Non-parametric regression with a latent time series

In this paper we investigate a class of semi-parametric models for panel data sets where the cross-section and time dimensions are large.

Updated: 22/09/2011
Comments:
Views: 5,427

Multidimensional credibility with time effects: an application to commercial business lines

Author(s):

Jens Nielsen

 et al.

This article considers Danish insurance business lines for which the pricing methodology has been dramatically upgraded recently.

Updated: 22/09/2011
Comments:
Views: 5,573

Survival analysis of a household portfolio of insurance policies: how much time do you have to stop total customer defection?

Customer-side influences on insurance have been relatively ignored in the literature. Using the household as the unit of analysis, this article focuses on the behavior of households having multiple policies of different types with the same insurance company, and who cancel their first policy.

Updated: 22/09/2011
Comments:
Views: 5,059

A practical approach to blend insurance in the banking network

Author(s):

Stanley Mutenga

 et al.
Topic:
Strategy

The papers looks at the main empirical findings related to the bank-insurance model and outline the market practices across the world.

Updated: 02/11/2011
Comments:
Views: 5,413

Optimal management of an insurer's exposure in a competitive general insurance market

The qualitative behaviour of the optimal premium strategy is determined for an insurer in a finite and an infinite market using a deterministic general insurance model. The optimisation problem leads to a system of forward-backward differential equations obtained from Pontryagin's Maximum Principle. An analytical optimal premium strategy is also found using inverse methods when the price function is nonlinear.

Updated: 22/09/2011
Comments:
Views: 5,847

Income drawdown schemes for a defined-contribution pension plan

In retirement a pensioner must often decide how much money to withdraw from a pension fund, how to invest the remaining funds, and whether to purchase an annuity.

Updated: 22/09/2011
Comments:
Views: 6,332

Does the stock market compensate banks for diversifying into the insurance business?

Author(s):

Panagiotis Dontis-Charitos

 et al.

This paper explores a wide range of corporate restructurings, all available deals from wire services, in the banking and insurance sectors that led to bancassurance ventures. An event study methodology is employed to calculate excess returns on and around the deals' announcement date.

Updated: 22/09/2011
Comments:
Views: 5,078

An empirical investigation into the performance of UK pension fund managers

The UK's defined benefit pensions industry makes widespread use of pooled investment vehicles which are provided by a large number of fund management groups. In this paper we provide the first comprehensive performance analysis of these funds.

Updated: 22/09/2011
Comments:
Views: 6,485

The impact of changing demographics and pensions on the demand for housing and financial assets

The main aim of this paper is to to analyse the impact of shifting demographics and changes in pension arrangements in a model which includes housing both as an investment asset and a consumption good.

Updated: 22/09/2011
Comments:
Views: 5,544