Financial option insurance protects investors from option premiums losses.
problem Risk associated with financial option investments.
method Integrating insurance concepts with financial options, creating a three-entity framework and a mathematical model.
result Protection of option investors and minimization of insurer's risk.
Insurance companies often include very long-term guarantees in participating life insurance products, which can turn out to be very valuable. Under a guaranteed annuity options (G.A.O), the insurer guarantees to convert a policyholder's accumulated funds to a life annuity at a fixed rated when the policy matures. Both …
Research examines GMIB and reset options in variable annuities.
problem Understanding the value and rationality of GMIB and reset options.
method Exploration of various parameters affecting GMIB value and calculation of critical future interest rates for reset option rationality.
result Insight into how future market performance and interest rates influence policyholder and insurer actions.
Study clusters Kenyan medical insurance companies based on financial performance and reporting consistency.
problem Identifying financial health and reporting consistency in Kenyan medical insurance companies.
method Advanced clustering techniques (KMeans, DTW) on financial ratios and time series data.
result Four distinct clusters identified, each representing different financial performance and reporting consistency combinations.
Financial market created for wellbeing indices to mitigate socioeconomic risks.
problem Risk mitigation in financial indices of socioeconomic wellbeing.
method Developed new quantitative measure, created financial market, and implemented insurance instruments.
result Optimal portfolio weights and efficient frontiers for wellbeing indices.
The paper calculates prices for multi-step barrier options under the Black-Scholes model.
problem Calculating prices for multi-step barrier options with varying barriers and time steps.
method Derives a general, explicit expression for option prices using the Black-Scholes model and a multi-step reflection principle.
result Derives a multi-step reflection principle that generalizes the reflection principle of Brownian motion.
Optimal entry into unemployment insurance schemes is analyzed.
problem Optimizing entry into unemployment insurance schemes.
method Solves an optimal stopping problem with a utility function.
result Optimal decisions for entry into unemployment insurance schemes.
We consider a market model where there are two levels of information. The public information generated by the financial assets, and a larger flow of information that contains additional knowledge about a random time. This random time can represent many economic and financial settings, such as the default time of a firm…
Investigates timing and asset allocation for life insurance in uncertain financial planning.
problem Optimal timing and asset allocation for life insurance in uncertain financial planning.
method Analytical solutions using duality theory and free-boundary problems.
result Explicit expressions for value functions and optimal strategies in both scenarios.
Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insight leads to the usage of established methods from derivatives theory to price such contracts. Numerical simulations are used to demonstrate…
The paper introduces a US crime index to assess financial losses from property and cyber crimes.
problem Lack of indices evaluating crime's financial impact on investments.
method Developed an index-based insurance portfolio using FBI financial losses data.
result Real estate, ransomware, and government impersonation are major risk contributors.
The guaranteed minimum withdrawal benefit (GMWB) rider, as an add on to a variable annuity (VA), guarantees the return of premiums in the form of peri- odic withdrawals while allowing policyholders to participate fully in any market gains. GMWB riders represent an embedded option on the account value with a fee structu…
This paper designs a new on-chain option that amortizes perpetual options for blockchain environments.
problem No equivalent standard for on-chain options exists, leading to high-frequency oracles and liquidation engines failures.
method Develops an amortizing perpetual option contract tailored to blockchain constraints, introducing a decentralized market framework.
result Demonstrates that the new contract functions as a risk primitive for DeFi, enabling applications like endogenous collateralization and de-peg insurance.
Enhanced Gordon growth model for valuing financial products.
problem Valuation of financial products with time-varying interest rates and dividends.
method Dynamic Gordon growth model with time-varying spot interest rate and dividends, risk-neutral valuation, locally risk-minimizing strategy.
result Pricing and hedging formulas for dividend-paying European options and equity-linked life insurance products.
Study insurance pricing under correlation ambiguity without increasing prices or reducing utility.
problem Understanding the dependence structure between insurance and financial risks.
method Dynamic equilibrium analysis of insurance pricing with worst-case beliefs.
result Correlation ambiguity does not necessarily increase insurance prices or reduce insurers' utility.
This paper develops a valuation model for private companies.
problem Lack of pricing and hedging models for private companies.
method Dynamic Gordon growth model, Maximum Likelihood (ML) estimators, Expectation Maximization (EM) algorithm.
result Closed-form pricing and hedging formulas for private companies.
The paper models insurance market dynamics under uncertainty and financial frictions.
problem Modeling insurer behavior under uncertainty and financial frictions.
method Dynamic equilibrium model of insurance market with competitive insurers maximizing shareholder value.
result Investment can lead to lower insurance prices and negative loadings under certain conditions.
This paper explores how insurance contracts can be traded in financial markets.
problem The exclusion of arbitrage in insurance contracts due to their non-tradability.
method Defining strategies on insurance portfolios and combining them with financial trading strategies.
result The existence of an insurance-finance-consistent probability, leading to the expected discounted cash-flows.
The paper calculates bonus values in complex insurance schemes.
problem Calculating bonus payments in multi-state with-profit life insurance.
method Combines financial risk simulation with insurance risk methods.
result Efficient numerical procedures for bonus calculation.
The paper introduces a new financial market for environmental indices to attract investors.
problem Inherent risks and sustainability concerns in environmental investments.
method Quantitative measures, econometric analysis, dynamic asset pricing tools, and financial options.
result Monetization and construction of country-specific environmental indices as dollar-denominated assets.
The paper optimizes insurance purchases for financial goals.
problem Maximizing probability of achieving financial goals with insurance.
method Analyzes deferred term insurance in deterministic and stochastic frameworks, considering income, consumption, and risky investment.
result Provides optimal insurance and investment strategies for achieving financial goals.
New EPS insurance offers partial protection against superannuation losses.
problem Lack of efficient investment insurance for superannuation holders.
method Developed a new financial derivative, equity protection swap (EPS), and derived a fair pricing formula.
result EPS can be an efficient investment insurance tool for superannuation accounts.
Study finds environmental liability insurance reduces industrial carbon emissions.
problem Reduction of industrial carbon emissions.
method Two-way fixed effect model using provincial (city) level panel data from 2010 to 2020.
result Environmental liability insurance reduces industrial carbon emissions at both direct and indirect levels, with varying effects.
Study analyzes climate impact on agricultural prices, offering insurance solutions.
problem Financial risk from climate-induced agricultural price volatility.
method Historical and future climate projections, EGARCH and SARIMAX models, Black-Scholes framework.
result Improved agricultural risk modeling and insurance mechanisms.
Methodology models insurance company cash flows using nonparametric techniques.
problem Modeling insurance company cash flows and reserves.
method Nonparametric modeling of cash flows using multidimensional distribution functions.
result Estimates of claims reserves are within reasonable ranges of traditional methods.
Algorithmic insurance tackles financial risks from AI errors, proving CVaR-optimal thresholds reduce tail risk.
problem High-stakes AI errors lead to heterogeneous losses, challenging traditional insurance assumptions.
method Analyzed binary classification performance to tail risk exposure, using CVaR to quantify extreme losses.
result CVaR-optimal thresholds reduce tail risk up to 13-fold compared to accuracy maximization.
Paper proposes optimal investment and reinsurance strategies considering financial and insurance risks dependence.
problem Optimal investment and reinsurance strategies under dependent financial and insurance risks.
method Stochastic control approach to maximize expected exponential utility of terminal wealth.
result Minimal dependence between financial and insurance risks significantly impacts investment and reinsurance strategies.
In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there are restrictions on the information available to the insurance company. In particular we assume that, at any time, the insurance company may observe the number of deaths from a specific portfolio of in…
In this paper we consider a multivariate model-based approach to measure the dynamic evolution of tail risk interdependence among US banks, financial services and insurance sectors. To deeply investigate the risk contribution of insurers we consider separately life and non-life companies. To achieve this goal we apply …
Exponential functionals of Brownian motion have been extensively studied in financial and insurance mathematics due to their broad applications, for example, in the pricing of Asian options. The Black-Scholes model is appealing because of mathematical tractability, yet empirical evidence shows that geometric Brownian m…
We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cramér--Lundberg process. The firm has the option of investing part of the surplus in a Black--Scholes financial market. The objective is to find a strategy consisting of both invest…
Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk process is modelled by a jump-diffusion process and is negatively correlated wi…
We consider a financial contract that delivers a single cash flow given by the terminal value of a cumulative gains process. The problem of modelling and pricing such an asset and associated derivatives is important, for example, in the determination of optimal insurance claims reserve policies, and in the pricing of r…
Combines CPPI and option-based strategy to ensure equity exposure.
problem Cash-in risk and equity market participation in CPPI.
method Two-step strategy: CPPI with guaranteed minimum equity exposure.
result Shows effectiveness through numerical analysis of option prices.
This survey explores causal inference in banking, finance, and insurance.
problem Explaining decisions in banking, finance, and insurance using causal inference.
method Categorizes 37 papers on causal inference applications in banking, finance, and insurance.
result Causal inference is still in its infancy in banking and insurance sectors.
Bayesian MS-VAR model for pricing equity-linked life insurance products.
problem Pricing and hedging equity-linked life insurance products on maximum of several assets.
method Introduces Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process to model economic variables and insured's lifetime.
result Obtains net single premiums and hedging formulas for equity-linked life insurance products.
Mack-Net model combines Mack's model with RNNs for better insurance liability estimation.
problem Accurate estimation of insurance liabilities for better financial decision-making.
method Integrates Mack's reserving model with Recurrent Neural Networks (RNNs).
result Improves accuracy of general insurance liability assessment.
New model values equity-linked securities with guaranteed return.
problem Valuation of equity-linked securities with guaranteed return.
method Replicate security price as sum of guaranteed amount and Asian style option price on basket.
result Analytical formulas derived for security price and hedge ratios.
Detects organized fraudsters in insurance claims with high precision.
problem Fraudulent insurance claims lead to heavy financial losses.
method Developed a novel data-driven procedure using graph learning algorithms.
result Achieves more than 80% precision in fraud detection.
In this paper we propose a multi-state model for the evaluation of the conversion option contract. The multi-state model is based on age-indexed semi-Markov chains that are able to reproduce many important aspects that influence the valuation of the option such as the duration problem, the time non-homogeneity and the …
New framework models insurance liabilities with complex dependencies.
problem Complex dependence structures in non-life insurance.
method Generalized reduced-form framework for continuous-time modeling.
result Explicit pricing and hedging formula for non-life insurance.
This paper analyzes a novel type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product fuses together a path-dependent equity put option with a "personal longevity" call option. The annuitant's (i.e. long position) payoff from a generic RCLA is \$1 of income per year for life, akin to…
The paper examines insurance market dynamics and optimal regulation.
problem Equilibrium outcomes in dynamic insurance markets.
method Analyzes three equilibrium outcomes: positive, zero, and market failure.
result Insurers may accept underwriting losses by investing profits, especially with negative correlations.
In these notes, we present some methods and applications of large deviations to finance and insurance. We begin with the classical ruin problem related to the Cramer's theorem and give en extension to an insurance model with investment in stock market. We then describe how large deviation approximation and importance s…
The paper develops a filtering framework for estimating hazard rates with jumps in financial and insurance applications.
problem Estimating hazard rates with unobservable change-points in financial and insurance contexts.
method Continuous-time filtering framework using progressive enlargement of filtration, stochastic differential equations, and sensitivity analysis.
result Explicit formula for survival probability conditional on partial information.
Derives FPDE for equity-linked insurance pricing.
problem Calculating prices for insurance policies with complex payment histories.
method Variational techniques in functional Itô calculus.
result Derives a functional partial differential equation.
Bounds derived for contract values in life insurance with financial market interaction.
problem Incompleteness in life tables for modern insurance products.
method Derivation of upper and lower bounds for hybrid functionals of lifetime under different assumptions.
result Characterization of worst- and best-case contract values over compatible mortality processes.
This study compares VaR-based portfolio insurance with CPPI in a regime-switching market.
problem Designing dynamic portfolio insurance strategies in a market with multiple regimes.
method Extends VaR-based portfolio insurance to a Markov-modulated regime-switching market, comparing it to CPPI.
result CPPI strategy generally offers better risk-return tradeoff and stability.