We consider that the surplus of an insurer follows compound Poisson process and the insurer would invest its surplus in risky assets, whose prices satisfy the Black-Scholes model. In the risk process, we decompose the ruin probability into the sum of two ruin probabilities which are caused by the claim and the oscillation, respectively. We derive the integro-differential equations for these rui...

Regulators, investors, consumers, and insurance brokers use insurer financial strength ratings to evaluate the insolvency risk of insurers. This article investigates the factors influencing the decision to obtain a rating or multiple ratings, the determinants of ratings for the three major insurer rating agencies, and reasons for differences in ratings across agencies. This study indicates that...

We propose a guaranteed renewability (GR) insurance in which a sequence of premiums would enable insurers to break even and would be chosen by both lowand high-risk buyers, whether or not they had suffered a loss. The premium schedule would continually decline over time, as the insurer collects more information to determine who the low-risk buyers are. The highest premiums are charged initially...

Overview (Re)insurance premium calculation Net premium principle Wang's premium principle applied to excess-of-loss reinsurance setting Extreme value statistics Motivation Extreme value theory (first order framework) Estimating reinsurance premiums Finite sample behavior Simulated data (Fréchet, Burr) Reinsurance premiums (net premium, dual-power transform) X non-negative random variable denoti...

Abstract: This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extendedWang’s premium principle. The novel contribution is that we allow for heterogeneity in the beliefs regarding the underlying probability distribution. We characterize layer-reinsurance as an optimal reinsurance contract. Moreover, we characterize lay...

We seek to determine the optimal amount of the insurer’s investment in all types of assets for a small and closed economy. The goal is to detect the implications and contributions the risk seeker and risk aversion insurer commonly make and the effectiveness in the investment decision. Also, finding the optimum portfolio for each is the main goal of the present study. To this end, we adopted the...

We study how consumers in an individual private health insurance market with frontloaded contracts respond to newly mandated portability requirements of their provisions. To foster competition between insurers, effective January 2009, German policymakers made the portability of standardized old-age provisions mandatory. Unique claims panel data from a big private insurer with 0.4 million enroll...