A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
A new insurance and reinsurance pricing scheme based on realized loss.
Paper finds significant impact of stock market swings on equity risk premium predictability.
Study finds farmers are willing to pay higher premiums for higher coverage in agricultural insurance.
Solves equity premium puzzle with time-varying variables.
The paper proposes a method for predicting equity premium using penalized quantile regression.
Solves the equity premium puzzle without calibrated values.
In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the premium income depends on the present surplus of the insurance portfolio. The analysis is based on boundary problems for linear ordinary differ…
It is illustrated a methodology to compute the pure premium for the automobile insurance (claim frequency and severity) using generalized linear models. It is obtained the pure premium for the partial damage loss cover (PPD) using a set of automobile insurance policies with an exposition of a year. It is found that the…
Study aims to measure and mitigate biases in motor insurance pricing.
Realized GARCH model explains VIX and VRP dynamics.
The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X that can be interpreted as the timing of future cash demand, and an independent no…
ML helps select variables for minimum-variance portfolios, reducing risk and improving performance.
Optimal insurance minimizes ruin probability with non-decreasing functions.
The study reveals unspanned risks in equity option risk premiums, explaining negative premiums for certain options.
The paper is motivated by a problem concerning the monotonicity of insurance premiums with respect to their loading parameter: the larger the parameter, the larger the insurance premium is expected to be. This property, usually called loading monotonicity, is satisfied by premiums that appear in the literature. The inc…
Examines US equity risk premiums amid COVID-19.
Method proposed for pricing insurance products covering both foreseeable and unforeseeable risks.
The risk premium of a policy is the sum of the pure premium and the risk loading. In the classification ratemaking process, generalized linear models are usually used to calculate pure premiums, and various premium principles are applied to derive the risk loadings. No matter which premium principle is used, some risk …
The net-premium principle is considered to be the most genuine and fair premium principle in actuarial applications. However, an insurance company, applying the net-premium principle, goes bankrupt with probability one in the long run, even if the company covers its entire costs by collecting the respective fees from i…
A new method to break down insurance costs into risk and uncertainty.
The paper values and hedges EPS products with jumps and default risks.
The paper examines optimal insurance design using Lambda-Value-at-Risk.
We present in this paper a new premium computation principle based on the use of prior information from multiple sources for computing the premium charged to a policyholder. Under this framework, based on the use of Ordered Weighted Averaging (OWA) operators, we propose alternative collective and Bayes premiums and des…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to detect the change time as soon as possible in order to re-evaluate a new fair v…
We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in buying life insurance, while retaining the relationship among life insurance, income, and the probability of dying and thus losing that income…
We consider the concept of equilibrium in economic systems from statistical mechanics viewpoint. A new method is suggested for computing the premium on this basis. The Bühlmann economic premium principle is derived as a special case of our method.
Proposes a fix for IRS calculation of Obamacare tax credits.
Derives a size premium from automated market makers in decentralized AI subnets.
Endogenous reinsurance pricing in large insurance markets
Introduces an unobservable intrinsic electricity price to link storage theory with risk premium.
We investigate, focusing on the ruin probability, an adaptation of the Cramer-Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed Poisson processes governing the arrival times of the premiums and of the claims respectively, are independent. Such a …
New model solves equity premium puzzle with risk aversion coefficient.
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which is consistent with nearly integrated regressors and applicable to multi-predictor…
SPAC data shows premium investors get better terms, non-premium get quid pro quo deals.
We present an analytical study of an insurance company. We model the company's performance on a statistical basis and evaluate the predicted annual income of the company in terms of insurance parameters namely the premium, total number of the insured, average loss claims etc. We restrict ourselves to a single insurance…
Analyzes premium data of Indian non-life insurers, finding GEV distribution best fits Lognormal and GEV extremes.
New model solves equity premium puzzle.
The study finds no evidence of stochastic arbitrage opportunities in S&P 500 index options.
Equity risk premium is a central component of every risk and return model in finance and a key input to estimate costs of equity and capital in both corporate finance and valuation. An article by Damodaran examines three broad approaches for estimating the equity risk premium. The first is survey based, it consists in …
The aim of this contribution is to derive a general matrix formula for the net period premium paid in more than one state. For this purpose we propose to combine actuarial technics with the graph optimization methodology. The obtained result is useful for example to more advanced models of dread disease insurances allo…
Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they are willing to pay for i…
We model the quantities appearing in Internal Revenue Service (IRS) tax guidance for calculating the health insurance premium tax credit created by the Patient Protection and Affordable Care Act, also called Obamacare. We ask the question of whether there is a procedure, computable by hand, which can calculate the appr…
Study finds carbon emissions affect stock value, but not bought emissions.
Optimal insurance strategy for maximizing RDEU under various premium principles.
The paper models exchange rate risk premium using mean-reverting dynamics.
In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social planner can be formulated i…
Variable annuities (VA) are popular insurance products. VAs provides the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may receive extra benefit if returns of underlying funds are high enough. Here we consider a special case of VA with high-water mark feature and Gua…
Study optimal reinsurance contracts to prevent moral hazard under non-concave premium principles.