The Expected Value Premium

CFA Digest ◽  
2008 ◽  
Vol 38 (3) ◽  
pp. 35-36
Author(s):  
Michael Kobal
Keyword(s):  
Expected Value ◽  
Value Premium

scholarly journals Expected Value Premium Principle Pada Data Reasuransi

2020 ◽  
Vol 6 (2) ◽  
pp. 21-27
Author(s):  
Radot Mh Siahaan ◽  
Dian Anggraini ◽  
Andi Fitriawati ◽  
Dani Al Makhya
Keyword(s):  
Threshold Value ◽  
Expected Value ◽  
Value Premium ◽  
Fire Insurance ◽  
Pure Premium ◽  
Stop Loss ◽  
Insurance Data

The amount of stop loss cover reinsurance using krone as Danish currency. The stop loss cover reinsurance scheme with a retention value of r = 50 million krone from fire insurance data in Denmark from 1980-1990 with truncate date at 10 million krone, resulting in a conditional expected value that decreases in value when the higher the threshold value. This is indicated by the threshold value of 1 = 2.976 resulting in pure premium of 1 = 0.1217, a threshold value of 2 = 10.0539 resulting in pure premium 2 = 0.0867 and a threshold value of 3 = 26.199 resulting in pure premium 3 = 0.0849. The use of expected value premium principle with the loading factor () is weighted to the value of the pure premium represented by. This is indicated by the weight of premium 1 = 0.13387, the weight of the premium 2 = 0.09537 and the weight of premium 3 = 0.09339.

The expected value premium☆

2008 ◽  
Vol 87 (2) ◽  
pp. 269-280 ◽  
Author(s):  
L CHEN ◽  
R PETKOVA ◽  
L ZHANG
Keyword(s):  
Expected Value ◽  
Value Premium

scholarly journals The Expected Value Premium

2006 ◽  
Author(s):  
Long Chen ◽  
Ralitsa Petkova ◽  
Lu Zhang
Keyword(s):  
Expected Value ◽  
Value Premium

scholarly journals Pareto-Optimal Reinsurance Revisited: A Two-Stage Optimisation Procedure Approach

2020 ◽  
Vol 2020 ◽  
pp. 1-16
Author(s):  
Ying Fang ◽  
Lu Wang ◽  
Zhongfeng Qu ◽  
Wenguang Yu
Keyword(s):  
Value At Risk ◽  
Integral Form ◽  
Expected Value ◽  
Value Premium ◽  
Pareto Optimal ◽  
Two Stage ◽  
Optimal Reinsurance ◽  
Incentive Compatible ◽  
Ex Post ◽  
Optimisation Procedure

In this paper, based on the Tail-Value-at-Risk (TVaR) measure, we revisit the Pareto-optimal reinsurance policies for the insurer and the reinsurer via a two-stage optimisation procedure. To reduce ex-post moral hazard, we assume that reinsurance contracts satisfy the principle of indemnity and the incentive compatible constraint which have been advocated by Huberman et al. (1983). We show that the Pareto-optimal reinsurance policy exists if the reinsurance premiums can be expressed as an integral form. The proposed class of premium principles encompasses the net premium principle, expected value premium principle, TVaR premium principle, generalized percentile premium principle, and so on. We further use the TVaR premium principle and the expected value premium principle as examples to illustrate the two-stage optimisation procedure by deriving explicitly the Pareto-optimal reinsurance policies. We extend the results by Cai et al. (2017) when the expected value premium principle is replaced by the TVaR premium principle.

The Expected Value Premium

2006 ◽  
Author(s):  
Long Chen ◽  
Ralitsa Petkova ◽  
Lu Zhang
Keyword(s):  
Expected Value ◽  
Value Premium

The Value Premium

2020 ◽  
Author(s):  
Eugene F Fama ◽  
Kenneth R French
Keyword(s):  
Expected Value ◽  
Value Premium ◽  
Regression Coefficients ◽  
Sample Period ◽  
Portfolio Returns ◽  
Market Portfolio ◽  
Reliable Evidence ◽  
High Volatility ◽  
Editorial Decision

Abstract Value premiums, which we define as value portfolio returns in excess of market portfolio returns, are on average much lower in the second half of the July 1963–June 2019 period. But the high volatility of monthly premiums prevents us from rejecting the hypothesis that expected premiums are the same in both halves of the sample. Regressions that forecast value premiums with book-to-market ratios in excess of market (BM–BMM) produce more reliable evidence of second-half declines in expected value premiums, but only if we assume the regression coefficients are constant during the sample period. (JEL G11, G12, G14) Received: January 21, 2020; editorial decision: July 21, 2020; Editor: Jeffrey Pontiff.

scholarly journals Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles

2021 ◽  
Author(s):  
Junna Bi ◽  
Danping Li ◽  
Nan Zhang
Keyword(s):  
Investment Strategy ◽  
Expected Value ◽  
Value Premium ◽  
Equilibrium Strategy ◽  
Model Parameters ◽  
Optimal Reinsurance ◽  
Investment Problem ◽  
Common Shock ◽  
Game Theoretic ◽  
Hamilton Jacobi Bellman

This paper investigates the optimal mean-variance reinsurance-investment problem for an insurer with a common shock dependence under two kinds of popular premium principles: the variance premium principle and the expected value premium principle. We formulate the optimization problem within a game theoretic framework and derive the closed-form expressions of the equilibrium reinsurance-investment strategy and equilibrium value function under the two different premium principles by solving the extended Hamilton-Jacobi-Bellman system of equations. We find that under the variance premium principle, the proportional reinsurance is the optimal reinsurance strategy for the optimal reinsurance-investment problem with a common shock, while under the expected value premium principle, the excess-of-loss reinsurance is the optimal reinsurance strategy. In addition, we illustrate the equilibrium reinsurance-investment strategy by numerical examples and discuss the impacts of model parameters on the equilibrium strategy.

Do Investors Capture the Value Premium?

CFA Digest ◽  
2007 ◽  
Vol 37 (1) ◽  
pp. 68-70
Author(s):  
Stephen Phillip Huffman
Keyword(s):  
Value Premium
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