In this paper, we consider the robust portfolio selection problem for an insurer in the sense of maximizing the exponential utility of his wealth. This special robust investment problem, where underwriting results and a risk-free asset are considered, differs from ordinary robust portfolio selection problems. The insurer has the option of investing in a risk-free asset and multiple risky assets...

Insurance transfers losses associated with risks to the insurer for a price, the premium. Considering a natural probabilistic framework for the insurance problem, we derive a necessary and sufficient condition on loss models such that the insurer remains solvent despite the losses taken on. In particular, there need not be any upper bound on the loss—rather it is the structure of the model spac...

Abstract: In the classical expected utility framework, a problem of optimal insurance design with a premium constraint is equivalent to a problem of optimal insurance design with a minimum expected retention constraint. When the insurer has ambiguous beliefs represented by a non-additive probability measure, as in Schmeidler, this equivalence no longer holds. Recently, Amarante, Ghossoub and Ph...

Let X denote the loss initially assumed by an insurer. In a reinsurance design, the insurer cedes part of its loss, say f(X), to a reinsurer, and thus the insurer retains a loss If (X) = X − f(X). In return, the insurer is obligated to compensate the reinsurer for undertaking the risk by paying the reinsurance premium. Hence, the sum of the retained loss and the reinsurance premium can be inter...

Managerial ability plays a vital role in the performance of business enterprises; however, such efforts are not directly observable. This study estimates managerial within insurance sector economy based on two data sets from different Asian countries. We estimate insurer-wise efficiency using Data Envelopment Analysis (DEA) and regress logarithm obtained technical set contextual variables influ...

We study an optimal investment and risk control problem for an insurer under stochastic factor. The insurer allocates his wealth across a riskless bond and a risky asset whose drift and volatility depend on a factor process. The risk process is modeled by a jump-diffusion with state-dependent jump measure. By maximizing the expected power utility of the terminal wealth, we characterize the opti...

Abstract Modeling policyholders’ lapse behaviors is important to a life insurer, since lapses affect pricing, reserving, profitability, liquidity, risk management, and the solvency of insurer. In this paper, we apply two machine learning methods modeling. Then, evaluate performance these along with popular statistical by means accuracy profitability measure. Moreover, adopt an innovative point ...

nowadays, the idea of creating virtual organizations has been presented by scholars as a new method of collaboration and managing the collaboration and has been known as an applicable approach in insurance industry. based on above applicability, this idea has been considered in this paper for a virtual insurer organization and according to efficiency and effectiveness of enterprise architecture...

Abstract Since August 2022 customers have to be asked if they are interested in sustainable investment when entering a pension contract. Hence, the provider has prepared offer suitable opportunities. Further, manage new risks and chances of those assets whole portfolio. We therefore especially look at possible consequences for optimal portfolio decisions life insurer suggest modeling approaches...

one of the most important duties of insured in the insurance contract, is to inform the insurer, fully and accurately. this obligation arises in three stages:before conclusion of contract, during the contract and after occurrence of the insured event. the review shows that the insured’s duty before conclusion of contract is reduced from a primary obligation to a secondary one. this means that i...