Recently added articles from Journal of Risk and Insurance:

The Journal of Risk and Insurance: a 75-year historical perspective.

Jun 01, 2008; Weiss, Mary A. ... ABSTRACT This research provides a comprehensive historical analysis of articles published in The Journal of Risk and Insurance over the 75-year period from 1932 to 2006. Historical statistics are provided including the number of articles, number of authors per article, ...

An extension of arrow's result on optimal reinsurance contract.

Jun 01, 2008; Kaluszka, Marek ... ABSTRACT We consider the problem of finding reinsurance policies that maximize the expected utility, the stability and the survival probability of the cedent for a fixed reinsurance premium calculated according to the maximal possible claims principle. We show that the limited ...

Dynamic prevention in short-term insurance contracts.

Jun 01, 2008; Boyer, M. Martin ... ABSTRACT This article looks at the dynamic properties of insurance contracts when insurers have a better technology at preventing catastrophic losses than the insured. When the prevention technology is irreversible and its benefits last for all future periods although its cost ...

A study of the interaction of insurance and financial markets: efficiency and full insurance coverage.

Jun 01, 2008; Zuasti, Jose S. Penalva ... ABSTRACT The first contribution of this article is to provide a framework, a model together with a corresponding equilibrium notion, suitable for the study of the interaction between insurance and dynamic financial markets. Our central result is that in equilibrium risk-averse ...

When is a coinsurance-type insurance policy inferior or Even Giffen?

Jun 01, 2008; Hau, Arthur ... ABSTRACT This article derives the necessary and sufficient conditions for a coinsurance-type insurance policy covering a particular risk to be inferior and to be Giffen. Mossin's decreasing absolute risk aversion assumption for insurance to be inferior is avoided. The result ...

Can a coherent risk measure be too subadditive?

Jun 01, 2008; Dhaene, J. ... ABSTRACT We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial institution. We demonstrate that the subadditivity condition that is often imposed on solvency capital principles can lead to the undesirable ...

CAPM and option pricing with elliptically contoured distributions.(capital asset pricing model)

Jun 01, 2008; Hamada, Mahmoud ... ABSTRACT This article offers an alternative proof of the capital asset pricing model (CAPM) when asset returns follow a multivariate elliptical distribution. Empirical studies continue to demonstrate the inappropriateness of the normality assumption for modeling asset returns ....

Risk measurement performance of alternative distribution functions.

Jun 01, 2008; Bali, Turan G. ... ABSTRACT This paper evaluates the performance of three extreme value distributions, i.e., generalized Pareto distribution (GPD), generalized extreme value distribution (GEV), and Box-Cox-GEV, and four skewed fat-tailed distributions, i.e., skewed generalized error distribution ...

The role of internal capital markets in financial intermediaries: evidence from insurer groups.

Jun 01, 2008; Powell, Lawrence S. ... ABSTRACT We exploit the transparency of internal capital markets (ICMs) within insurance groups to investigate the activity and efficiency of ICMs within insurance groups. Specifically, we compare the relationship between internal capital transfers and investment to that between ...

Foreign affiliates of the largest insurance groups: location-specific advantages.

Jun 01, 2008; Outreville, J. Francois ... ABSTRACT This article has two objectives. The first is the documentation of the relative importance of the largest insurance or reinsurance companies in the world and changes that may have occurred in the past 15 years. The second objective is to identify some of the factors ...

Explaining low annuity demand: an optimal portfolio application to Japan.

Jun 01, 2008; Purcal, Sachi ... ABSTRACT Using an optimizing financial planning model in the tradition of Merton and Richard we explore how individuals should determine their life insurance and annuity choices, given uncertainty about investment returns and mortality. Both consumption and bequests appear as ...

A remark on "a shortcut way of pricing default risk through zero-utility principle".

Jun 01, 2008; Jingyuan, Li ... ABSTRACT This remark studies Tibiletti's bargaining condition and shows that, for risk neutral buyers or the default loss are small relative to the buyer's size, there exists a more shortcut bargaining condition. INTRODUCTION In her 2006 Journal of Risk ...

Oxford Handbook of Pensions and Retirement Income.(Book review)

Jun 01, 2008; Eisen, Roland ... Oxford Handbook of Pensions and Retirement Income, edited by Gordon L. Clark, Alicia H. Munnell, and J. Michael Orszag with the assistance of Kate Williams, 2006, Oxford, UK: Oxford University Press, 893 pages Over the past several years the study of the economics of pensions ...

Managing Downside Risk.(Book review)

Jun 01, 2008; Pompella, Maurizio ... Managing Downside Risk, edited by Frank Sortino and Stephen Satchell, 2001, Oxford, UK: Butterworth-Heinemann, Quantitative Finance Series, 267 pages The main topic of this volume, covering both theoretical and practical profiles, is of great interest: downside, "asymmetric" ...