UNIVERSALLY MARKETABLE INSURANCE UNDER MULTIVARIATE MIXTURES

2020 ◽  
pp. 1-23
Author(s):  
Ambrose Lo ◽  
Qihe Tang ◽  
Zhaofeng Tang
Keyword(s):  
Economic Theory ◽  
Structural Properties ◽  
Mixture Model ◽  
Lipschitz Condition ◽  
Insurance Contract ◽  
Theory And Practice ◽  
Dependence Structure ◽  
Convex Order ◽  
Multiple Risks ◽  
Structural Characterizations

Abstract The study of desirable structural properties that define a marketable insurance contract has been a recurring theme in insurance economic theory and practice. In this article, we develop probabilistic and structural characterizations for insurance indemnities that are universally marketable in the sense that they appeal to all policyholders whose risk preferences respect the convex order. We begin with the univariate case where a given policyholder faces a single risk, then extend our results to the case where multiple risks possessing a certain dependence structure coexist. The non-decreasing and 1-Lipschitz condition, in various forms, is shown to be intimately related to the notion of universal marketability. As the highlight of this article, we propose a multivariate mixture model which not only accommodates a host of dependence structures commonly encountered in practice but is also flexible enough to house a rich class of marketable indemnity schedules.

ISSUES OF REGULATING PRICES FOR SEPARATE FOOD PRODUCTS IN THE ASPECT OF ENSURING THE ECONOMIC SECURITY OF THE RUSSIAN FEDERATION

2021 ◽  
Vol 1 (8) ◽  
pp. 20-36
Author(s):  
M. Yu. LEV ◽  
Keyword(s):  
Economic Theory ◽  
Market Economy ◽  
Economic Security ◽  
Price Regulation ◽  
Theory And Practice ◽  
Regulatory Documents ◽  
Consumer Prices ◽  
Foreign Countries ◽  
Economic Program ◽  
The Russian Federation

The paper examines the legislation on price regulation in certain industrially developed foreign countries in modern conditions of market economy. The development of the economic theory and practice of price regulation in the XX century in foreign countries is considered. The analysis of regulatory documents regulating prices for products in Austria, Belgium, France; changes in consumer prices in Russia and foreign countries is carried out. It is concluded that in ensuring the socio-economic security of the state, it is necessary to actively search for an economic theory that could become the foundation of a government economic program aimed at improving the welfare of the population.

On the dependence structure of hitting times of univariate processes

1988 ◽  
Vol 25 (02) ◽  
pp. 355-362 ◽  
Author(s):  
Nader Ebrahimi ◽  
T. Ramalingam
Keyword(s):  
Brownian Motion ◽  
Structural Properties ◽  
Hitting Times ◽  
Dependence Structure ◽  
Special Case ◽  
New Better Than Used ◽  
Better Than

Some concepts of dependence have recently been introduced by Ebrahimi (1987) to explore the structural properties of the hitting times of bivariate processes. In this framework, the special case of univariate processes has curious features. New properties are derived for this case. Some applications to sequential inference and inequalities for Brownian motion and new better than used (NBU) processes are also provided.

scholarly journals Valuation of Guaranteed Unitized Participating Life Insurance under MEGB2 Distribution

2019 ◽  
Vol 2019 ◽  
pp. 1-16
Author(s):  
Haitao Zheng ◽  
Junzhang Hao ◽  
Manying Bai ◽  
Zhengjun Zhang
Keyword(s):  
Life Insurance ◽  
Influence Factors ◽  
Simulation Method ◽  
Insurance Contract ◽  
Dependence Structure ◽  
Pricing Model ◽  
Negligible Probability ◽  
Rate Minimum ◽  
Single Premium ◽  
Fair Valuation

Crisis events have significantly changed the view that extreme events in financial markets have negligible probability. Especially in the life insurance market, the price of guaranteed participating life insurance contract will be affected by a change in asset volatility which leads to the fluctuations in embedded option value. Considering the correlation of different asset prices, MEGB2 (multivariate exponential generalized beta of the second kind) distribution is proposed to price guaranteed participating life insurance contract which can effectively describe the dependence structure of assets under some extreme risks. Assuming the returns of two different assets follow the MEGB2 distribution, a multifactor fair valuation pricing model of insurance contract is split into four components: the basic contract, the annual dividend option, the terminal dividend option, and the surrender option. This paper studies the effect of death rate, minimum guaranteed yield rate, annual dividend ratio, terminal dividend ratio, and surrender on the embedded option values and calculates the single premium of the insurance contract under different influence factors. The Least-Squares Monte Carlo simulation method is used to simulate the pricing model. This article makes a comparison in the sensitivity of the pricing parameters under the MEGB2 distribution and Multivariate Normal distribution asset returns. Finally, an optimal hedging strategy is designed to cover the possible risks of the underlying assets, which can effectively hedge the risks of portfolio.

Explaining Economic Change: The Interplay Between Cognition and Institutions

Legal Theory ◽  
1997 ◽  
Vol 3 (3) ◽  
pp. 211-226 ◽  
Author(s):  
Jack Knight ◽  
Douglass North
Keyword(s):  
Economic Theory ◽  
Everyday Life ◽  
Rational Choice ◽  
Human Behavior ◽  
Rational Choice Theory ◽  
Choice Theory ◽  
Basic Problem ◽  
Economic Change ◽  
Theory And Practice ◽  
Social Explanation

Economic theory is built on assumptions about human behavior—assumptions embodied in rational-choice theory. Underlying these assumptions are implicit notions about how we think and learn. These implicit notions are fundamentally important to social explanation. The very plausibility of the explanations that we develop out of rational-choice theory rests crucially on the accuracy of these notions about cognition and rationality. But there is a basic problem: There is often very little relationship between the assumptions that rational-choice theorists make and the way that humans actually act and learn in everyday life. This has significant implications for economic theory and practice. It leads to bad theories and inadequate explanations; it produces bad predictions and, thus, supports ineffective social policies.

scholarly journals Statistical Modeling of Insurance Data via Vine Copula

2019 ◽  
Author(s):  
Indranil GHOSH ◽  
Dalton Watts
Keyword(s):  
Structural Properties ◽  
Statistical Modeling ◽  
Life Insurance ◽  
Real Life ◽  
Dependence Structure ◽  
Flexible Tool ◽  
Vine Copula ◽  
Bivariate Copula ◽  
Insurance Data

Copulas are useful tools for modeling the dependence structure between two or more variables. Copulas are becoming a quite flexible tool in modeling dependence among the components of a multivariate vector, in particular to predict losses in insurance and finance. In this article, we study the dependence structure of some well-known real life insurance data (with two components mainly) and subsequently identify the best bivariate copula to model such a scenario via VineCopula package in R. Associated structural properties of these bivariate copulas are also discussed.

The history of ecosystem services in economic theory and practice: From early notions to markets and payment schemes

2010 ◽  
Vol 69 (6) ◽  
pp. 1209-1218 ◽  
Author(s):  
Erik Gómez-Baggethun ◽  
Rudolf de Groot ◽  
Pedro L. Lomas ◽  
Carlos Montes
Keyword(s):  
Economic Theory ◽  
Ecosystem Services ◽  
Theory And Practice ◽  
Payment Schemes ◽  
History Of

scholarly journals البنية المعرفية للاقتصاد الإسلامي: دراسة مقارنة مع الاقتصاد الوضعي

2010 ◽  
Vol 16 (62) ◽  
pp. 43-13
Author(s):  
أحمد إبراهيم منصور
Keyword(s):  
Economic Theory ◽  
Economic System ◽  
Frame Of Reference ◽  
Theory And Practice ◽  
Basic Concepts ◽  
Cultural Borrowing ◽  
Islamic Economic

يبدأ البحث بإيضاح عناصر الاقتصاد الوضعي التي تمثل مرجعية معرفية للممارسات الاقتصادية، مع التركيز على المنهج والمفاهيم، وينتقل إلى بيان عجز الاقتصاد الوضعي عن تحقيق العدالة والكفاءة. ثم يتناول عدداً من المفاهيم الأساسية ليوضح طبيعة البيئة التي تشكل فيها المفهوم، والشكل الذي تم إنتاجه فيها، ويختار لذلك مفهوم "العمل". ثم يختم بتحليل مسألة الاقتراض الثقافي للمفاهيم ودورها في التمييز بين جهود بناء الأصالة الحضارية أو الوقوع في التبعية الحضارية. ويؤكد البحث أن بناء نظرية اقتصادية إسلامية أمر ممكن لتوفر الإطار المرجعي للنظرية ومنظومة المفاهيم المشكلة لها وأدوات التحليل والتفسير العاملة فيها، ومن ثم يدعو المهتمين بشأن الاقتصادي الإسلامي: فكرأ وممارسة، إلى بذل الجهد اللازم لبناء هذه النظرية. This paper begins by clarifying elements of prevailing economic system characterized by positivist philosophy, with a focus on methodology and concepts.  It exposes the inability of this system to achieve justice and efficiency. The paper then addresses a number of basic concepts to explain the nature of the environment in which the concept has been formed choosing the concept of "work" for that purpose.  It concludes with citing the danger of cultural borrowing of concepts, and its role in creating cultural dependency and harboring efforts of building civilizational identity of the Muslim Ummah. The paper stresses that building an Islamic economic theory is possible, given that a the frame of reference for the theory and the system of concepts that forms it and its tools of analysis are all available, and calls on those concerned with Islamic economics to exert the necessary effort, in theory and practice, to build such theory.

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