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Innovations in Insurance, Risk- and Asset Management最新文献

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Liability Driven Investments with a Link to Behavioral Finance 与行为金融学相关的负债驱动投资
Innovations in Insurance, Risk- and Asset Management Pub Date : 2018-09-05 DOI: 10.1142/9789813272569_0011
L. Brummer, Markus Wahl, R. Zagst
{"title":"Liability Driven Investments with a Link to Behavioral Finance","authors":"L. Brummer, Markus Wahl, R. Zagst","doi":"10.1142/9789813272569_0011","DOIUrl":"https://doi.org/10.1142/9789813272569_0011","url":null,"abstract":"Liability driven investment (LDI) strategies that take stochastic liabilities into account have become increasingly important for insurance companies and pension funds due to market developments such as low interest rates, high volatility and changes in regulatory requirements. We consider stochastic liabilities in a portfolio optimization framework and include aspects from behavioral finance, in particular cumulative prospect theory (CPT). We study LDI strategies with extended preference structures and probability distortion and derive analytical solutions for a CPT portfolio optimization problem in an LDI context. Within a case study, we compare the optimal investment strategies to existing LDI approaches within traditional frameworks such as the partial surplus optimization presented in [1] and the funding ratio optimization in an expected utility framework as introduced in [2].","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124451807","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Forward versus Spot Price Modeling 远期与现货价格模型
Innovations in Insurance, Risk- and Asset Management Pub Date : 2018-09-05 DOI: 10.1142/9789813272569_0016
Jan-Frederik Mai
{"title":"Forward versus Spot Price Modeling","authors":"Jan-Frederik Mai","doi":"10.1142/9789813272569_0016","DOIUrl":"https://doi.org/10.1142/9789813272569_0016","url":null,"abstract":"It is possible to base an equity derivatives pricing model on a stochastic driving process for the share price (spot), or for the equity forward. While the former is the classical approach pioneered by Black and Scholes [9], the latter approach separates the modeling of exogenous random price fluctuations from the cost-of-carry modeling of the stock, probably the first and most prominent example of this technique being the paper by Black [8]. While the Black—Scholes spot price approach and Black’s forward approach are equivalent, the present note demonstrates that the introduction of local volatility and/ or level-dependent default intensity into the stochastic driving process destroys this equivalence, if applied carelessly. The advantages and disadvantages of both approaches are discussed.","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114832765","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Behavioral Value Adjustments for Mortgage Valuation 行为价值调整抵押贷款估值
Innovations in Insurance, Risk- and Asset Management Pub Date : 2018-09-05 DOI: 10.1142/9789813272569_0001
Matteo Bissiri, Riccardo Cogo
{"title":"Behavioral Value Adjustments for Mortgage Valuation","authors":"Matteo Bissiri, Riccardo Cogo","doi":"10.1142/9789813272569_0001","DOIUrl":"https://doi.org/10.1142/9789813272569_0001","url":null,"abstract":"Behavioral risk affects the pricing of assets and liabilities with embedded pre-payment/extension options whenever the option holder does not act purely on the strength of financial convenience but follows an uncertain and sub-optimal exercise strategy, if seen from the viewpoint of the option seller. Such behavior is particularly relevant for mortgage valuation, since mortgage prepayments are clearly influenced by exogenous and individual factors besides financial reasons. In this paper we apply the general framework, proposed by Bissiri and Cogo, for modeling behavioral risk to the particular case of the valuation of a fixed-rate mortgage portfolio. We also extend the formulas by considering a pool of heterogeneous mortgagors, leading to the introduction of specific behavioral risk adjustments (βVA) in the pricing formulas.","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121566068","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Implied Distributions from Risk-Reversals and Brexit/Trump Predictions 风险逆转和英国脱欧/特朗普预测的隐含分布
Innovations in Insurance, Risk- and Asset Management Pub Date : 2018-09-05 DOI: 10.1142/9789813272569_0005
I. Clark, Saeed Amen
{"title":"Implied Distributions from Risk-Reversals and Brexit/Trump Predictions","authors":"I. Clark, Saeed Amen","doi":"10.1142/9789813272569_0005","DOIUrl":"https://doi.org/10.1142/9789813272569_0005","url":null,"abstract":"In the 12 months from the middle of June 2016 to the middle of June 2017, a number of events occurred in a relatively short period of time, all of which either had, or had the potential to have, a considerably volatile impact upon financial markets.The events referred to here are the Brexit referendum (23 June 2016), the US election (8 November 2016), the 2017 French elections (23 April and 7 May 2017) and the surprise 2017 UK parliamentary election (8 June 2017).All of these events—the Brexit referendum and the Trump election in particular—were notable both for their impact upon financial markets after the event and the degree to which the markets failed to anticipate these events. A natural question to ask is whether these could have been predicted, given information freely available in the financial markets beforehand. In this paper, we focus on market expectations for price action around Brexit and the Trump election, based on information available in the traded foreign exchange options market.","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131314199","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default 违约时货币贬值导致CVA错误风险的例子
Innovations in Insurance, Risk- and Asset Management Pub Date : 2018-09-05 DOI: 10.1142/9789813272569_0004
D. Brigo, N. Pede, A. Petrelli
{"title":"Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default","authors":"D. Brigo, N. Pede, A. Petrelli","doi":"10.1142/9789813272569_0004","DOIUrl":"https://doi.org/10.1142/9789813272569_0004","url":null,"abstract":"","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127977781","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Chance-Risk Classification of Pension Products: Scientific Concepts and Challenges 养老产品的机会-风险分类:科学概念与挑战
Innovations in Insurance, Risk- and Asset Management Pub Date : 2018-09-05 DOI: 10.1142/9789813272569_0015
R. Korn, A. Wagner
{"title":"Chance-Risk Classification of Pension Products: Scientific Concepts and Challenges","authors":"R. Korn, A. Wagner","doi":"10.1142/9789813272569_0015","DOIUrl":"https://doi.org/10.1142/9789813272569_0015","url":null,"abstract":"We survey the underlying scientific concepts and aspects of the implementation of the classification of state-subsidized private German pension products into five different chance-risk classes. The topics range from the choice and calibration of the capital market model via simulation issues of various pension products to specific research topics such as the behavior of chance-risk curves or new valuation algorithms for cliquet-type options.","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121397661","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall–Olkin Distribution 多元默认值的一致迭代模拟:马尔可夫指标、记忆缺失、极值copula和Marshall-Olkin分布
Innovations in Insurance, Risk- and Asset Management Pub Date : 2018-09-05 DOI: 10.1142/9789813272569_0003
D. Brigo, Jan-Frederik Mai, M. Scherer, Henrik Sloot
{"title":"Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall–Olkin Distribution","authors":"D. Brigo, Jan-Frederik Mai, M. Scherer, Henrik Sloot","doi":"10.1142/9789813272569_0003","DOIUrl":"https://doi.org/10.1142/9789813272569_0003","url":null,"abstract":"A current market-practice to incorporate multivariate defaults in global risk-factor simulations is the iteration of (multiplicative) i.i.d. survival indicator increments along a given time-grid, where the indicator distribution is based on a copula ansatz. The underlying assumption is that the behavior of the resulting iterated default distribution is similar to the one-shot distribution. It is shown that in most cases this assumption is not fulfilled and furthermore numerical analysis is presented that shows sizeable differences in probabilities assigned \u0000to both \"survival of all\" and \"mixed default/survival\" events. Moreover, the classes of distributions for which probabilities from the \"terminal one-shot\" and \u0000\"terminal iterated\" distribution coincide are derived for problems considering \"survival-of-all\" events as well as \"mixed default/survival\" events. For the former problem, distributions must fulfill a lack-of-memory type property, which is, e.g., fulfilled by min-stable-multivariate exponential distributions. These correspond in a copula-framework to exponential margins coupled via extreme \u0000value copulas. For the latter problem, while looping default inspired Freund distributions and more generally-phase type distributions could be a solution, under practically relevant and reasonable additional assumptions on portfolio rebalancing and nested distributions, the unique solution is the Marshall-Olkin class.","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"520 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123076858","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models 两种基准交易模型的静态与适应性最优执行策略
Innovations in Insurance, Risk- and Asset Management Pub Date : 2018-09-05 DOI: 10.1142/9789813272569_0010
D. Brigo, C. Piat
{"title":"Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models","authors":"D. Brigo, C. Piat","doi":"10.1142/9789813272569_0010","DOIUrl":"https://doi.org/10.1142/9789813272569_0010","url":null,"abstract":",","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130239875","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Fixed-Income Returns from Hedge Funds with Negative Fee Structures: Valuation and Risk Analysis 负收费结构对冲基金的固定收益回报:估值与风险分析
Innovations in Insurance, Risk- and Asset Management Pub Date : 2018-09-05 DOI: 10.1142/9789813272569_0009
M. Shakourifar, R. Bhaduri, B. Djerroud, Fei Meng, D. Saunders, L. Seco
{"title":"Fixed-Income Returns from Hedge Funds with Negative Fee Structures: Valuation and Risk Analysis","authors":"M. Shakourifar, R. Bhaduri, B. Djerroud, Fei Meng, D. Saunders, L. Seco","doi":"10.1142/9789813272569_0009","DOIUrl":"https://doi.org/10.1142/9789813272569_0009","url":null,"abstract":"","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131914162","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
FRONT MATTER 前页
Innovations in Insurance, Risk- and Asset Management Pub Date : 2018-09-05 DOI: 10.1142/9789813272569_fmatter
K. Glau, Daniël Linders, A. Min, M. Scherer, Lorenz Schneider, R. Zagst
{"title":"FRONT MATTER","authors":"K. Glau, Daniël Linders, A. Min, M. Scherer, Lorenz Schneider, R. Zagst","doi":"10.1142/9789813272569_fmatter","DOIUrl":"https://doi.org/10.1142/9789813272569_fmatter","url":null,"abstract":"","PeriodicalId":128926,"journal":{"name":"Innovations in Insurance, Risk- and Asset Management","volume":"162 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121257945","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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