Related papers: Intergenerational Insurance
In this paper we study a class of insurance products where the policy holder has the option to insure $k$ of its annual Operational Risk losses in a horizon of $T$ years. This involves a choice of $k$ out of $T$ years in which to apply the…
We propose a simple framework to measure consumption insurance against income shocks that accounts for higher-order moments of the income distribution. We derive a nonlinear consumption function in which the extent of insurance varies with…
Assessing the costs of climate change is essential to finding efficient pathways for the transition to a net-zero emissions economy, which is necessary to stabilise global temperatures at any level. In evaluating the benefits and costs of…
In the current insurance literature, prediction of insurance claims in the regression problem is often performed with a statistical model. This model-based approach may potentially suffer from several drawbacks: (i) model misspecification,…
When evaluating policies that affect future generations, the most commonly used criterion is the discounted utilitarian rule. However, in terms of intergenerational fairness, it is difficult to justify prioritizing the current generation…
Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining loan even if their house was destroyed by a catastrophic event, we model the lender's cash flow, by an exponential functional of a renewal-reward…
We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto-optimal…
Relative ageing describes how a system ages with respect to another one. The ageing faster orders are the ones which compare the relative ageings of two systems. Here, we study ageing faster orders in the hazard and the reversed hazard…
In many real-life scenarios, system failure depends on dynamic stress-strength interference, where strength degrades and stress accumulates concurrently over time. In this paper, we consider the problem of finding an optimal replacement…
We consider a network of bank holdings, where every holding has two subsidiaries of different types. A subsidiary can trade with another holding's subsidiary of the same type. Holdings support their subsidiaries up to a certain level when…
We argue that insurance can act as an analogon for the social situatedness of machine learning systems, hence allowing machine learning scholars to take insights from the rich and interdisciplinary insurance literature. Tracing the…
This paper investigates a hybrid stochastic differential reinsurance and investment game between one reinsurer and two insurers, including a stochastic Stackelberg differential subgame and a non-zero-sum stochastic differential subgame. The…
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…
This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of linkage dynamics and systemic risk in…
The reversed aging intensity function is defined as the ratio of the instantaneous reversed hazard rate to the baseline value of the reversed hazard rate. It analyzes the aging property quantitatively, the higher the reversed aging…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
Asset correlations are an intuitive and therefore popular way to incorporate event dependence into event risk, e.g., default risk, modeling. In this paper we study the case of estimation of inter-sector asset correlations by separation of…
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a…
A system is considered, which is subject to external and possibly fatal shocks, with dependence between the fatality of a shock and the system age. Apart from these shocks, the system suffers from competing soft and sudden failures, where…
We determine the optimal strategies for purchasing term life insurance and for investing in a risky financial market in order to maximize the probability of reaching a bequest goal while consuming from an investment account. We extend…