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on Insurance Economics |
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Issue of 2013‒11‒09
six papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Business Management |
| By: | Liu, Kai (Dept. of Economics, Norwegian School of Economics and Business Administration) |
| Abstract: | I estimate the effects of public health insurance on consumption smoothing and investigate the extent to which the public insurance interacts with private arrangements of self-insurance. Exploiting a dramatic expansion in health insurance coverage in rural China, I find that the introduction of public health insurance helps households completely insure against severe health shocks. The health insurance also reduces the magnitude of decline during a health shock in investments in children's education, agricultural activities and durable goods. The evidence suggests that the benefit of social insurance for low-income households could also come from reducing the use of costly smoothing mechanisms. |
| Keywords: | Public health insurance; Rural China |
| JEL: | D10 I10 O10 |
| Date: | 2013–10–24 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:nhheco:2013_016&r=ias |
| By: | Peter Fuleky (UHERO and Department of Economics, University of Hawaii at Manoa); L Ventura (Department of Economics and Law, Sapienza, University of Rome); Qianxue Zhao (Department of Economics, University of Hawaii at Manoa) |
| Abstract: | Existing studies of risk pooling among groups of countries are predicated upon the highly restrictive assumption that all countries have symmetric responses to aggregate shocks. We show that the conventional risk sharing test fails to isolate idiosyncratic fluctuations within countries and produces spurious results. To avoid these problems, we propose an alternative form of the risk sharing test that is robust to heterogeneous country characteristics. In our empirical example, we provide estimates using the pro- posed approach for various groupings of 158 countries. |
| Keywords: | Panel data, Cross-sectional dependence, International risk sharing, Consumption insurance |
| JEL: | C23 C51 E21 F36 |
| Date: | 2013–08 |
| URL: | http://d.repec.org/n?u=RePEc:hai:wpaper:201315&r=ias |
| By: | Thomas C. Baxter, Jr. |
| Abstract: | Remarks at the International Insolvency Institute 13th Annual Conference, Columbia University Law School, New York City. |
| Keywords: | Financial Regulatory Reform (Dodd-Frank Act) ; Bank failures ; Liquidity (Economics) ; Banking law ; Federal Deposit Insurance Corporation ; Bank holding companies ; Systemic risk |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsp:107&r=ias |
| By: | William C. Dudley |
| Abstract: | Remarks at 2013 Resolution Conference: Planning for the Orderly Resolution of a Global Systemically Important Bank, Washington, D.C. |
| Keywords: | Financial institutions ; Systemic risk ; Federal Deposit Insurance Corporation ; Contracts ; Derivative securities ; Over-the-counter markets ; Liquidity (Economics) ; Bank liquidity ; Bank capital ; Financial Regulatory Reform (Dodd-Frank Act) ; Bankruptcy ; Bank supervision |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsp:121&r=ias |
| By: | Matias Leppisaari |
| Abstract: | Recently, a marked Poisson process (MPP) model for life catastrophe risk was proposed in [6]. We provide a justification and further support for the model by considering more general Poisson point processes in the context of extreme value theory (EVT), and basing the choice of model on statistical tests and model comparisons. A case study examining accidental deaths in the Finnish population is provided. We further extend the applicability of the catastrophe risk model by considering small and big accidents separately; the resulting combined MPP model can flexibly capture the whole range of accidental death counts. Using the proposed model, we present a simulation framework for pricing (life) catastrophe reinsurance, based on modeling the underlying policies at individual contract level. The accidents are first simulated at population level, and their effect on a specific insurance company is then determined by explicitly simulating the resulting insured deaths. The proposed microsimulation approach can potentially lead to more accurate results than the traditional methods, and to a better view of risk, as it can make use of all the information available to the re/insurer and can explicitly accommodate even complex re/insurance terms and product features. As an example we price several excess reinsurance contracts. The proposed simulation model is also suitable for solvency assessment. |
| Date: | 2013–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1310.8604&r=ias |
| By: | Assa Hirbod; Morales Manuel; Omidi Firouzi Hassan |
| Abstract: | In this paper we introduce a new coherent cumulative risk measure on $\mathcal{R}_L^p$, the space of c\`adl\`ag processes having Laplace transform. This new coherent risk measure turns out to be tractable enough within a class of models where the aggregate claims is driven by a spectrally positive L\'evy process. Moreover, we study the problem of capital allocation in an insurance context and we show that the capital allocation problem for this risk measure has a unique solution determined by the Euler allocation method. Some examples are provided. |
| Date: | 2013–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1311.0354&r=ias |