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In the past, life insurance companies were mainly exposed to mortality risk, a risk they in principle could diversify by issuing a large number of similar and statistically independent policies. However, as more exotic life insurance policies have been offered, such as unitlinked life insurance...
The curvilinear shape of a bond priceyield curve implies that risk management based on a linear approximation using duration is only viable for very small changes in interest rates. Not accounting for convexity when there are large yield changes can result in critical errors in measuring or...
Fattailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in bankruptcies. They have also been found in numerous insurance applications such as catastrophic insurance claims and in...
Counterparty risk is usually defined as the risk which stems from the fact that the counterparty of a derivative contract is not solvent before or at expiration. As most of the derivative trading activity has been moving from standardized products quoted on futuresstyle markets, towards...
The year 2002 was a record for insurance securitization. It's official. According to Marsh and McLennan 1.22 billion bonds were issued in 2002 versus 1.136 billion in 2000. Our own readings of history are slightly off calendar, usually measuring the 12 months in between first quarter ends....
While interpreting violent market movements can potentially be illuminating, many experienced finance practitioners shy away from this exercise, having recognized the difficulty of this task. At the same time, the majority of them appears to have accepted the premise that supplyanddemand...
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