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The authors employ singlefactor models to estimate daily temperature variations for the valuation of weather derivatives. Classical financial models are adapted to fit temperature seasonality to a time series. As an example, Monte Carlo simulations of heating and cooling degreedays are used as...
Weather derivatives have emerged as a generally acknowledged, if not widely utilized, risk management product within the past 5 to 10 years. The authors of this article compare the costs and benefits of weather derivatives in relation to insurance contracts for hedging weather risk, within the...
Events surrounding September 11, 2001, have motivated increasing interest in identifying, assessing, and managing the risk of extreme events. This article introduces a new mathematical framework for the risk management of extreme event risk. In the article, the author proposes criteria based on...
Although much research has been published on the convergence of insurance and capital markets, few researchers have explored the interrelation between capital market and insurance cycles, i.e., the covariation between excess capital and the supply of insurance capacity. The article focuses, in...
Insurers are competing by adopting product innovations that provide the insured with integrated coverage for actuarial and financial risks. This article compares the contract structures of blended life policies between the insurance markets in Italy and the United Kingdom within the context of...
Enterprise risk management is the discipline that governs the integrated management of the aggregate risks for a given firm with consideration for its strategic and organizational context. The authors present, in three installments, a case study on developing and implementing a stochastic...
With the emergence and widespread adoption of credit derivatives, determining the price volatility of a credit default swap has become fundamental to fixed income trading and valuation. The author asserts that this problem has not received adequate treatment, and presents a brief case study that...
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