The paper examines how risk reduction and insurance choices interact under convex premium principles.
problem Interaction between self-protection and insurance demand under convex premium principles.
method Investigates optimal prevention efforts and insurance shares using distortion risk measures.
result Self-protection and insurance are complementary, but ex ante moral hazard can turn this into a substitution effect.
Paper models demand and solvency for index insurance, combining traditional and measurable index-based coverage.
problem Reducing protection gaps for emerging risks.
method Develops a model for demand and solvency conditions, combining traditional and index-based insurance.
result Deduces a product that benefits from both traditional and index-based insurance approaches.
Investment and insurance decisions are studied in a model with nonlinear portfolio frictions and background risk.
problem Investment and insurance decisions under a model with nonlinear portfolio frictions and background risk.
method Dynamic programming approach to find optimality conditions.
result Agent can choose to assume, partially assume, or purchase total insurance against adverse jumps in wealth.
Study finds farmers are willing to pay higher premiums for higher coverage in agricultural insurance.
problem Determining the demand factors and WTP for agricultural insurance.
method Conducted a survey of 200 farmers to analyze the impact of socio-demographic variables and premium on insurance purchase decisions.
result Farmers are willing to pay higher premiums for higher coverage in agricultural insurance.
Study of insurer games with model uncertainty in reinsurance and investment strategies.
problem Model uncertainty and competitive insurers' performance under worst-case scenarios.
method Formulated robust mean-field game for non-linear system, derived closed-form solutions.
result Relative concerns lead to new hedging terms in investment and reinsurance strategies.
The study examines insurance demand under rough volatility and path-dependent shocks.
problem Optimal insurance and investment strategies under rough volatility and path-dependent shocks.
method Rough volatility model and Hawkes process with power kernel, Functional Ito formula extension.
result Individuals demand more catastrophe insurance when path-dependent effects are considered.
Study examines insurance demand under ambiguity aversion.
problem Demand for insurance indemnification under ambiguity aversion.
method Characterizes optimal indemnity functions using Maxmin-Expected Utility model.
result Optimal indemnity functions involve full insurance on low-probability events.
We study the application of dynamic pricing to insurance. We view this as an online revenue management problem where the insurance company looks to set prices to optimize the long-run revenue from selling a new insurance product. We develop two pricing models: an adaptive Generalized Linear Model (GLM) and an adaptive …
Investigates optimal life insurance and annuity decisions in inflationary economies.
problem Optimal consumption and investment decisions in an inflationary economy with money illusion.
method Formulated as a random horizon utility maximization problem, derived optimal strategy.
result Money illusion increases life insurance demand for young adults and reduces annuity demand for retirees.
Climate extreme events are constantly increasing. What is the effect of these potentially catastrophic events on insurance demand in Italy, with particular reference to the economic activities? Extreme precipitation events over most of the midlatitude land masses and over wet tropical regions will very likely become mo…
Meta-analysis finds people value insurance for low-probability risks more than expected.
problem Low-probability risks insurance demand is lower than expected.
method Conducted a meta-analysis of contingent valuation studies.
result Average stated willingness to pay (WTP) for insurance is 87% of expected losses.
Study optimal reinsurance for insurers with a reinsurer's default risk.
problem Optimal reinsurance for insurers with a reinsurer's default risk.
method Analytical solution for two types of reinsurance contracts.
result Joint effect of reinsurer's default and background risk on reinsurance demand.
Optimal insurance contract limits insurer's risk exposure variance.
problem Designing an optimal insurance contract limiting insurer's risk exposure variance.
method Derive optimal policy semi-analytically, focusing on actuarially fair case.
result Expected coverage is larger for wealthier insured, indicating normal good.
This study tackles basis risk in weather parametric insurance using Monte Carlo simulations.
problem Mismatch between actual loss and payout in weather parametric insurance leads to loss without payout or payout without loss.
method Empirical research using Monte Carlo simulations to test diversification and hedging strategies.
result Portfolio basis risk and volatility decrease with more contracts, and spatial relationships significantly impact basis risk.
Optimizes insurance pricing to minimize ruin probability under various claim dependencies.
problem Determining optimal insurance premiums in the presence of dependencies between claim occurrences.
method Analyzes both independent and dependent claim processes, considering single and multiple risks.
result Optimal insurance premiums depend on initial reserve and claim dependencies.
This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is to derive the optimal insurance strategy which allows "lowering" the level of t…
The paper analyzes insurance contracts under distributional uncertainty using Bregman-Wasserstein divergence.
problem Optimal insurance contracts under distributional ambiguity.
method Utilizes Bregman-Wasserstein ball to characterize ambiguity sets, employs robust optimization.
result Derives optimal indemnity functions in closed form and studies their properties.
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is to derive the optimal insurance strategy which allows "lowering" the level of the…
Study optimal reinsurance strategies in a game between insurer and two reinsurers.
problem Optimal reinsurance strategies in a competitive market.
method Stochastic game theory, Stackelberg model, Nash game, time-inconsistent control problem, extended Hamilton-Jacobi-Bellman equation.
result Equilibrium reinsurance strategies and premiums found for exponential claim size.
We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modelled by a compound Poisson process and the insurer can adjust her portfolio by choosing the risk loading, which in turn determines the demand. We compute the price of a…
The paper models SaaS products as insurance, offering new pricing tools.
problem Modeling capped-usage SaaS products with insurance principles.
method Frequency-severity decomposition, premium calculation, Monte Carlo simulations.
result SaaS pricing can be analyzed using insurance actuarial methods.
This paper investigates a hybrid stochastic differential reinsurance and investment game between one reinsurer and two insurers, including a stochastic Stackelberg differential subgame and a non-zero-sum stochastic differential subgame. The reinsurer, as the leader of the Stackelberg game, can price reinsurance premium…
The study improves life insurance surrender risk modeling using various machine learning techniques.
problem Accurate modeling of surrender risk in life insurance to meet Solvency II directive requirements.
method Extensive experiments with XGBoost, random forest, GLM, and neural networks; resampling analysis; time-dependent confidence bands.
result Models trained on resampled data predict significantly biased event probabilities, highlighting the need for complementary assessments.
Modeling reinsurance market, we find subgame perfect Nash equilibria.
problem Optimizing reinsurance market with multiple insurers and reinsurers.
method Sequential game with Subgame Perfect Nash Equilibria analysis.
result Characterized subgame perfect Nash equilibria in some market cases.
Variable Annuity (VA) products expose insurance companies to considerable risk because of the guarantees they provide to buyers of these products. Managing and hedging these risks requires insurers to find the value of key risk metrics for a large portfolio of VA products. In practice, many companies rely on nested Mon…
The paper optimizes investment strategies with constraints for life-cycle models.
problem Maximizing consumption, death benefit, and wealth under trading constraints.
method Deep pricing kernel approach to solve constrained portfolio optimization.
result Individuals reduce consumption, insurance demand, and wealth due to constraints.
Paper proposes a new reserving model using machine learning techniques.
problem Managing uncertainties in premium sufficiency and reserves for future claims.
method Stacked model combining Gradient Boosting, Random Forest, Artificial Neural Networks, and log-normal approach.
result The proposed model improves traditional reserving techniques, leading to more accurate reserving risk assessment.
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.
Framework insures AI actions with reserve capital, preventing loss.
problem Ensuring safety and accountability for AI actions with varying side effects.
method Developed Actuarial Action Interface (AAI) and Authority Frontier to price and gate AI actions.
result Found common refusal and release patterns across domains, with varying required reserve capital.
Paper proves Pareto efficient insurance for multiple entities.
problem Optimizing insurance for multiple policyholders and insurers.
method Sum-minimization characterization and pairwise implementability analysis.
result Characterization of Pareto efficient insurance arrangements.
Managing and hedging the risks associated with Variable Annuity (VA) products require intraday valuation of key risk metrics for these products. The complex structure of VA products and computational complexity of their accurate evaluation have compelled insurance companies to adopt Monte Carlo (MC) simulations to valu…
Study on systemic risk in European insurance sector, showing insurer connections during stress.
problem Understanding systemic risk connectedness in European insurance sector.
method Common connectedness framework applied to returns, volatility, value-at-risk, and expected shortfall.
result Insurers are a significant component of systemic risk connectedness, especially during stress episodes.
Optimal annuitization strategy depends on age, labor income, and mortality risk.
problem Maximizing utility from consumption and labor income under age-dependent mortality.
method Dynamic programming approach to derive closed-form solutions.
result Post-retirement labor income acts as a substitute for annuitization.
Parametric insurance offers better risk-sharing in high-risk settings than traditional indemnity insurance.
problem High-risk environments where traditional indemnity insurance is unaffordable or ineffective.
method Comparison of excess-of-loss indemnity insurance and parametric insurance within a mean-variance framework, considering fixed costs and binding budget constraints.
result Parametric insurance yields higher welfare for risk-averse individuals, especially when indemnity insurance is impractical.
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.
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of the economy. The objective of the investor is to maximize her/his expected total d…
Two pension funds mutually insure against longevity risk.
problem Mutual insurance against systematic longevity risk for pension funds.
method Mathematical demonstration and market clearing condition.
result Insurance provides little benefit when fund preferences are similar, but can be beneficial when preferences vary significantly.
Reinsurance can help life insurers maintain higher capital guarantees without losing utility.
problem Decreasing capital guarantees in life insurance products.
method Dynamic investment-reinsurance optimization problem with simultaneous Value-at-Risk and no-short-selling constraints. Introduced guarantee-equivalent utility gain for comparison.
result Optimally managed reinsurance allows insurers to offer higher capital guarantees without reducing expected utility.
The study examines how formal index insurance compares to informal risk sharing in managing natural disasters.
problem The challenges of natural disasters and the effectiveness of index insurance in risk management.
method A three-strategy evolutionary game model to analyze the competitive relationship between formal index insurance, informal risk sharing, and non-insurance.
result Basis risk and loss ratio significantly impact the adoption rate of index insurance, with different strategies preferred under varying 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.
Paper analyzes strategic underreporting in competitive insurance markets.
problem Strategic underreporting by insureds in competitive insurance markets.
method Develops a dynamic insurance market model with two competing companies and a continuum of insureds, examines the interaction between strategic underreporting and competitive pricing under a Bonus-Malus System framework.
result Establishes the existence and uniqueness of the insureds' optimal reporting barrier and its dependence on BMS premiums; proves the existence of Nash equilibrium premium strategies.
New model for insurance states using Markov jump processes with non-countable state space.
problem Modeling insurance states with non-countable state spaces.
method Developed a new Thiele's differential equation for continuous time rehabilitation rates.
result Allows for consistent calculation of reserves in disability insurance.
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.
Study of insurance market equilibria with risk-averse policyholders.
problem Analyzing optimal insurance contracts in a monopoly market with risk-averse policyholders.
method Modeling Stackelberg equilibria with a profit-maximizing insurer and a risk-averse policyholder.
result Equilibrium contracts exhibit a layer-type structure, providing full insurance over pessimistic loss layers and no coverage over optimistic ones.
Develops a Bonus-Malus model for cyber risk insurance to incentivize cybersecurity.
problem Lack of effective insurance strategies to incentivize cybersecurity.
method Proposes a Bonus-Malus model and a mathematical model with a numerical algorithm.
result Demonstrates how a Bonus-Malus system resolves moral hazard and benefits the insurer.
Optimal insurance strategy for maximizing RDEU under various premium principles.
problem Maximizing a risk-averse individual's RDEU with insurance priced by a distortion-deviation principle.
method Proved necessary and sufficient conditions for the optimal solution, considered ambiguity orders, and analyzed specific examples.
result Conditions for no insurance or deductible insurance to be optimal.
Study compares ruin probabilities under independence vs. dependence assumptions.
problem Underestimation of ruin probability when claims are dependent.
method Copulas for claim dependence analysis, sensitivity analysis.
result Dependent claims lead to underestimation of ruin probability.
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.