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The emerging sharing economy is fueled by products that some consumers buy new. This paper introduces an overlapping-generations model to analyze consumers' consumption choices and the equilibrium in the sharing market. We derive a retailer's optimal pricing strategy and determine the payoff effects of sharing. The presence of a sharing market increases the price of new products, and therefore a retailer...
The notable features of guarantee program differing from traditional project are high degree of information asymmetry and risk uncertainty. The evaluation for credit insurance risk is the key to insurance organization. In this paper, limitations of the traditional NPV evaluation method are proposed. A credit risk pricing model of the guarantee project is put forward based on the real options, which...
Presents a collection of slides covering the following topics: autonomous vehicle technologies; driver liability; insurance; UK autodrive; advanced driver aids; driverless cars; risk pricing; and cost-benefit analysis.
Life insurances have become a necessity in our daily life. The United States government census data shows that insurance premiums totaled approximately 8.18% of the GDP. As for Taiwan, the government statistics data indicates that each person holds 2.23 life insurance policies on average and the money spent in life insurances measure up to 18.19% of the GDP, ranking first in the world. However, most...
A framework is presented to deploy a smartphone-based measurement system for road vehicle traffic monitoring and usage-based insurance (UBI). Through the aid of a hierarchical model to modularize the description, the functionality is described as spanning from sensor-level functionality and technical specification to the topmost business model. The designer of a complex measurement system has to consider...
With the high speed development of China's economy, fires occur frequently in public assembly occupancies. Public liability of fire risk is different from that of general liability risk. The generalized linear model (GLM) cannot be used directly in pricing for the public liability of fire risk, whose sample data shows the characteristics of low probability, heavy loss and fat tail. And because of...
Current research on cyber-insurance has mainly been about studying the market success of an insurance-driven security ecosystem. Such an ecosystem comprises of a set of market elements (e.g., cyber-insurers, network users, security vendors (SVs), regulatory agencies, etc.,) that coexist together as a system with the success goal of mutually satisfying each other's interests. However, existing works...
We consider the following insurance problem: our task is to predict finite upper bounds on unseen samples of an unknown distribution p over the set of natural numbers, using only observations generated i.i.d. from p. While p is unknown, it belongs to a known collection P of possible models. To emphasize, the support of the unknown distribution p is unbounded, and the game proceeds for an infinitely...
Absence of a generalized pricing method is one of the key issues with renewable energy generation. Each utility uses a different method for pricing energy. The proposed model gives a generalized method for determining energy price for generating companies, independent power producers, regulatory commissions etc. It incorporates both the economic and performance based factors in the pricing model....
The earthquake which happened off the coast of Japan Miyagi Prefecture, the northeastern part of Japan's Honshu Island, has evolved into a “nuclear radiation crisis”. However, what is more frightening than the impact of the crisis itself on the entire environment, including the economic environment is that it brings people's fear of global investment institutions. The financial tsunami triggered by...
In this paper, we present a two-phase approach to value unit-linked life insurance which the premium is paid continuously instead of up-front prior to a fixed time. At or before maturity, the policyholder withdraw a constant cash flow at proportion withdrawal rate from the corresponding sub-account regardless of the performance of the capital market. Under the unual assumptions, we derive the sub-account...
Premium calculation or insurance pricing under uncertainty is a prominent problem in actuarial science. In this paper we present the distortion premium calculation principle in uncertain environment. Firstly, we introduce the concept of distortion premium calculation principle based on uncertainty theory. Then, some fundamental properties of the proposed distortion premium calculation principle are...
This paper concerns the problem of catastrophe option pricing. Catastrophe option will be regarded as the double trigger put based on seismic risk. Apply the techniques of financial mathematics and financial engineering to establish pricing formula of catastrophe option based on losses distribution of earthquake disasters. The principle of martingale process and dynamic asset pricing method are the...
This paper proposes electricity insurance pricing for bilateral contract market, which is supervised by the independent system operation (ISO). The ISO controls all transactions occurring in the system as well as it can curtail some transactions in case there exists a congestion problem. The pricing scheme is based on the fair game principle. We use Monte Carlo simulation to generate contingency events;...
Due to the geographical and cultural environment factors, there are insufficient considerations in risk management for the Taiwan local construction contractors in bidding Taiwan public works project compared to the international contractors. This study is utilize the literature review, integrated risk management concept, and the project risk management methodology published by project management...
In this paper, we extend Kliger and Levikson's approach for pricing insurance contracts by considering the influence of level of capital held on the price of insurance contracts, and we discuss determination of optimal capital level for an insurer. The results of our analysis show that the optimal number of insured, the maximum value of expected profit increase, optimal premium (price), and the optimal...
Longevity risk pose a major challenge for life insurers and pension funds around the world. As a new risk management tool, securitization can offer great opportunities for hedging this risk. The purpose of this paper is to improve the design of longevity bonds in an incomplete market framework. The paper develops a stochastic survival model suitable for financial pricing and risk management applications...
Since it is recovered in 1979, Chinese insurance industry has made quite great progress on all sides. However there is still a large distance comparing with the international insurance industry and it has too much to do yet. Based on the American economist Bain's opinion about the classification to the industry market structure and analyzing the current development of insurance market, the conclusion...
Assume that the stock prices driven by fractional Brownian motions, we establish the pricing model in fractional Brownian motion environment. Using the physical probability measure of price process and the principle of fair premium, we obtain the explicit pricing formula for Maximum or Minimum Option.
In this paper, we analyze the sub-account value process of the guaranteed equity-linked insurance. By using the financial engineering method, this article presents a static model to deal with the contractual withdrawal situation. Then the stochastic control approach is developed and the Hamilton-Jacobi-Bellman equation model is deduced to price the dynamic withdrawal behavior.
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