1,721,046 research outputs found
Evaluation of Insurance Products with Guarantee in Incomplete Markets
Full text linkLife insurance products are usually equipped with minimum guarantee and bonus provision options. The pricing of such claims is of vital
importance for the insurance industry. Risk management, strategic asset allocation, and product design depend on the correct evaluation of the
written options. Also regulators are interested in such issues since they have to be aware of the possible scenarios that the overall industry will
face. Pricing techniques based on the Black & Scholes paradigm are often used, however, the hypotheses underneath this model are rarely met.
To overcome Black & Scholes limitations, we develop a stochastic programming model to determine the fair price of the minimum guarantee
and bonus provision options. We show that such a model covers the most relevant sources of incompleteness accounted in the financial and
insurance literature. We provide extensive empirical analyses to highlight the effect of incompleteness on the fair value of the option, and show
how the whole framework can be used as a valuable normative tool for insurance companies and regulators
Contingent Convertible Bonds for Sovereign Debt Risk Management
Full text linkWe consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign's credit worthiness breaching a distress threshold. This financial innovation limits ex ante the likelihood of debt crises and imposes ex post risk sharing between creditors and the debtor. Drawing from literature on contingent contracts, neglected risks, and bank CoCo, we extend prevailing arguments in favor of sovereign CoCo (S-CoCo). We discuss issues relating to their design: which market trigger, market discipline and sovereign incentives, and errors of false alarms or missed crises, and provide supporting evidence with eurozone data and a simple simulation on the use of S-CoCo. We develop a risk management model using these instruments to trade off the expected cost for sovereign financing over a long horizon, with tail risk. The model shows how contingent bonds can improve a country's debt risk profile. Using Greece as a case study the model illustrates improvements in expected cost vs. tail risk for the country when using contingent debt
Vigilanza e classificazione sismica in regione Lombardia: le importanti novità di ottobre 2015
Full text linkNel mese di ottobre 2015 sono stati pubblicati sul Bollettino Ufficiale della Regione Lombardia (BURL) due importanti riferimenti normativi in materia di aggiornamento della classificazione sismica del territorio regionale e di vigilanza sulle costruzioni in zone sismiche.
Il primo, pubblicato sulla Serie Ordinaria n. 42 del 13 ottobre 2015, è la d.g.r. 8 ottobre 2015 n. X/4144 dal titolo “Ulteriore differimento del termine di entrata in vigore della nuova classificazione sismica del territorio approvata con D.G.R. 11 luglio 2014, n. 2129 «Aggiornamento delle zone sismiche in Regione Lombardia (L.R. 1/2000, art. 3, comma 108, lett. d)». Il secondo, pubblicato in data 16 ottobre 2015 sul BURL, supplemento n. 42, è la l.r. 12 ottobre 2015 n. 33, dal titolo “Disposizioni in materia di opere o di costruzioni e relativa vigilanza in zone sismiche”.
L'articolo descrive le novità introtte dai due provvedimenti
Breakup and Default Risks in the Great Lockdown
No full textIn this paper, we exploit CDS quotes for contracts denominated in different currencies and with different default clauses to estimate the risk of a breakup of the Eurozone and the propagation of breakup and default risks after the COVID-19 shock. Our main result is that the risk of a Eurozone breakup is significant although, quantitatively, it is not larger than in the period before the COVID-19 shock. In addition, we find that an increase in the redenomination risk in one country is associated with an increase in default premia and bond spreads in other Eurozone countries. Finally, we find that a sizeable fraction of the changes in the cost of insuring against redenomination and default reflects two additional factors: the first captures the insurance cost against a euro depreciation conditional on redenomination, while the second captures liquidity premia
Scenario Optimization Asset and Liability Modelling for Individual Investors
Full text linkWe develop a scenario optimization model for asset and liability management of
individual investors. The individual has a given level of initial wealth and a target goal to be
reached within some time horizon. The individual must determine an asset allocation strategy
so that the portfolio growth rate will be sufficient to reach the target. A scenario optimization
model is formulated which maximizes the upside potential of the portfolio, with limits on
the downside risk. Both upside and downside are measured vis- `a-vis the goal. The stochastic
behavior of asset returns is captured through bootstrap simulation, and the simulation is
embedded in the model to determine the optimal portfolio. Post-optimality analysis using
out-of-sample scenarios measures the probability of success of a given portfolio. It also
allows us to estimate the required increase in the initial endowment so that the probability of
success is improved
Anchor Plates Bonded on Reinforced Concrete: A Preliminary Experimental Investigation
Full text linkDuring the last decades, different technologies to anchor steel elements in concrete were proposed. The present work presents the results of a preliminary investigation of a new connection characterized by single steel plates that are directly bonded on concrete surfaces. The anchor response was experimentally investigated under both tension and shear actions. Specific conditions influencing the behavior of the bonded assembly were discussed, with particular reference to the presence of cracks and crack cycling in concrete
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