Centro de Documentacion de Fundación MAPFRE - Effects of risk management on cost efficiency and cost function of the U.S. Property and Liability Insurers

MAP20120010246

Effects of risk management on cost efficiency and cost function of the U.S. Property and Liability Insurers / Hong-Jen Lin, Min-Ming Wen, and Charles C. Yang

Sumario: This paperpts the one-step stochastic frotntier approach to investigate the impact of risk management tools of derivatives and reinsurance on cost efficency of U.S. property -liability insurance companies. The stochastic frontier approacha considers both the mean and variance of cost efficency. The sample includes both stock and mutual insurers. Among the findings, the cost function of the entire sample carries the concavity feature, and insurers tend to use financial derivatives for firm value creation

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/12/2011 Tomo 15 Número 4 - 2011

1. Matemática del seguro . 2. Seguro de responsabilidad civil . 3. Productos financieros . 4. Productos derivados . 5. Provisiones técnicas . 6. Modelo estocástico . I. Wen, Min-Ming . II. Yang, Charles C. . III. Título.