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On the Basis Risk of Industry Loss Warranties

Name: On the Basis Risk of Industry Loss Warranties
Price: 16.99 EUR
Availability: InStock
Author: Elena Rudnikevic
ISBN: 978-3-656-15825-7

Seminar Paper, 2012

29 Pages, Grade: 2,0

Elena Rudnikevic (Author)

Excerpt

Abbreviations

Table of figures

Index of tables

Table of symbols

1 Introduction

2 Characteristics of Industry Loss Warranties
2.1 Examples of an Industry Loss Warranty contract
2.2 Basis Risk
2.3 Comparison with other risk-transfer instruments

3 Simulation Study
3.1 Approach
3.1.1 Measuring basis risk
3.1.2 Premium calculation
3.1.3 Risk measurement
3.2 Numerical analysis
3.2.1 Value at risk and tail value at risk
3.2.2 Varying coefficient of correlation
3.2.3 Varying industry loss trigger
3.2.4 Varying retention
3.2.5 Varying limit of protection

4 Summary

Bibliography

Eidesstaatliche Erklärung

Excerpt out of 29 pages

Details

Title: On the Basis Risk of Industry Loss Warranties
College: Friedrich-Alexander University Erlangen-Nuremberg
Grade: 2,0
Author: Elena Rudnikevic (Author)
Year: 2012
Pages: 29
Catalog Number: V190947
ISBN (eBook): 9783656158257
ISBN (Book): 9783656158134
File size: 840 KB
Language: English
Notes: The following paper discusses industry loss warranties (ILWs). The aim of this essay is to analyze basis risk with the help of Excel simulation study and to perform a risk and pricing sensitivity analysis. Furthermore, on the basis of obtained results the hedging effectiveness of ILW contracts in comparison to traditional reinsurance shall be assessed.
Keywords: basis risk, industry loss warranties, ILWs, traditional reinsurance, reinsurance, insurance, risk management, simulation study, index-linked instrument, catastrophic reinsurance instrument

Quote paper: Elena Rudnikevic (Author), 2012, On the Basis Risk of Industry Loss Warranties, Munich, GRIN Verlag, https://www.grin.com/document/190947

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