Contagion modeling between the financial and insurance markets with time changed processes

Hainaut, Donatien

doi:10.1016/j.insmatheco.2017.02.011

Cited by 20 publications

(14 citation statements)

References 31 publications

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“…To be able to cover losses and remain competitive, an insurance company must focus its efforts on the services that bring the maximum profit. That said the financial situation of the insurance market is in two-way communication with the financial market (Hainaut, 2017). It depends on the ability to improve the quality of information provision to better manage risk (Hainaut, 2017).…”

Section: The Literature Reviewmentioning

confidence: 99%

Performance in the Insurance Industry (Islamic versus Conventional) and Risk Management

Aouini¹,

Abdennadher²

2022

JFRM

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This article proposes to compare the performance to both Islamic and conventional insurance. To do this, a sample made up of 9 insurance companies from 2000 to 2013 is used. The results indicate that risk premiums and size explain the difference between two insurance industries. Moreover, these two variables have a more favorable effect on the performance of Islamic and conventional insurance. Regardless of the choice of the period, the estimation technique or the method for accounting for the efficiency of insurance, these results remain unchanged.

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Section: The Literature Reviewmentioning

confidence: 99%

Performance in the Insurance Industry (Islamic versus Conventional) and Risk Management

Aouini¹,

Abdennadher²

2022

JFRM

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“…The monitoring and evaluation of the financial condition are important for both individual insurance companies and the insurance market in general. The financial condition of the insurance market, as shown in (Hainaut 2017) (for the part of the insurance market that does not include life insurance), is in bidirectional communication with the finance market. Mutual random and tendentious impacts of the financial and insurance markets, modeled by the authors, show the importance of improving the information support of decision-making in insurance companies worldwide.…”

Section: Literature Reviewmentioning

confidence: 99%

Insurance Risks Management Methodology

Ivanovna

Vladimirovna

Тургаева

2018

JRFM

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The purposes of the study are to substantiate the influence of the specific features of insurance on the set of management accounting objects and to develop a mechanism of preparing the relevant information for insurance risk management. Management accounting allows generating reports, specially prepared for managers of various levels of control (in contrast to financial accounting, which considers information on the basis of general accounting rules). This allows realizing the main goal of management accounting; that is, providing information support for management decisions aimed at maximizing the organization’s profits. The object of research is management accounting in the information system of an insurance company. The stages in the execution of accounting procedures in a management accounting system are defined in the form of a diagram, the features of insurance affecting the organization of management accounting are classified, and an intracompany ledger of the connection between the segments of activity and responsibility centers is developed for insurance companies.

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“…Optimal reinsurance and investment problems in dependent financial and non-life insurance markets are also studied e.g. in Hainaut [14], Brachetta and Schmidli [8]. In Hainaut [14] a potential contagion risk between financial and insurance activities due to catastrophic events is modeled by time-changed processes; in Brachetta and Schmidli [8], instead, a diffusion risk model with an external driver modeling a stochastic environment is considered.…”

Section: Introductionmentioning

confidence: 99%

“…in Hainaut [14], Brachetta and Schmidli [8]. In Hainaut [14] a potential contagion risk between financial and insurance activities due to catastrophic events is modeled by time-changed processes; in Brachetta and Schmidli [8], instead, a diffusion risk model with an external driver modeling a stochastic environment is considered. It is important to stress that in most of the contributions on optimal investment-reinsurance problems the expression common shock dependence refers to the assumption of dependent classes of insurance business, see e.g.…”

Section: Introductionmentioning

confidence: 99%

Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets

Ceci¹,

Colaneri²,

Cretarola³

2021

Preprint

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We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal wealth. We propose a model where the insurance framework is affected by environmental factors, and aggregate claims and stock prices are subject to common shocks, i.e. drastic events such as earthquakes, extreme weather conditions, or even pandemics, that have an immediate impact on the financial market and simultaneously induce insurance claims. Using the classical stochastic control approach based on the Hamilton-Jacobi-Bellman equation, we provide a verification result for the value function via classical solutions to two backward partial differential equations and characterize the optimal reinsurance and investment strategies. Finally, we make a comparison analysis to discuss the effect of common shock dependence.

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Contagion modeling between the financial and insurance markets with time changed processes

Cited by 20 publications

References 31 publications

Performance in the Insurance Industry (Islamic versus Conventional) and Risk Management

Performance in the Insurance Industry (Islamic versus Conventional) and Risk Management

Insurance Risks Management Methodology

Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets

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