Journal of Risk and Insurance
Công bố khoa học tiêu biểu
* Dữ liệu chỉ mang tính chất tham khảo
Sắp xếp:
On Optimal Property Insurance Policies
Journal of Risk and Insurance - Tập 45 Số 1 - Trang 95 - 1978
Insurance Demand without the Expected-Utility Paradigm
Journal of Risk and Insurance - Tập 64 Số 1 - Trang 19 - 1997
Optimal Deductible and Consumption Theory
Journal of Risk and Insurance - Tập 44 Số 4 - Trang 669 - 1977
Predictability of Individual Health Care Expenditures
Journal of Risk and Insurance - Tập 59 Số 3 - Trang 443 - 1992
<scp>Optimal Capital Allocation Principles</scp> Abstract This article develops a unifying framework for allocating the aggregate capital of a financial firm to its business units. The approach relies on an optimization argument, requiring that the weighted sum of measures for the deviations of the business unit's losses from their respective allocated capitals be minimized. The approach is fair insofar as it requires capital to be close to the risk that necessitates holding it. The approach is additionally very flexible in the sense that different forms of the objective function can reflect alternative definitions of corporate risk tolerance. Owing to this flexibility, the general framework reproduces several capital allocation methods that appear in the literature and allows for alternative interpretations and possible extensions.
Journal of Risk and Insurance - Tập 79 Số 1 - Trang 1-28 - 2012
Capital Allocation for Insurance Companies
Journal of Risk and Insurance - Tập 68 Số 4 - Trang 545 - 2001
Derivatives Clearing, Default Risk, and Insurance Abstract Using daily data on margins and variation margins for all clearing members of the Chicago Mercantile Exchange, we analyze the clearing house exposure to the risk of default by clearing members. We find that the major source of default risk for a clearing member is proprietary trading rather than trading by customers. Additionally, we show that extreme losses suffered by important clearing firms tend to cluster, which raises systemic risk concerns. Finally, we discuss how private insurance could be used to cover the loss from defaults by clearing members.
Journal of Risk and Insurance - Tập 80 Số 2 - Trang 373-400 - 2013
F<scp>RAMING AND</scp> C<scp>LAIMING</scp>: H<scp>OW</scp> I<scp>NFORMATION</scp>‐<scp>F</scp><scp>RAMING</scp> A<scp>FFECTS</scp> E<scp>XPECTED</scp> S<scp>OCIAL</scp> S<scp>ECURITY</scp> C<scp>LAIMING</scp> B<scp>EHAVIOR</scp> Abstract This article provides evidence that Social Security benefit claiming decisions are strongly affected by framing and are thus inconsistent with expected utility theory. Using a randomized experiment that controls for both observable and unobservable differences across individuals, we find that the use of a “breakeven analysis” encourages early claiming. Respondents are more likely to delay when later claiming is framed as a gain, and the claiming age is anchored at older ages. Additionally, the financially less literate, individuals with credit card debt, and those with lower earnings are more influenced by framing than others.
Journal of Risk and Insurance - Tập 83 Số 1 - Trang 139-162 - 2016
The Valuation Implications of Enterprise Risk Management Maturity Abstract Enterprise Risk Management (ERM) is the discipline by which enterprises monitor, analyze, and control risks from across the enterprise, with the goal of identifying underlying correlations and thus optimizing the risk‐taking behavior in a portfolio context. This study analyzes the valuation implications of ERM Maturity. We use data from the industry leading Risk and Insurance Management Society Risk Maturity Model over the period from 2006 to 2011, which scores firms on a five‐point maturity scale. Our results suggest that firms that have reached mature levels of ERM are exhibiting a higher firm value, as measured by Tobin's Q . We find a statistically significant positive relation to the magnitude of 25 percent. Upon decomposition of the maturity score, we find that the most important aspects of ERM from a valuation perspective relate to the level of top–down executive engagement and the resultant cascade of ERM culture throughout the firm. Firms that have successfully integrated the ERM process into both their strategic activities and everyday practices display superior ability in uncovering risk dependencies and correlations across the entire enterprise and as a consequence enhanced value when undertaking the ERM maturity journey ceteris paribus .
Journal of Risk and Insurance - Tập 82 Số 3 - Trang 625-657 - 2015
The Value of Investing in Enterprise Risk Management ABSTRACT Prior studies show that enterprise risk management improves firm performance. This article investigates which aspects of enterprise risk management add value. We find that the use of economic capital models and dedicated risk managers improve operating performance. Requiring the dedicated risk manager report to the board of directors or to the chief executive officer (CEO) also increases value. The following combination of enterprise risk management initiatives yields the greatest increase in firm value: a simple economic capital model, a dedicated risk manager that is a cross‐functional committee, and requiring the risk manager report to the board or CEO.
Journal of Risk and Insurance - Tập 82 Số 2 - Trang 289-316 - 2015
Tổng số: 12
- 1
- 2