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"We study insurers' behavior under monopoly and Cournot duopoly when they can affect the probability or magnitude of harm from accidents."
"Stackelberg game. The reinsurer is the leader in the game and maximizes its expected utility by selecting its optimal investment strategy and a safety loading in the reinsurance contract it offers to the insurer. The reinsurer can assess how the insurer will rationally react on each action of the reinsurer. The insurance company is the follower and maximizes its expected utility by choosing its investment strategy and the amount of reinsurance the company purchases at the price offered by the reinsurer. "
"Traditional techniques for calculating outstanding claim liabilities such as the chain ladder are notoriously at risk of being distorted by outliers in past claims data. Unfortunately, the literature in robust methods of reserving is scant, with notable exceptions … we put forward two alternative robust bivariate chain-ladder techniques to extend the approach of Verdonck and Van Wouwe (2011)."
"Sustainable insurance is aimed primarily at developing innovative or green products and services, reducing risk, improving company efficiency, and supporting environmental, social, and financial sustainability."
"The sensitivity measures are illustrated using numerous examples, including the Ishigami--Homma test function and applications to a non-linear insurance portfolio."
"The growing sophistication of insurance pricing, particularly for property-casualty insurance and reinsurance risk, has created a proliferation of approaches used in practice. Even within firms, pricing methodologies can vary from line to line, ranging from simplistic expected loss ratio targets to sophisticated return on capital models and even more sophisticated probability transform methods."
" In quantifying the solvency capital requirement gradient for cyber risk measurement according to Solvency II, a dangerous paradox emerges: an insurance company can be ranked as solvent according to Pillar 1 without adequately evaluating the operational solvency capital requirements under Pillar 2. "
"The methodologies examined include filtered historical simulation, extreme value theory, Monte Carlo simulation and historical simulation. Autoregressive-moving-average and generalized-autoregressive-conditional-heteroscedasticity models are used to estimate VaR."
"The empirical evidence suggests that a distribution based on a single copula is not flexible enough, and thus we model the dependence structure by means of vine copulas. We show that the approach based on regular vines improves the fit. Moreover, even though losses corresponding to different event types are found to be dependent, the assumption of perfect positive dependence is not supported by our analysis. "
"The standard statistical approaches to assessment of insurability and potential mispricing are enhanced in several aspects involving consideration of model risk … We demonstrate how to quantify the effect of model risk in this analysis by incorporating various robust estimators for key model parameter estimates that apply in both marginal and joint cyber risk loss process modelling."