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on Insurance Economics |
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Issue of 2009‒06‒03
three papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Bussiness Management |
| By: | Benjamin Hamidi (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, A.A.Advisors-QCG - ABN AMRO); Bertrand Maillet (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, A.A.Advisors-QCG - ABN AMRO, EIF - EIF); Jean-Luc Prigent (THEMA - Théorie économique, modélisation et applications - CNRS : UMR8184 - Université de Cergy Pontoise) |
| Abstract: | Controlling and managing potential losses is one of the main objectives of the Risk Management. Following Ben Ameur and Prigent (2007) and Chen et al. (2008), and extending the first results by Hamidi et al. (2009) when adopting a risk management approach for defining insurance portfolio strategies, we analyze and illustrate a specific dynamic portfolio insurance strategy depending on the Value-at-Risk level of the covered portfolio on the French stock market. This dynamic approach is derived from the traditional and popular portfolio insurance strategy (Cf. Black and Jones, 1987 ; Black and Perold, 1992) : the so-called "Constant Proportion Portfolio Insurance" (CPPI). However, financial results produced by this strategy crucially depend upon the leverage - called the multiple - likely guaranteeing a predetermined floor value whatever the plausible market evolutions. In other words, the unconditional multiple is defined once and for all in the traditional setting. The aim of this article is to further examine an alternative to the standard CPPI method, based on the determination of a conditional multiple. In this time-varying framework, the multiple is conditionally determined in order to remain the risk exposure constant, even if it also depends upon market conditions. Furthermore, we propose to define the multiple as a function of an extended Dynamic AutoRegressive Quantile model of the Value-at-Risk (DARQ-VaR). Using a French daily stock database (CAC 40) and individual stocks in the period 1998-2008), we present the main performance and risk results of the proposed Dynamic Proportion Portfolio Insurance strategy, first on real market data and secondly on artificial bootstrapped and surrogate data. Our main conclusion strengthens the previous ones : the conditional Dynamic Strategy with Constant-risk exposure dominates most of the time the traditional Constant-asset exposure unconditional strategies. |
| Keywords: | CPPI, Portfolio insurance, VaR, CAViaR, quantile regression, dynamic quantile model. |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:hal:cesptp:halshs-00389789_v1&r=ias |
| By: | Hoel, Michael (Department of Economics) |
| Abstract: | In health economics, cost-effectiveness is defined as maximized health benefits for a given health budget. When there is a private alternative to public treatments, care must be taken when using costeffectiveness analysis to decide what types of treatments should be included in the public program. The correct benefit measure is in this case the sum of health benefits to those who would not be treated without the public alternative and the cost savings to those who would otherwise choose private treatment. In the socially optimal ranking of treatments to be included in the public health program, treatments should be given higher priority the higher are costs per treatment for a given ratio of gross heath benefits to costs. |
| Keywords: | Public health; cost-effectiveness |
| JEL: | H42 H51 I18 |
| Date: | 2009–06–07 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:oslohe:2005_013&r=ias |
| By: | Iversen, Tor (Institute of Health Management and Health Economics); Kopperud, Gry Stine (Institute of Health Management and Health Economics) |
| Abstract: | In Norway specialized health services are provided both by public hospitals and by privately practicing specialists who have a contract with the public sector. Patients’ co-payment is the same irrespective of the type of provider they visit. The ambition of equity in the allocation of medical care is high among all political parties. The instruments for auditing whether these goals are fulfilled are not equally ambitious. The objective of the present study is to explore whether laws and regulations that govern the allocation of specialist health care resources in fact are fulfilled. Panel data from the Survey of Living Conditions are merged with data on capacity and spatial access to primary and specialist care. We find that accessibility and socio-economic variables play a considerable role in determining both the probability of at least one visit and the number of visits to a private specialist. A person with a higher university degree living in a municipality with the highest value of the geographical accessibility index has a 46%-points higher probability of at least one visit to a private specialist compared with a person with junior high living in a municipality with the lowest value of the accessibility index. With regard to visits to a hospital outpatient department these variables are not found to have significant effects. We conclude that public ambitions and regulations are fulfilled for specialist services provided by public hospitals. With regard to the provision of services provided by publicly financed private specialists we find a discrepancy between public goals and surveyed practice. |
| Keywords: | specialist health services; utilization; equity; private/public provision; survey data |
| JEL: | H42 H51 I11 I18 |
| Date: | 2009–06–07 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:oslohe:2005_002&r=ias |