Financial Risk in Insurance by Hans Bühlmann (auth.), G. Ottaviani (eds.)

By Hans Bühlmann (auth.), G. Ottaviani (eds.)

This publication, released with the contribution of the Italian coverage corporation INA, includes the invited contributions provided on the third foreign AFIR Colloquium, held in Rome in 1993. The colloquium used to be geared toward encouraging learn at the theoretical bases of actuarial sciences, its interplay with the speculation of finance and of company finance, including mathematical tools, comparable to chance and the speculation of stochastic procedures. within the spirit of actuarial culture, awareness used to be given to the hyperlink among the theoretical strategy and the operative difficulties of economic markets and associations, and insurance firms specifically. The publication is a vital reference paintings for college students and researchers of actuarial sciences and finance. it may even be steered to practitioners with theoretical interests.

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Financial Risk in Insurance

This ebook, released with the contribution of the Italian assurance corporation INA, includes the invited contributions provided on the third foreign AFIR Colloquium, held in Rome in 1993. The colloquium used to be aimed toward encouraging examine at the theoretical bases of actuarial sciences, its interplay with the idea of finance and of company finance, including mathematical tools, equivalent to likelihood and the idea of stochastic procedures.

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This result indicates a logical equivalence between service yield and real return. Formally, we could incorporate the service yield into arbitrage models for commodity linked bonds by representing it as a dividend flow. However the service yield is not easy to be measured and modelled in a pure arbitrage framework. 4 For example, in the traditional Black-Scholes model, with nominal interest rate r(t) deterministic and constant, we have the well-known representation for the price of the underlying asset: p(t) 5 = e-r(t)(s-t) E;[p(s)] .

Nonnegative interest rates) or of mathematical tractability (closed-form solution for some relevant pricing problems). 1 Toward General Equilibrium Models Pricing models based on the no-arbitrage principle can be regarded as partial equilibrium models. In this framework the nominal interest rate process and the form of the risk-premium functions, one for each source of uncertainty, must be given exogenously. This is not completely satisfactory, however, because these quantities depend on the real economic activity, individual preferences and investor's attitude toward risk.

The Accord relates principally to the institution's credit risk. Currently a working group of the BIS composed of representatives of the supervisory authorities from the twelve member countries is studying how a risk based capital formula could be devised to cover interest rate risk. The idea is that institutions with higher levels of interest rate risk will be compelled to allocate additional capital. At present two different approaches to interest rate risk in the case of deposit institutions have been developed by regulators in the United States.

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