13 settembre: a Economia seminari con docenti australiani

Parma, 12 settembre 2012 – Giovedì 13 settembre il prof. Michael Sherris e la dott.ssa Katja Hanewald (Risk and Actuarial Studies, CEPAR, Australian School of Business, University of New South Wales, Sydney) terranno due seminari presso il Dipartimento di Economia dell'Università di Parma.
La partecipazione è libera e aperta a tutti gli interessati.

Di seguito il programma dettagliato dei due seminari:

Seminario di Michael Sherris: giovedì 13 settembre, ore 12, aula F del Dipartimento di Economia dell’Università di Parma (via Kennedy 6)

Titolo
Portfolio Selection for Insurance Linked Securities: An Application of Multiple Criteria Decision Making

Autori
Dominic Ho, School of Risk and Actuarial Studies, Australian School of Business, University of New South Wales - Michael Sherris, CEPAR, AIPAR, School of Risk and Actuarial Studies, Australian School of Business, University of New South Wales

Abstract
The insurance linked securities (ILS) market is an increasingly important alternative asset class for which risk and return analysis differs from other asset classes. Measures of portfolio risk and return for an ILS portfolio are based on the expected losses and expected excess returns over the risk free rate. Multiple criteria decision making (MCDM) has found successful applications to many real world decision problems. This paper examines the application of two popular MCDM methods, Analytical Hierarchy Process (AHP) and ELECTRE III, to ILS portfolios. These methods are used to screen the securities before constructing portfolios using linear optimisation with constraints. The objective function is to minimise the portfolio expected loss for a given level of expected excess return. Upper and lower bounds are also placed on the investment in each individual ILS. The results demonstrate the benefits from applying MCDM to ILS portfolio selection.
Keywords: portfolio selection, insurance linked securities, multiple criteria decision making, Analytical Hierarchy Process, ELECTRE.

Seminario di Katja Hanewald: giovedì 13 settembre, ore 12.45, aula F del Dipartimento di Economia dell’Università di Parma (via Kennedy 6)

Titolo
Comparing Life Insurer Longevity Risk Management Strategies in a Firm Value Maximizing Framework

Autori
Craig Blackburn, Risk and Actuarial Studies, CEPAR, Australian School of Business, University of New South Wales - Katja Hanewald, Risk and Actuarial Studies, CEPAR, Australian School of Business, University of New South Wales - Annamaria Olivieri, Dipartimento di Economia, University of Parma - Michael Sherris, Risk and Actuarial Studies, CEPAR, Australian School of Business, University of New South Wales

Abstract
This paper investigates the impact of longevity risk management on shareholder value and solvency for an insurer issuing life annuities. The shareholder value is determined using both an economic balance sheet and a Market-Consistent Embedded Value approach. Frictional costs as well as the limited liability put option value of the insurer are included. While shareholder value models and frictional costs have been addressed in the literature to assess risk management strategies for insurers, a one-period setting has been mainly referred to. Conversely, when dealing with life annuities, a multiperiod framework is required; one of the main contribution of this paper is in this respect. The main features of our model are as follows. We adopt a multi-period stochastic mortality model with both systematic and idiosyncratic longevity risk. The value of the risk management strategies allows for costs for transferring longevity risk, regulatory capital requirements, capital relief, market frictions, agency costs, and financial distress costs. Policyholders' price-default-demand elasticity is used to determine product market premiums. Risk management strategies allow for capital management, reinsurance with a longevity swap and securitization through a longevity bond. The reinsurance is indemnitybased, covering both systematic and idiosyncratic longevity risk, whereas securitization is index-based, and only covers systematic longevity risk. Capital management is based on a recapitalization strategy to maintain regulatory capital requirements provided the insurer is solvent. The investigation shows that, as one would expect, longevity risk management strategies reduce volatility and frictional costs. However, the costs of the strategies may outweigh benefits, and the reduced profitability of the insurer results in increased insolvency risk in later years.
Keywords: capital management, solvency, longevity risk, reinsurance, securitization.