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on Insurance Economics |
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Issue of 2009‒06‒17
seven papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Bussiness Management |
| By: | Landry, Craig E.; Jahan-Parvar, Mohammad R. |
| Abstract: | We explore behavior and test theory regarding the determinants of flood insurance coverage in the coastal zone using household-level data for nine southeastern counties. We use Tobit regression models to assess the importance and magnitude of insurance cost, risk factors, community characteristics, and household attributes on flood insurance purchase for residential building structures. Overall estimates indicate price inelastic demand, though subsidized policyholders are more sensitive to price and hold greater flood insurance coverage (controlling for value of asset at risk). We find support for rational choice in the coastal zone, with flood insurance coverage positively correlated in the level of flood risk. We find evidence that coastal erosion risk effects flood insurance demand, and that community level erosion hazard mitigation projects influence flood insurance holdings, with shoreline armoring appearing to act as a substitute and beach replenishment appearing to act as a complement. |
| Keywords: | Insurance coverage; flood; hazard; coastal; erosion; Tobit model |
| JEL: | D81 H11 Q54 |
| Date: | 2008–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:15498&r=ias |
| By: | Benjamin Hamidi (Centre d'Economie de la Sorbonne et A.A.Advisors-QCG (ABN AMRO)Variances); Bertrand Maillet (Centre d'Economie de la Sorbonne, A.A.Advisors-QCG (ABN AMRO)Variances et IEF); Jean-Luc Prigent (THEMA - Université de Cergy) |
| 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. |
| JEL: | G11 C13 C14 C22 C32 |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:09034&r=ias |
| By: | Benjamin Hamidi (Centre d'Economie de la Sorbonne et A.A.Advisors-QCG (ABN AMRO)Variances); Emmanuel Jurczenko (ESCP-EAP); Bertrand Maillet (Centre d'Economie de la Sorbonne, A.A.Advisors-QCG (ABN AMRO)Variances et IEF) |
| Abstract: | In a Constant Proportion Portfolio Insurance (CPPI) framework, a constant risk exposure is defined by the multiple of the strategy. This article proposes an alternative conditional multiple estimation model, which is based on an autoregressive quantile regression dynamic approach. We estimate several specifications of the conditional multiple model on the American equity market, and we compare relative performances of cushioned portfolios using conditional and unconditional multiples. |
| Keywords: | Portfolio insurance, CPPI, quantile regression. |
| JEL: | G11 C13 C14 C22 C32 |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:09033&r=ias |
| By: | Jean-Baptiste Michau |
| Abstract: | This paper emphasizes the two-way causality between the provision of unemployment insurance andthe cultural transmission of work ethic. Values affect the size of the moral-hazard problem and, hence,the policy to be implemented. Conversely, when parents rationally choose how much effort to exert toraise their children to work hard, they form expectations on the policy that will be implemented by thenext generation. In this context, I determine the dynamics of preferences across generations and showthat the different cultural traits, i.e. high and low work ethics, are complementary. The model couldgenerate a lag between the introduction of unemployment insurance and a deterioration of the workethic. Relying on a calibration, I argue that it can account for a substantial fraction of the history ofEuropean unemployment since World War II. As this explanation is compatible with the co- existenceof generous unemployment insurance and low unemployment in the 1950s and 1960s, it could be seenas an alternative to the dominant story that relies on the occurrence of large shocks since the 1970s.Supportive empirical evidence is provided. |
| Keywords: | cultural transmission, European unemployment, unemployment insurance, work ethic |
| JEL: | E24 H31 J65 Z10 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:cep:cepdps:dp0936&r=ias |
| By: | Frank R. Lichtenberg |
| Abstract: | The rate of increase of longevity has varied considerably across U.S. states since 1991. This paper examines the effect of the quality of medical care, behavioral risk factors (obesity, smoking, and AIDS incidence), and other variables (education, income, and health insurance coverage) on life expectancy and medical expenditure using longitudinal state-level data. We examine the effects of three different measures of the quality of medical care. The first is the average quality of diagnostic imaging procedures, defined as the fraction of procedures that are advanced procedures. The second is the average quality of practicing physicians, defined as the fraction of physicians that were trained at top-ranked medical schools. The third is the mean vintage (FDA approval year) of outpatient and inpatient prescription drugs. Life expectancy increased more rapidly in states where (1) the fraction of Medicare diagnostic imaging procedures that were advanced procedures increased more rapidly; (2) the vintage of self- and provider-administered drugs increased more rapidly; and (3) the quality of medical schools previously attended by physicians increased more rapidly. States with larger increases in the quality of diagnostic procedures, drugs, and physicians did not have larger increases in per capita medical expenditure. |
| JEL: | I1 J1 O3 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:15068&r=ias |
| By: | Giandomenico, Rossano |
| Abstract: | The model, by using the option theory, determines the fair value of the policies life with different time of maturity and shows that the effective liabilities duration of an Insurance Company exposed to the default-risk is different from the duration of a default-free zero coupon bond with the same time of maturity. Furthermore, it shows that the value of equity can be immunized in a dynamic way with respect to the movement of the spot-rate by selling and purchasing the default-free bonds in the firm asset. Moreover, the equity value, by the right bond allocation, can be immunized without varying continually the weight of the bonds on the firm asset. Furthermore, it considers the surrender option and the mortally issue such that it corrects some pitfalls that are commonly encountered in the insurance industry. |
| Keywords: | Contingent Claim; Duration; Immunization |
| JEL: | G22 G13 |
| Date: | 2006–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:15707&r=ias |
| By: | Maria del Pilar FERNÁNDEZ DEL RIO; Remo ARDUINI |
| Abstract: | Management models of primary care health services in a comparison among European health systems: the peculiarities of the Spanish case. Management models of primary care health services in a comparison among European health systems: the peculiarities of the Spanish case. The aim of this paper is to describe and compare European health systems with a special focus on the organization and articulation of the figure and role of the General Practitioner or primary care. Our interest stems from the existence of different models and the significant impact that they have on each system such as health investment, organizational patterns and hospital performance (i.e. the overload in emergency care due to a shortage of primary care network). Our description is limited to six European countries: United Kingdom, France, Germany, Italy, Denmark, and Spain. The United Kingdom, promoter of the Beveridge model in 1948, and then Denmark (1973), Italy (1978) and Spain (1986), have gradually moved from a social insurance system (Bismarck) to a universal system funded by taxation. In contrast, France and Germany have kept the Bismarck model, although France included the universal coverage for diseases in 2000. Other reasons why these countries were chosen for this comparative study are that the UK has served as the basis for the Italian system; France is considered to be the country with the best health care system; Germany is the country with the highest level of money invested in health; Spain has developed a very particular system of multidisciplinary primary health care team; and Denmark is characterized by the so-called flex-security welfare system lately identified as a possible model for reform in Italy. Finally, this paper focuses on the Spanish case as the most interesting model in primary care assistance. |
| Keywords: | European health system, primary care, general practitioner, Spanish health system |
| JEL: | I18 |
| Date: | 2009–01–26 |
| URL: | http://d.repec.org/n?u=RePEc:mil:wpdepa:2009-02&r=ias |