modern IT. The main focus of this article is the development of a risk management model for property-liability and reinsurance companies. 相似文献