Results 141 to 150 of about 1,364,189 (179)

Longevity Basis Risk: A methodology for assessing basis risk

2014
This paper summarises the work to date of Cass Business School and Hymans Robertson LLP in relation to assessing longevity basis risk. This work was commissioned by the Longevity Basis Risk Working Group (LBRWG) and funded by the Life and Longevity Markets Association (LLMA) and Institute and Faculty of Actuaries (IFoA).
Haberman, Steven, Kaishev, Vladimir, MILLOSSOVICH, PIETRO, Villegas, Andrés, Baxter, Steven, Gaches, Andrew, Gunnlaugsson, Sveinn, Sison, Mario   +7 more
openaire   +2 more sources

Measuring Basis Risk in Longevity Hedges

North American Actuarial Journal, 2011
Abstract In examining basis risk in index longevity hedges, it is important not to ignore the dependence between the population underlying the hedging instrument and the population being hedged. We consider four extensions to the Lee-Carter model that incorporate such dependence: Both populations are jointly driven by the same single time-varying index,
Johnny Siu-Hang Li, Mary R. Hardy
openaire   +1 more source

The axiomatic basis of risk–value models

European Journal of Operational Research, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +1 more source

Basis Risk and Weather Hedging Effectiveness

2007
Basis risk has been cited as a primary concern for implementing weather hedges. This study investigates several dimensions of weather basis risk for the U.S. corn market at various levels of aggregation. The results suggest that while the degree of geographic basis risk may be significant in some instances, it should not preclude the use of geographic ...
Woodard, Joshua D., Garcia, Philip, Woodard, Joshua D., Garcia, Philip   +3 more
openaire   +1 more source

Cattle Basis Risk and Grid Pricing

1998
The beef industry is increasingly moving towards a more value-based pricing system in an attempt to send appropriate signals to producers. Beef packers have responded by developing grid pricing systems which value each carcass separately based on its own merit, as opposed to one price for an entire pen of cattle.
Graff, Jennifer L., Schroeder, Ted C., Graff, Jennifer L., Schroeder, Ted C.   +3 more
openaire   +1 more source

Optimal Hedging with Basis Risk

2006
It often happens that options are written on underlying assets that cannot be traded directly, but where a ‘closely related’ asset can be traded. Rather than simply using the traded asset as a proxy for the option underlying, one should calculate some ‘best’ hedging strategy.
openaire   +1 more source

Basis Risk, Procylicality, and Systemic Risk in the Solvency II Equity Risk Module [PDF]

, 2013
This paper analyzes the equity risk module of Solvency II, the new regulatory framework in the European Union. The equity risk module contains a symmetric adjustment mechanism called equity dampener which shall reduce procyclicality of capital requirements and thus systemic risk in the insurance sector.
Eling, Martin, Pankoke, David Antonius
openaire   +2 more sources

The Statutory Basis of Risk Assessment

1984
American society has become increasingly concerned with the environmental, health, and safety risks posed by technology. This concern has led to two developments. One is the passage of numerous federal statutes regulating risk. The other is the development of increasingly sophisticated techniques for the assessment of risk.
Frederic A. Morris, Eugene Duvernoy
openaire   +1 more source

Geostatistics, Basis Risk, and Index Insurance

2015
This paper describes the application of geostatistics to weather index insurance in order to systematically analyze spatial basis risk inherent in index insurance contracts. The notion of spatial autocorrelation is in general overlooked by index insurance practitioners, but has profound implications for the effectiveness of the insurance offered.
Norton, Michael, Boucher, Stephen, Verteramo Chiu, Leslie, Norton, Michael, Boucher, Stephen, Verteramo Chiu, Leslie   +5 more
openaire   +1 more source

Hedging price risk under production flexibility and basis risk

1999
Le contrat optimal de couverture contre le risque de prix pour une entreprise disposant d'une production flexible est déterminé en présence d'un risque de base. Il contient un prix critique au-dessous ou au-dessus duquel une indemnité non linéaire est versée selon que la corrélation entre les prix sur le marché au comptant et sur le marché à terme est ...
Mahul, Olivier, American Risk And Insurance Association, .   +1 more
openaire   +1 more source