保險學(xué)院科研平臺簡報第2期

1、保險學(xué)院科研平臺簡報 第2期2014-4-11保險學(xué)院研究生會學(xué)術(shù)部 制1.Should I Stay Or Should I Go? The Impact Of Natural Disasters And Regulation On U.S. Property Insurers Supply DecisionsIn this article, we identify the main factors that drive insurers willingness to offer coverage in catastrophe-prone property insurance lines.

2、We compare insurers supply decisions in personal and commercial lines, with an emphasis on insurers responses in the aftermath of natural disasters. Our empirical results suggest important policy implications with regard to improving the availability of insurance against catastrophic threats. Concer

3、ning the impact of regulatory constraints, we present empirical evidence that certain regulatory responses may unintentionally impede insurers willingness to provide coverage against natural disasters.Patricia H. Born，Barbara Klimaszewski-BlettnerThe Journal of Risk and Insurance, 2013, Vol. 80, No.

4、 1, 1-36下載地址 HYPERLINK /CZDKQkqi4H9M70J4000HM /CZDKQkqi4H9M70J4000HM2.The Risk-Sharing Implications Of Disaster Insurance FundsWe study the risk-sharing implications that arise from introducing a disaster insurance fund to the cat insurance market. Such a form of intervention can increase efficiency

5、 in the private market, and our design of disaster insurance suggests a prominent role of catastrophe reinsurance. The model predicts buyers will increase their demand in the private market, and the seller will lower prices to such an extent that their revenues decrease upon introduction of disaster

6、 insurance. We test two predictions in the context of the Terrorism Risk Insurance Act (TRIA). It is already known that the introduction of TRIA led to negative abnormal returns in the insurance industry. In addition, we show this negative effect is stronger for larger and for low-risk-averse firmst

7、wo results that are consistent with our model. The sellers risk aversion plays an important role in quantifying such feedback effects, and we point toward possible distortions in which a firm may even be overhedged upon introduction of disaster insurance.Alex Boulatov, Stephan DieckmannThe Journal o

8、f Risk and Insurance, 2013, Vol. 80, No. 1, 37-64下載地址 HYPERLINK /CZDKQkqi4MVM70J4000HQ /CZDKQkqi4MVM70J4000HQ3.The Impact Of Catastrophes On Insurer Stock VolatilityThis article investigates the impact of natural catastrophes and the 9-11 attacks on (1) the volatility of insurance stocks and (2) the

9、 correlation of insurance stocks with the market. We find that natural catastrophes increase the volatility of insurance stocks. They also have a tendency to reduce the correlation of insurance stocks and the market. Investors can, consequently, diversify natural catastrophe risk by additionally hol

10、dings of a market portfolio. However, this does not hold for 9-11. The events of 9-11 led to increases in volatility and, simultaneously, to an increase in correlation. We also find evidence that 9-11 increased the beta of insurance stocks.Christian ThomannThe Journal of Risk and Insurance, 2013, Vo

11、l. 80, No. 1, 65-94下載地址 HYPERLINK /CZDKQkqi4OFM70J4000Ia /CZDKQkqi4OFM70J4000Ia4.The Value And Risk Of Defined Contribution Pension Schemes: International EvidenceWe use historical data on investment returns and labor income from 16 countries to quantify the value and risk of defined contribution pe

12、nsion plans, building frequency distributions of pension fund and pension replacement ratios for each country. We show that pension risk is substantial and find that pension fund ratios are lower and less variable than when the correlation between wage growth and investment returns is ignored, typic

13、ally halving the median pension fund ratio. We also show that an all-equity fund is the dominant investment strategy across all countries, although sometimes a life-cycle strategy insures against downside risk.Edmund Cannon, Ian TonksThe Journal of Risk and Insurance, 2013, Vol. 80, No. 1, 95-119下載地

14、址 HYPERLINK /CZDKQkqi4RpM70J4000Ic /CZDKQkqi4RpM70J4000Ic5.A Robust Unsupervised Method For Fraud Rate EstimationIf one is interested in managing fraud, one must measure the fraud rate to be able to assess the degree of the problem and the effectiveness of the fraud management technique. This articl

15、e offers a robust new method for estimating fraud rate, PRIDIT-FRE (PRIDIT-based Fraud Rate Estimation), developed based on PRIDIT, an unsupervised fraud detection method to assess individual claim fraud suspiciousness. PRIDIT-FRE presents the first nonparametric unsupervised estimator of the actual

16、 rate of fraud in a population of claims, robust to the bias contained in an audited sample (arising from the quality or individual hubris of an auditor or investigator, or the natural data-gathering process through claims adjusting). PRIDIT-FRE exploits the internal consistency of fraud predictors

17、and makes use of a small audited sample or an unaudited sample only. Using two insurance fraud data sets with different characteristics, we illustrate the effectiveness of PRIDIT-FRE and examine its robustness in varying scenarios.Jing Ai, Patrick L. Brockett, Linda L. Golden, Montserrat GuillenThe

18、Journal of Risk and Insurance, 2013, Vol. 80, No. 1, 121-143下載地址 HYPERLINK /CZDKQkqi4CpM70J4000HG /CZDKQkqi4CpM70J4000HG6.Optimal Reciprocal Reinsurance Treaties Under The Joint Survival Probability And The Joint Profitable ProbabilityA reinsurance treaty involves two parties, an insurer and a reins

19、urer. The two parties have conflicting interests. Most existing optimal reinsurance treaties only consider the interest of one party. In this article ,we consider the interests of both insurers and reinsurers and study the joint survival and profitable probabilities of insurers and reinsurers. We de

20、sign the optimal reinsurance contracts that maximize the joint survival probability and the joint profitable probability. We first establish sufficient and necessary conditions for the existence of the optimal reinsurance retentions for the quota-share reinsurance and the stop-loss reinsurance under

21、 expected value reinsurance premium principle. We then derive sufficient conditions for the existence of the optimal reinsurance treaties in a wide class of reinsurance policies and under a general reinsurance premium principle. These conditions enable one to design optimal reinsurance contracts in

22、different forms and under different premium principles. As applications, we design an optimal reinsurance contract in the form of a quota-share reinsurance under the variance principle and an optimal reinsurance treaty in the form of a limited stop-loss reinsurance under the expected value principle

23、.Jun Cai, Ying Fang, Zhi Li, Gordon E. WillmotThe Journal of Risk and Insurance, 2013, Vol. 80, No. 1, 145-168下載地址 HYPERLINK /CZDKQkqi4DVM70J4000HI /CZDKQkqi4DVM70J4000HI7.Organizational Structure, Board Composition,And Risk Taking In The U.S. Property Casualty Insurance IndustryThis study examines

24、the impact of organizational structure and board composition on risk taking in the U.S. property casualty insurance industry, addressing different risk-taking behaviors from different perspectives. The risk-taking measures include total risk, underwriting risk, investment risk, and leverage risk. Th

25、e evidence shows that mutual insurers have lower total risk, underwriting risk, and investment risk than stock insurers. In terms of board composition variables, we find that some board composition variables not only have impact on risk-taking behaviors but also affect different risk measures differ

26、ently. Thus, using different risk measures is better than using one risk measure to assess risk-taking behavior. Finally, we conclude that an insurer can control its total risk through management of underwriting, investment, and leverage risks that determine an insurers risk profile.Chia-Ling Ho, Ge

27、ne C. Lai, Jin-Ping LeeThe Journal of Risk and Insurance, 2013, Vol. 80, No. 1, 169-203下載地址 HYPERLINK /CZDKQkqi4FpM70J4000HK /CZDKQkqi4FpM70J4000HK8.Designing Index-Based Livestock Insurance For Managing Asset Risk In Northern KenyaThis article describes a novel index-based livestock insurance (IBLI

28、) product piloted among pastoralists in Northern Kenya, where insurance markets are effectively absent and uninsured risk exposure is a main cause of poverty. We describe the methodology used to design the contract and its underlying index of predicted area-average livestock mortality, established s

29、tatistically using longitudinal observations of household-level herd mortality fit to remotely sensed vegetation data. Household-level performance analysis based on simulations finds that IBLI removes 2540 percent of total livestock mortality risk. We describe the contract pricing and the risk expos

30、ures of the underwriter to establish IBLIs reinsurability on international markets.Sommarat Chantarat, Andrew G. Mude, Christopher B. Barrett, Michael R. CarterThe Journal of Risk and Insurance, 2013, Vol. 80, No. 1, 205-237下載地址 HYPERLINK /CZDKQkqi4JpM70J4000HO /CZDKQkqi4JpM70J4000HO9.Pension Benefi

31、t Security: A Comparison Of Solvency Requirements, A Pension Guarantee Fund, And Sponsor SupportDeveloped countries apply different security mechanisms in regulation to protect pension benefits: solvency requirements, a pension guarantee fund (PGF), and sponsor support. We compare these mechanisms f

32、or a generalized form of hybrid pension schemes. We calculate the expected log return for the beneficiaries, the shortfall probability, that is, the likelihood of the pension payment falling below the promised level and the expected loss given shortfall. Comparing solvency requirements to a pension

33、guarantee system or sponsor support involves trading off risk and return. Additional spending on default insurance reduces the shortfall probability and the expected loss given shortfall but also lowers the probability of high positive returns as are feasible under solvency requirements.Dirk Broeder

34、s, An ChenThe Journal of Risk and Insurance, 2013, Vol. 80, No. 2, 239-272下載地址 HYPERLINK /CZDKQkBebQW4M2FY000EL /CZDKQkBebQW4M2FY000EL10.The Impact Of Introducing Insurance Guaranty Schemes On Pricing And Capital StructureThe introduction of an insurance guaranty scheme can have significant influenc

35、e on the pricing and capital structures in a competitive market. The aim of this article is to study this effect on competitive equitypremium combinations while considering a framework with policyholders and equity holders where guaranty fund charges are volume-based, as levied in existing schemes.

36、Several settings with regard to the origin of the fund contributions are assessed and the immediate effects on the incentives of the policyholders and equity holders are analyzed through a one-period contingent claim approach. One result is that introducing a guaranty scheme in a market with competi

37、tive conditions entails a shift of equity capital towards minimum solvency requirements. Hence, adverse incentives may arise with regard to the overall security level of the industry.Hato Schmeiser, Joel WagnerThe Journal of Risk and Insurance, 2013, Vol. 80, No. 2, 273-308下載地址 HYPERLINK /CZDKQkBebS

38、W4M2FY000EN /CZDKQkBebSW4M2FY000EN11.Deciding Whether To Invest In Mitigation Measures: Evidence From FloridaPrior research provides theoretical insight into factors likely to impact the decision to mitigate such as the degree of risk aversion, the cost of market insurance, and the cost of self-insu

39、rance. We provide empirical evidence related to several hypotheses from the self-insurance literature on the decision to mitigate.James M. Carson, Kathleen A. McCullough, David M. PooserThe Journal of Risk and Insurance, 2013, Vol. 80, No. 2, 309-327下載地址 HYPERLINK /CZDKQkBebTW4M2FY000EP /CZDKQkBebTW

40、4M2FY000EP12.Intermediation And (Mis-)Matching In Insurance MarketsWho Should Pay The Insurance Broker?This article addresses the role of independent insurance intermediaries in markets where matching is important. We compare fee-based and commission-based compensation systems and show that they are

41、 payoff equivalent if the intermediary is completely honest. Allowing for strategic behavior, we discuss the impact of remuneration on the quality of advice. The possibility of mismatching gives the intermediary substantial market power, which will not translate into mismatching if consumers are rat

42、ional. Furthermore, we offer a rationale for the use of contingent commissions and address whether or not the ban of any commission payments is an appropriate market intervention.Uwe Focht, Andreas Richter, Jorg SchillerThe Journal of Risk and Insurance, 2013, Vol. 80, No. 2, 329-350下載地址 HYPERLINK /

43、CZDKQkBebVq4M2FY000ER /CZDKQkBebVq4M2FY000ER13.Systemic Weather Risk And Crop Insurance: The Case Of ChinaThis article explores the possibility of spatial diversification of weather risk for 17 agricultural production regions in China. We investigate the relation between the size of the buffer load

44、and the size of the trading area of a hypothetical temperature-based insurance. The analysis adopts the hierarchical Archimedean copula approach that allows for flexible modeling of the dependence structure of insured losses. We find that the spatial diversification effect depends on the type of the

45、 weather index and the strike level of the insurance. Our findings are relevant for the current discussion on the viability of private crop insurance in China.Ostap Okhrin, Martin Odening, Wei XuThe Journal of Risk and Insurance, 2013, Vol. 80, No. 2, 351-372下載地址 HYPERLINK /CZDKQkBebXW4M2FY000ET /CZ

46、DKQkBebXW4M2FY000ET14.Derivatives Clearing, Default Risk, And InsuranceUsing daily data on margins and variation margins for all clearing members of the Chicago Mercantile Exchange, we analyze the clearing house exposure to the risk of default by clearing members. We find that the major source of de

47、fault risk for a clearing member is proprietary trading rather than trading by customers. Additionally, we show that extreme losses suffered by important clearing firms tend to cluster, which raises systemic risk concerns. Finally, we discuss how private insurance could be used to cover the loss fro

48、m defaults by clearing members.Robert A. Jones, Christophe PerignonThe Journal of Risk and Insurance, 2013, Vol. 80, No. 2, 373-400下載地址 HYPERLINK /CZDKQkBebZW4M2FY000EV /CZDKQkBebZW4M2FY000EV15.Accuracy Of Premium Calculation Models For Cat BondsAn Empirical AnalysisCAT bonds are of significant impo

49、rtance in the field of alternative risk transfer. Because the market of CAT bonds is not complete, the application of an appropriate pricing model is of high relevance. We apply different premium calculation models to compare them with regard to their predictive power. Without taking the financial c

50、risis into account, a version of the Wang transformation model and the linear model are the most accurate ones. In contrast, under consideration of the financial crisis, all analyzed models are approximately equivalent. Furthermore, we find that CAT bond specific information does not improve out-of-

51、sample results.Marcello Galeotti, Marc Gurtler, Christine WinkelvosThe Journal of Risk and Insurance, 2013, Vol. 80, No. 2, 401-421下載地址 HYPERLINK /CZDKQkBec3a4M2FY000EZ /CZDKQkBec3a4M2FY000EZ16.Capital Market Development, Competition, Property Rights, And The Value Of Insurer Product-Line Diversific

52、ation: A Cross-Country AnalysisIn this article, we show that the effect of product diversification on performance is not homogeneous across countries. Diversified insurance companies perform significantly worse than their focused competitors in countries with well-developed capital markets, high lev

53、els of property rights protection, and high levels of competition. In addition, we find that the diversificationperformance relationship for insurance companies depends on company size. For large insurers operating in countries with less developed capital markets, diversification significantly incre

54、ases performance. Our results suggest that the optimal organizational structure may be different for insurers operating in emerging economies than for insurers operating in developed countries.Thomas R. Berry-Stolzle, Robert E. Hoyt, Sabine WendeThe Journal of Risk and Insurance, 2013, Vol. 80, No.

55、2, 423-459下載地址 HYPERLINK /CZDKQkBec4W4M2FY000F0 /CZDKQkBec4W4M2FY000F017.Pension Portfolio Choice And Peer EnvyI examine the effect of envy on the portfolio allocation of workers in a defined contribution (DC) pension plan. If a workers DC plan performs better than his co-workers, he may gloat; on t

56、he other hand, if his DC plan performs worse, he may feel envy. I model anticipated envy when workers make portfolio allocations, and find that in equilibrium, workers will mimic their co-workers allocation to eliminate the disutility from envy. This portfolio allocation is riskier than that of a wo

57、rker who does not exhibit envy.Jacqueline Volkman WiseThe Journal of Risk and Insurance, 2013, Vol. 80, No. 2, 461-489下載地址 HYPERLINK /CZDKQkBec6G4M2FY000F2 /CZDKQkBec6G4M2FY000F218.Coherent Pricing Of Life Settlements Under A Symmetric InformationAlthough life settlements are advertised to deliver a

58、 profitable investment opportunity with a low correlation to market systematic risk, recent investigations reveal a discrepancy of expected and realized returns. While thus far this discrepancy has been attributed to the (allegedly) poor quality of the underlying life expectancy estimates, we presen

59、t a different explanation of the seemingly high reported expected returns based on adverse selection. In particular, we provide a coherent pricing mechanism and pricing formulas in the presence of asymmetric information with respect to the underlying life expectancies. Therefore, our study sheds lig

60、ht on the nature of the “unique risks” within life settlements as recently discussed in the financial press.Nan ZhuDaniel BauerThe Journal of Risk and Insurance, 2013, Vol. 80, No. 3, 827851下載地址 HYPERLINK /CZDKQkEH9C56u1rI000bx /CZDKQkEH9C56u1rI000bx19.Incorporating Longevity Risk And Medical Inform