Risk measures induced by efficient insurance contracts

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio contains structured products or complex insurance contracts which do not admit closed form valuation formulas. We illustrate the method on different examples from banking and insurance. We focus on value-at-risk and expected shortfall, but the approach also works for other risk measures.

Download Full-text

Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments

Financial Innovation ◽

10.1186/s40854-021-00287-5 ◽

2021 ◽

Vol 7 (1) ◽

Author(s):

Yixing Zhao ◽

Rogemar Mamon ◽

Heng Xiong

Keyword(s):

Financial Reporting ◽

Historical Data ◽

Empirical Distribution ◽

Risk Measures ◽

Simulation Method ◽

International Financial Reporting Standards ◽

Automobile Insurance ◽

Reporting Standards ◽

Financial Reporting Standards ◽

Insurance Contracts

AbstractThis study considers the risk management of insurance policies in line with the implementation of the new International Financial Reporting Standards 17. It applies the paid-incurred chain method to model the future unpaid losses by combining the information channels of both the incurred claims and paid losses. We propose the recovery of the empirical distribution of the outstanding claims liabilities associated with a group of contracts via moment-based density approximation. We determine the risk measures and adjustments that are compliant with the new standard using the Monte–Carlo simulation method and approximated distributions. The historical data on the aggregate Ontario automobile insurance claims over a 15-year period are analyzed to examine the appropriateness and accuracy of our approach.

Download Full-text

Utilizing Downside Risk Measures

CFA Institute Conference Proceedings Quarterly ◽

10.2469/cp.v31.n3.11 ◽

2014 ◽

Vol 31 (3) ◽

pp. 42-50 ◽

Cited By ~ 1

Author(s):

Michelle McCarthy

Keyword(s):

Risk Measures ◽

Downside Risk

Download Full-text

Cláusulas de franquicia o deducible en seguros de responsabilidad civil en el Derecho español: Naturaleza y efectos respecto de terceros perjudicados

Derecho y Justicia ◽

10.29344/07196377.3.1394 ◽

2018 ◽

pp. 101

Author(s):

Rafael Lara González

Keyword(s):

Civil Liability ◽

Third Parties ◽

Insurance Contract ◽

Third Party ◽

Liability Insurance ◽

Legal Doctrine ◽

Insurance Contracts ◽

Spanish Law ◽

Palabras Clave ◽

Legal Nature

ResumenPese a su ubicuidad en la práctica contractual, las cláusulas de franquicia han recibido tratamiento incidental en la doctrina. La discusión sobre ellas se ha enfocado en los contratos de seguros de responsabilidad civil, y en la interpretación del artículo 76 de la Ley española de Contrato de Seguro. En este contexto se ha tratado de establecer si el asegurador puede o no oponer la cláusula de franquicia al tercero perjudicado. El presente trabajo analiza la cláusula de franquicia en la obligación principal del asegurador, su naturaleza jurídica, y examina su relación con los terceros perjudicados. La consideración principal a este respecto estará en si nos encontramos ante un seguro obligatorio o ante un seguro voluntario de responsabilidad civil. Palabras clave: Contrato de seguro; Cláusula de franquicia; Terceroperjudicado; Responsabilidad civil.AbstractDespite their ubiquity in contractual praxis, deductible clauses have received only incidental treatment in legal doctrine. Discussion on them has focused on civil liability insurance contracts, and the interpretation of article 76 of the Spanish Law of Insurance Contracts. In this context it has been attempted to establish whether the insurer can invoke the clause to oppose the injured third party's claim. This article examines the deductible clause included in the insurer's main obligation, its legal nature, and its relation to injured third parties. The main consideration in this regard will be whether the insurance contract is of a mandatory or voluntary nature.Keywords: Insurance contract; Deductible clause; Injured third party; Civil liability.

Download Full-text

STATE REGULATION OF THE FINANCIAL SERVICES MARKET IN UKRAINE

UKRAINIAN ASSEMBLY OF DOCTORS OF SCIENCES IN PUBLIC ADMINISTRATION ◽

10.31618/vadnd.v1i11.12 ◽

2018 ◽

Vol 1 (11) ◽

pp. 30-47

Author(s):

Lyudmila Nikolayevna Akimova ◽

Alla Vasilievna Lysachok

Keyword(s):

Life Insurance ◽

Financial Services ◽

Credit Unions ◽

State Regulation ◽

The State ◽

Existing Problems ◽

Insurance Contracts ◽

State Pension

The essence of such concepts is “financial service”, “financial ser- vices market”, and “participants of the financial services market”; determined the purpose of state regulation of the financial services market; forms of state regu- lation of the financial services market; financial services that are present in the financial services market; the structure of state regulation bodies of the financial services market in Ukraine is given; The role of state bodies in the regulation of the financial services market was studied; to characterize the regulatory le- gal regulation of the financial services market in Ukraine; the main problems of functioning of the domestic market of financial services are revealed; ways to solve existing problems. It is grounded that the state regulation of financial ser- vices markets consists in the state’s implementation of a set of measures aimed at regulating and overseeing financial services markets to protect the interests of financial services consumers and preventing crisis phenomena. It is concluded that the financial services market is an important element of the development of the economy as a whole, in particular, it concerns not only the state but also society. We must understand that when this market is settled, that is, all bodies that carry out state regulation are competent in their powers, only then will we make informed, effective decisions about the normal and effective functioning of the RFP. It is important that the data of the subjects of control do not overlap, their activities should be fixed at the legislative level. It is also worth bearing in mind that appropriate conditions must be created to create compensatory mecha- nisms in the financial services markets by developing a system for guarante- eing deposits and providing for payments under long-term life insurance contracts, non-state pension provisions, deposits with deposit accounts to credit unions, etс.

Download Full-text

The Current State and Development Prospects of Self-Regulation in the Russian Construction Industry

Economics and Management ◽

10.35854/1998-1627-2019-7-49-55 ◽

2019 ◽

pp. 49-55 ◽

Cited By ~ 1

Author(s):

N. E. Belova ◽

L. G. Vorona-Slivinskaya ◽

E. V. Voskresenskaya

Keyword(s):

Construction Industry ◽

Government Regulation ◽

Self Regulation ◽

Insurance Contracts ◽

Construction Design ◽

State Register ◽

Stage Of Development ◽

Current State ◽

The Government ◽

Development Prospects

The presented study aims to examine the current state and development prospects of self-regulation in the Russian construction industry.Aim. The study aims to conduct a comprehensive analysis of the current state and development prospects of self-regulation as an institution of public administration, identify the problems of self-regulation in the construction industry, and formulate proposals on solving the identiﬁed problems.Tasks. The authors complete the following tasks to achieve the set aim: examine the regulatory framework of the activities of self-regulatory organizations in the construction industry — construction, design, and engineering surveying; analyze the current state and positive trends of self-regulation in the ﬁeld of construction; identify problems in the activities of self-regulatory organizations in the construction industry — construction, design, and engineering surveying — and development prospects of the examined alternative to government regulation.Methods. The methodological basis of the study comprises the fundamental provisions of the modern economic theory, theories of public and municipal administration and legal sciences. The information base includes regulatory and legal acts of the Russian Federation on self-regulation in the construction industry, data from the State Register of Self-Regulatory Organizations, and statistics in the ﬁeld of construction.Results. At the current stage of development of self-regulation in the construction industry, the most efﬁcient mechanism for this institution involves guaranteed compensation for damage caused due to shortcomings in the works and services during construction, renovation, capital repairs of construction objects, engineering surveying, design. The victims should be compensated not out of insurance payments under civil insurance contracts, but rather out of the compensation funds of self-regulatory organizations.Conclusion. This study makes it possible to assess the institution of self-regulation in the construction industry — construction, design, and engineering surveying — as an efﬁcient institution for proper protection of the interests of consumers of construction works and services and those of the government.

Download Full-text