共查询到20条相似文献，搜索用时 15 毫秒
1.
Gunnar Trier 《Scandinavian actuarial journal》2013,2013(3-4):204-218
Abstract Extract Life insurance companies are interested III investigations of the mortality among that group of applicants whose applications for insurance, for health reasons, have not been accepted. The compa. nies thereby obtain material enabling them to decide whether their rejection policy during a period has been too strict or not, and on which points, if any, the selection of risks can be liberalized. 相似文献
2.
Per-Johan Horgby 《The GENEVA Papers on Risk and Insurance - Theory》1998,23(1):63-82
Traditionally, policyholders in life insurance are classified in simple mortality tables, most often according to only a few risk characteristics. Instead of a risk classification according to the numerical rating system, this article describes how to classify by using a fuzzy inference methodology. By defining risk factors as fuzzy sets, it is shown that an insurer can utilize multiple prognostic factors that are imprecise and vague. The presented fuzzy risk classification provides a more realistic way of modeling mortality risks since it allows for compensations and interactions between multiple risk factors. 相似文献
3.
Peng Shi 《Scandinavian actuarial journal》2016,2016(3):198-215
The Tweedie distribution, featured with a mass probability at zero, is a convenient tool for insurance claims modeling and pure premium determination in general insurance. Motivated by the fact that an insurance policy typically provides multiple types of coverage, we propose a copula-based multivariate Tweedie regression for modeling the semi-continuous claims while accommodating the association among different types. The proposed approach also allows for dispersion modeling, resulting in a multivariate version of the double generalized linear model. We demonstrate the application in insurance ratemaking using a portfolio of policyholders of automobile insurance from the state of Massachusetts in the United States. 相似文献
4.
天气指数保险是传统农业保险、区域产量保险的创新。选择天气指数保险探讨其费率厘定,有助于克服道德风险和逆选择,确保农业保险快速、健康地发展。粮食作物日照时间天气指数保险的费率厘定,首先要测算日照过短(或日照过长)的严重程度,计算日照过短(或日照过长)测度指标;再分析气候因素导致粮食作物减产的程度,计算气候减产率;然后利用计量经济分析方法,确立气候减产率与日照过短(或日照过长)测度指标之间的定量关系;最后根据该定量关系以及日照过短(或日照过长)测度指标的期望值,求得日照时间天气指数保险的费率。 相似文献
5.
本文通过对金融创新和金融风险的分析,讨论了金融创新风险的一般概念.然后,根据金融创新风险产生的原因以及对金融体系的不同影响进行分类,划分为金融创新自身活动及产品风险、金融创新市场风险、金融创新机构风险、金融创新货币政策及监管风险、金融创新系统化及国际化风险等,并对每一种风险的形成进行分析和阐述. 相似文献
6.
本文通过对金融创新和金融风险的分析,讨论了金融创新风险的一般概念。然后,根据金融创新风险产生的原因以及对金融体系的不同影响进行分类,划分为金融创新自身活动及产品风险、金融创新市场风险、金融创新机构风险、金融创新货币政策及监管风险、金融创新系统化及国际化风险等,并对每一种风险的形成进行分析和阐述。 相似文献
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Despite poverty alleviation efforts, almost a quarter of households live below the poverty line in Turkey. This article aims to examine the dynamics of poverty focusing on poverty persistence in Turkey, utilizing Income and Living Conditions panel data belonging to 2010–2013. A random effects dynamic panel probit model has been employed. In order to tackle the initial values problem Heckman’s reduced form approximation is utilized. Empirical results indicate that gender, educational attainment, employment type, and household structure have statistically significant impact on the probability of being poor. Besides, experiencing poverty has a positive impact on future poverty likelihood, signalling state dependence. 相似文献
9.
This paper considers a risk-based approach for pricing an American contingent claim in an incomplete market described by a continuous-time, Markov, regime-switching jump-diffusion model. We formulate the valuation problem as a stochastic differential game and use dynamic programming. Verification theorems for the Hamilton–Jacobi–Bellman–Issacs (HJBI) variational inequalities of the games are used to determine the seller's and buyer's prices and optimal exercise strategies. 相似文献
10.
While recency effects have been reported in a variety of audit tasks, recent studies suggest that these effects may be mitigated under certain conditions. The importance of investigating order effects in auditors' judgments rests with its potential to impact on the efficiency and effectiveness of audits. Since current studies suggest that recency effects may not impact on all audit situations, it is necessary to identify conditions or variables in the task environment that either induce or mitigate recency.
This study examines the occurrence of order effects in auditors' inherent risk assessments, a task not previously examined. Using a case study administered to 70 auditors, this study found that auditors' judgments were not influenced by the order in which audit evidence was evaluated. Rather, the results suggest that judgments of inherent risk may be biased towards conservatism. This may not be surprising given the negative consequences associated with failing to adequately plan an audit. This may cause auditors to act cautiously and thus mitigate recency effects. 相似文献
This study examines the occurrence of order effects in auditors' inherent risk assessments, a task not previously examined. Using a case study administered to 70 auditors, this study found that auditors' judgments were not influenced by the order in which audit evidence was evaluated. Rather, the results suggest that judgments of inherent risk may be biased towards conservatism. This may not be surprising given the negative consequences associated with failing to adequately plan an audit. This may cause auditors to act cautiously and thus mitigate recency effects. 相似文献
11.
This study investigates the impact of country risk ratings on the wealth gains to large U.S. bidders involved in cross-border acquisitions. The findings indicate that U.S. bidders experience positive wealth gains during the merger announcements, though this is concentrated in transactions involving European targets. There are also differences in wealth gains to bidders with respect to industry classification and location of foreign targets. The country risk factors including economic, political, and financial risk ratings all play a significant role in explaining the wealth gains to bidders. Furthermore, the wealth gains are higher for the firms with acquisitions in developed countries and are significantly related to GNP growth rate. 相似文献
12.
Salim Lahmiri 《International Journal of Intelligent Systems in Accounting, Finance & Management》2016,23(4):265-275
The aim of this paper is to compare several predictive models that combine features selection techniques with data mining classifiers in the context of credit risk assessment in terms of accuracy, sensitivity and specificity statistics. The t‐statistic, Battacharrayia statistic, the area between the receiver operating characteristic, Wilcoxon statistic, relative entropy, and genetic algorithms were used for the features selection task. The selected features are used to train the support vector machine (SVM) classifier, backpropagation neural network, radial basis function neural network, linear discriminant analysis and naive Bayes classifier. Results from three datasets using a 10‐fold cross‐validation technique showed that the SVM provides the best accuracy under all features selections techniques adopted in the study for all three datasets. Therefore, the SVM is an attractive classifier to be used in real applications for bankruptcy prediction in corporate finance and financial risk management in financial institutions. In addition, we found that our best results are superior to earlier studies on the same datasets. 相似文献
13.
H. Semih Yildirim Seung-Woog Kwag M. Cary Collins 《Journal of Business Finance & Accounting》2006,33(9-10):1629-1649
Abstract: This paper examines the wealth effects of the events surrounding the passage of the Gramm-Leach-Bliley Act of 1999 and changes in systematic risk from the pre-Act period to the post-Act period for commercial banks, investment banks, and insurance firms. The results suggest that investment banks and insurance firms are better positioned to exploit the benefits of product-line diversification opportunities allowed by the legislation compared to commercial banks that experience no significant market reaction. Further evidence indicates a significant risk shift and overall reduction in riskiness for the financial sectors under consideration around the event period. 相似文献
14.
On-demand insurance is an innovative business model from the InsurTech space, which provides coverage for episodic risks. It makes use of a simple fact in a practical way: People differ in their frequency of exposure as well as the probability of loss. The extra dimension of heterogeneity can be used to screen the insured and shifts the utility-possibility frontier outward. We provide a sufficient condition under which type-specific full insurance at the actuarially fair price is incentive compatible. We also show that our results hold for various real-world implementations of on-demand insurance. 相似文献
15.
Rasmus Kær Jørgensen Christian Igel 《International Journal of Intelligent Systems in Accounting, Finance & Management》2021,28(3):159-172
An important initial step in accounting is mapping financial transfers to the corresponding accounts. We devised machine-learning-based systems that automate this process. They use word embeddings with character-level features to process transaction texts. When considering 473 companies independently, our approach achieved an average top-1 accuracy of 80.50%, outperforming baselines that exclude the transaction texts or rely on a lexical bag-of-words text representation. We extended the approach to generalizes across companies and even across different corporate sectors. After standardization of the account structures and careful feature engineering, a single classifier trained on 44 companies from 28 sectors achieved a test accuracy of more than 80%. When trained on 43 companies and tested on the remaining one, the system achieved an average performance of 64.62%. This rate increased to nearly 70% when considering only the largest sector. 相似文献
16.
运用非参数计量方法对湖南省14个市(州)的产学研合作和区域经济增长进行实证分析,结果表明湖南省各市(州)产学研合作对经济增长的影响弹性约为0.12,因此,应进一步理顺管理体制,完善配套政策,选择符合当地实际的产学研合作模式. 相似文献
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18.
T. Pentikäinen 《Scandinavian actuarial journal》2013,2013(1):29-53
Abstract The conventional applications of the theory of risk concern many important sides of the insurance business, e.g. evaluating the stability, estimating a suitable level for maximum net retention, safety loading or the funds. Whether or not the applications have been useful for practical management may have depend very much on how the risk theoretical treatments have been linked with the complexity of various other aspects involved with the actual decision making. Quite obviously the difficulties in this respect have been considerable, probably sometimes quite overwhelming, according to opinions sometimes expressed that the risk theory is lacking in any practical value. Our purpose is to attack just this problem and to endeavour to build up a picture of the management process of the insurance business in its entirety (as far as possible) and to place the risk theoretical aspects in it as a part among numerous other parts, most of which are not of an actuarial character. In this way some of the classical applications of risk theory are amalgamated with the ideas of modern business planning, especially with the technics of long-range prognoses on the basis of different, often alternative preassumptions or, as it is often called, different business strategies. The main ideas are outlined in the study book of risk theory by Beard-Pentikainen-Pesonen (1969), chapter 13. 相似文献
19.
Bond rating Transition Probability Matrices (TPMs) are built over a one-year time-frame and for many practical purposes, like the assessment of risk in portfolios or the computation of banking Capital Requirements (e.g. the new IFRS 9 regulation), one needs to compute the TPM and probabilities of default over a smaller time interval. In the context of continuous time Markov chains (CTMC) several deterministic and statistical algorithms have been proposed to estimate the generator matrix. We focus on the Expectation-Maximization (EM) algorithm by Bladt and Sorensen. [J. R. Stat. Soc. Ser. B (Stat. Method.), 2005, 67, 395–410] for a CTMC with an absorbing state for such estimation. This work’s contribution is threefold. Firstly, we provide directly computable closed form expressions for quantities appearing in the EM algorithm and associated information matrix, allowing to easy approximation of confidence intervals. Previously, these quantities had to be estimated numerically and considerable computational speedups have been gained. Secondly, we prove convergence to a single set of parameters under very weak conditions (for the TPM problem). Finally, we provide a numerical benchmark of our results against other known algorithms, in particular, on several problems related to credit risk. The EM algorithm we propose, padded with the new formulas (and error criteria), outperforms other known algorithms in several metrics, in particular, with much less overestimation of probabilities of default in higher ratings than other statistical algorithms. 相似文献
20.
业务运营风险具有内生性、复杂性、隐蔽性和关联性的明显特征,主要来源于内部程序、员工、科技信息系统和外部事件,大多数是在银行可控范围内的内生风险,但银行又无法保证因承担业务运营风险而获得收益.近年来,各商业银行日益重视业务运营风险,工商银行适时实施新监督体系改革,以"业务运营风险管理系统"为主要平台,配套以"风险事件分级... 相似文献