3,015 research outputs found
Actuarial versus Financial Pricing of Insurance
This paper grew out of various recent discussions with academics and practitioners around the theme of the interplay between insurance and finance. Some issues were: The increasing collaboration between insurance companies and banks The emergence of finance related insurance products, as there are catastrophy futures and options, PCS options, indexed linked policies... The deregulation of various (national) insurance markets The discussion around risk management methodology for financial institutions The evolution from a more liability modelling oriented industry (insurance) to a more global financial industry involving asset-liability and risk-capital based modelling The emergence of financial engineering as a new profession, its interplay with actuarial training and research. Rather than aiming at giving a complete overview of the issue at hand, the author concentrates on some recent (and not so recent) developments which from a methodological point of view offer new insight into the comparison of pricing mechanisms between insurance and finance. The author views this paper very much as work in progress. This paper was presented at the Financial Institutions Center's May 1996 conference on "
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
We propose a new algorithm to compute numerically the distribution function
of the sum of dependent, non-negative random variables with given joint
distribution.Comment: Published in at http://dx.doi.org/10.3150/10-BEJ284 the Bernoulli
(http://isi.cbs.nl/bernoulli/) by the International Statistical
Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm
Sensitivity of the limit shape of sample clouds from meta densities
The paper focuses on a class of light-tailed multivariate probability
distributions. These are obtained via a transformation of the margins from a
heavy-tailed original distribution. This class was introduced in Balkema et al.
(J. Multivariate Anal. 101 (2010) 1738-1754). As shown there, for the
light-tailed meta distribution the sample clouds, properly scaled, converge
onto a deterministic set. The shape of the limit set gives a good description
of the relation between extreme observations in different directions. This
paper investigates how sensitive the limit shape is to changes in the
underlying heavy-tailed distribution. Copulas fit in well with multivariate
extremes. By Galambos's theorem, existence of directional derivatives in the
upper endpoint of the copula is necessary and sufficient for convergence of the
multivariate extremes provided the marginal maxima converge. The copula of the
max-stable limit distribution does not depend on the margins. So margins seem
to play a subsidiary role in multivariate extremes. The theory and examples
presented in this paper cast a different light on the significance of margins.
For light-tailed meta distributions, the asymptotic behaviour is very sensitive
to perturbations of the underlying heavy-tailed original distribution, it may
change drastically even when the asymptotic behaviour of the heavy-tailed
density is not affected.Comment: Published in at http://dx.doi.org/10.3150/11-BEJ370 the Bernoulli
(http://isi.cbs.nl/bernoulli/) by the International Statistical
Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm
How to Model Operational Risk, If You Must. Lecture to The Faculty of Actuaries
The second Lecturer to the Faculty of Actuaries is Professor Paul Embrechts, Professor of Mathematics at the ETH Zurich (Swiss Federal Institute of Technology, Zurich), specialising in actuarial mathematics and mathematical finance. His previous academic positions include ones at the Universities of Leuven, Limburg and London (Imperial College), and he has held visiting appointments at various other universities. He is an elected Fellow of the Institute of Mathematical Statistics, an Honorary Fellow of the Institute of Actuaries, a Corresponding Member of the Italian Institute of Actuaries, Editor of the ASTIN Bulletin, on the Advisory Board of Finance and Stochastics and Associate Editor of numerous scientific journals. He is a member of the Board of the Swiss Association of Actuaries and belongs to various national and international research and academic advisory committees. His areas of specialisation include insurance risk theory, integrated risk management, the interplay between insurance and finance and the modelling of rare event
- …