Pesquisa de referências

Ambiguity and insurance : capital requirements and premiums

Recurso electrónico / Electronic resource
Registro MARC
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100  ‎$0‎MAPA20110002510‎$a‎Dietz, Simon
24500‎$a‎Ambiguity and insurance‎$b‎: capital requirements and premiums‎$c‎Simon Dietz, Oliver Walker
520  ‎$a‎Many insurance contracts are contingent on events such as hurricanes, terrorist attacks, or political upheavals, whose probabilities are ambiguous. This article offers a theory to underpin the large body of empirical evidence showing that higher premiums are charged under ambiguity. We model a (re)insurer that maximizes profit subject to a survival constraint that is sensitive to the range of estimates of the probability of ruin, as well as the insurer's attitude toward this ambiguity. We characterize when one book of insurance is more ambiguous than another and general circumstances in which a more ambiguous book requires at least as large a capital holding. We subsequently derive several explicit formulae for the price of insurance contracts under ambiguity, each of which identifies the extra ambiguity load.
650 4‎$0‎MAPA20080586294‎$a‎Mercado de seguros
650 4‎$0‎MAPA20080598358‎$a‎Productos de seguros
650 4‎$0‎MAPA20080604394‎$a‎Valoración de riesgos
650 4‎$0‎MAPA20080643812‎$a‎Riesgos globales
650 4‎$0‎MAPA20080616106‎$a‎Cálculo de probabilidades
650 4‎$0‎MAPA20080578879‎$a‎Análisis empírico
650 4‎$0‎MAPA20080584290‎$a‎Contrato de seguro
7001 ‎$0‎MAPA20190006224‎$a‎Walker, Oliver
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎01/03/2019 Volumen 86 Número 1 - marzo 2019 , p. 213-235