Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
Sign Up to like & getrecommendations! Published in 2020 at "Scandinavian Actuarial Journal"
DOI: 10.1080/03461238.2020.1788136
Abstract: In this paper, we determine the optimal reinsurance strategy to minimize the probability of drawdown, namely, the probability that the insurer's surplus process reaches some fixed fraction of its maximum value to date. We assume… read more here.
Keywords: probability drawdown; premium; variance premium; optimal reinsurance ... See more keywords
Ambiguity Aversion and the Variance Premium
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DOI: 10.1142/s2010139219500034
Abstract: This paper offers an ambiguity-based interpretation of the variance premium — the difference between risk-neutral and objective expectations of market return variance — as a compounding effect of both belief distortion and variance differential regarding the uncertain… read more here.
Keywords: premium; ambiguity aversion; variance; variance premium ... See more keywords
Variance Premium and Implied Volatility in a Low-Liquidity Option Market
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DOI: 10.5935/0034-7140.20170001
Abstract: We propose an implied volatility index for Brazil that we name "IVol-BR". The index is based on daily market prices of options over IBOVESPA -- an option market with relatively low liquidity and few option… read more here.
Keywords: volatility; low liquidity; variance premium; option ... See more keywords