Risk and Society: Implications for Insurers

Deflation Risk and Implications for Life Insurers

Life insurers are exposed to deflation risk: falling prices could lead to insufficient investment returns, and inflation-indexed protections could make insurers vulnerable to deflation. In this spirit, this paper proposes a market-based methodology for measuring deflation risk based on a discrete framework: the latter accounts for the real interest rate, the inflation index level, its condition...

Do Insurers Risk-Select Against Each Other? Evidence from Medicaid and Implications for Health Reform∗

Increasingly in U.S. public insurance programs, the state finances competing, capitated health plans rather than using a fee-for-service (FFS) model. We study how highand low-cost infants (blacks and Hispanics, respectively) are affected by the transition from FFS to Medicaid managed care (MMC). We find that black-Hispanic infant health disparities widen—e.g., black mortality increases by 12% w...

a benchmarking approach to optimal asset allocation for insurers and pension funds

uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...

Criminality and mental health: implications for society.

Optimal investment for insurers

We consider a risk process modelled as a compound Poisson process. The ruin probability of this risk process is minimized by the choice of a suitable investment strategy for a capital market index. The optimal strategy is computed using the Bellman equation. We prove the existence of a smooth solution and a verification theorem, and give explicit solutions in some cases with exponential claim s...