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Portfolio Insurance and model uncertainty
Minimum-wealth or income- stream guarantee Model uncertainty Portfolio Insurance Portfolio selection
2011/9/16
Some real-world insurance products contain a minimum-wealth or an income-stream guarantee, both of which have to he met irrespective of capital market conditions. Therefore, sellers of such products a...
Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses?
Operational Risk Loss Distributional Approach Insurance Mitigation
2010/10/22
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper stud...