Abstract Risk attitudes play a pivotal role to understand economic decision‐making, and several measures are used to elicit them in the lab and survey them in the field. We provide a literature review on the most commonly used risk elicitation methods by Holt and Laury (HL) and the Investment Game (IG) by Gneezy and Potters and the General Risk Question (GRQ) utilized in the German Socioeconomic Panel. Based on the metadata from three experiments, we show that the GRQ has a robust and economically relevant association with the IG.
{"title":"On the correlation of self‐reported and behavioral risk attitude measures: The case of the General Risk Question and the Investment Game following Gneezy and Potters (1997)","authors":"Christine Gaertner, Petra Steinorth","doi":"10.1111/rmir.12250","DOIUrl":"https://doi.org/10.1111/rmir.12250","url":null,"abstract":"Abstract Risk attitudes play a pivotal role to understand economic decision‐making, and several measures are used to elicit them in the lab and survey them in the field. We provide a literature review on the most commonly used risk elicitation methods by Holt and Laury (HL) and the Investment Game (IG) by Gneezy and Potters and the General Risk Question (GRQ) utilized in the German Socioeconomic Panel. Based on the metadata from three experiments, we show that the GRQ has a robust and economically relevant association with the IG.","PeriodicalId":35338,"journal":{"name":"Risk Management and Insurance Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135146357","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract In this paper, we develop a model that can capture how COVID‐19 and the subsequent rapid vaccine development against COVID‐19 impacts the value of pools of senior life settlements. The pandemic unexpectedly boosted the mortality rates of senior citizens who had prior diagnoses of certain health conditions. Our model accounts for the existence and concentration of these COVID‐19 comorbidities in portfolios of senior life settlements. It is the concentration of assets linked to the mortality rates of a group who is at elevated risk to COVID‐19 and who is also the primary beneficiaries of the COVID‐19 vaccine that we examine. We illustrate how the shock of the pandemic increases the value of senior life settlements and how the accelerated development and distribution of COVID‐19 vaccines moderated this increase. Our model is general enough to simulate the impact on other financial contracts that are linked to individual mortality rates. These would include life insurance contracts, annuities, and health insurance policies.
{"title":"The shock of COVID‐19 and the shock of rapid vaccine development on the value of senior life settlement contracts","authors":"Carlos E. Ortiz, Charles A. Stone, Anne Zissu","doi":"10.1111/rmir.12251","DOIUrl":"https://doi.org/10.1111/rmir.12251","url":null,"abstract":"Abstract In this paper, we develop a model that can capture how COVID‐19 and the subsequent rapid vaccine development against COVID‐19 impacts the value of pools of senior life settlements. The pandemic unexpectedly boosted the mortality rates of senior citizens who had prior diagnoses of certain health conditions. Our model accounts for the existence and concentration of these COVID‐19 comorbidities in portfolios of senior life settlements. It is the concentration of assets linked to the mortality rates of a group who is at elevated risk to COVID‐19 and who is also the primary beneficiaries of the COVID‐19 vaccine that we examine. We illustrate how the shock of the pandemic increases the value of senior life settlements and how the accelerated development and distribution of COVID‐19 vaccines moderated this increase. Our model is general enough to simulate the impact on other financial contracts that are linked to individual mortality rates. These would include life insurance contracts, annuities, and health insurance policies.","PeriodicalId":35338,"journal":{"name":"Risk Management and Insurance Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135251450","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Nicolaus Grochola, Mark J. Browne, Helmut Gründl, Sebastian Schlütter
Abstract Market risks account for an integral part of insurers' risk profiles. We explore market risk sensitivities of insurers in the United States and Europe. Based on panel regression models and daily market data from 2012 to 2018, we find that sensitivities are particularly driven by insurers' product portfolio. The influence of interest rate movements on stock returns is 60% larger for US than for European life insurers. For the former, interest rate risk is a dominant market risk with an effect that is five times larger than through corporate credit risk. For European life insurers, the sensitivity to interest rate changes is only 44% larger than toward credit default swap of government bonds, underlining the relevance of sovereign credit risk.
{"title":"Exploring the market risk profiles of US and European stock insurers","authors":"Nicolaus Grochola, Mark J. Browne, Helmut Gründl, Sebastian Schlütter","doi":"10.1111/rmir.12248","DOIUrl":"https://doi.org/10.1111/rmir.12248","url":null,"abstract":"Abstract Market risks account for an integral part of insurers' risk profiles. We explore market risk sensitivities of insurers in the United States and Europe. Based on panel regression models and daily market data from 2012 to 2018, we find that sensitivities are particularly driven by insurers' product portfolio. The influence of interest rate movements on stock returns is 60% larger for US than for European life insurers. For the former, interest rate risk is a dominant market risk with an effect that is five times larger than through corporate credit risk. For European life insurers, the sensitivity to interest rate changes is only 44% larger than toward credit default swap of government bonds, underlining the relevance of sovereign credit risk.","PeriodicalId":35338,"journal":{"name":"Risk Management and Insurance Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135591236","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract The early 2020s diversity, equity, and inclusion movement has prompted debate about banning the use of suspect insurance pricing variables because they discriminate against protected classes, such as gender. This paper demonstrates how banning an insurance pricing variable currently used in insurance pricing models can result in regulatory adverse selection if the ban heterogeneously combines policyowners with different expected losses into the same risk class, contrary to risk‐based pricing. The paper begins by describing several recent regulatory and judicial decisions to ban insurance pricing variables. It next describes the process used by insurers to set insurance prices, followed by a discussion of applicable insurance discrimination laws. Using a simple risk aversion model, the paper next examines whether a ban on gender‐based auto insurance pricing in California in 2019 results in regulatory adverse selection. The paper concludes by describing possible alternative pricing variables available to auto insurers if gender‐based pricing is banned.
{"title":"Addressing insurance price discrimination in an era of diversity, equity, and inclusion","authors":"David A. Cather","doi":"10.1111/rmir.12249","DOIUrl":"https://doi.org/10.1111/rmir.12249","url":null,"abstract":"Abstract The early 2020s diversity, equity, and inclusion movement has prompted debate about banning the use of suspect insurance pricing variables because they discriminate against protected classes, such as gender. This paper demonstrates how banning an insurance pricing variable currently used in insurance pricing models can result in regulatory adverse selection if the ban heterogeneously combines policyowners with different expected losses into the same risk class, contrary to risk‐based pricing. The paper begins by describing several recent regulatory and judicial decisions to ban insurance pricing variables. It next describes the process used by insurers to set insurance prices, followed by a discussion of applicable insurance discrimination laws. Using a simple risk aversion model, the paper next examines whether a ban on gender‐based auto insurance pricing in California in 2019 results in regulatory adverse selection. The paper concludes by describing possible alternative pricing variables available to auto insurers if gender‐based pricing is banned.","PeriodicalId":35338,"journal":{"name":"Risk Management and Insurance Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136093243","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract Many studies of the insurance profit cycle use industry‐level annual data and focus on the existence of an AR(2) process. We take a different approach by adopting the idea of possible hard and soft markets, but they are not necessarily cyclical in the classic sense. In addition to aggregated data, we use quarterly firm‐level data to examine loss ratio behavior over time. This approach allows one to assess the firm‐level heterogeneity in the insurance market. We further use a Markov switching model to assess the heterogeneity of response to economic variables. Using a K‐means cluster approach, we examine the different clusters of firms and their different behavior over 2001q1−2020q4.
{"title":"Loss ratio dynamics","authors":"Martin F. Grace","doi":"10.1111/rmir.12247","DOIUrl":"https://doi.org/10.1111/rmir.12247","url":null,"abstract":"Abstract Many studies of the insurance profit cycle use industry‐level annual data and focus on the existence of an AR(2) process. We take a different approach by adopting the idea of possible hard and soft markets, but they are not necessarily cyclical in the classic sense. In addition to aggregated data, we use quarterly firm‐level data to examine loss ratio behavior over time. This approach allows one to assess the firm‐level heterogeneity in the insurance market. We further use a Markov switching model to assess the heterogeneity of response to economic variables. Using a K‐means cluster approach, we examine the different clusters of firms and their different behavior over 2001q1−2020q4.","PeriodicalId":35338,"journal":{"name":"Risk Management and Insurance Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135385733","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Risk Management and Insurance ReviewVolume 26, Issue 2 p. 281-281 ARIA MEMBERSHIP INFORMATION ARIA Membership Information First published: 03 July 2023 https://doi.org/10.1111/rmir.12209AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat No abstract is available for this article. Volume26, Issue2Summer 2023Pages 281-281 RelatedInformation
{"title":"ARIA Membership Information","authors":"","doi":"10.1111/rmir.12209","DOIUrl":"https://doi.org/10.1111/rmir.12209","url":null,"abstract":"Risk Management and Insurance ReviewVolume 26, Issue 2 p. 281-281 ARIA MEMBERSHIP INFORMATION ARIA Membership Information First published: 03 July 2023 https://doi.org/10.1111/rmir.12209AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat No abstract is available for this article. Volume26, Issue2Summer 2023Pages 281-281 RelatedInformation","PeriodicalId":35338,"journal":{"name":"Risk Management and Insurance Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135315279","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Organizational resilience as a key property of enterprise risk management in response to novel and severe crisis events","authors":"P. Dahmen","doi":"10.1111/rmir.12245","DOIUrl":"https://doi.org/10.1111/rmir.12245","url":null,"abstract":"","PeriodicalId":35338,"journal":{"name":"Risk Management and Insurance Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78989075","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Epistemic uncertainty in catastrophe models—A base level examination","authors":"Patricia L. Born, Randy Dumm, Mark E. Johnson","doi":"10.1111/rmir.12246","DOIUrl":"https://doi.org/10.1111/rmir.12246","url":null,"abstract":"","PeriodicalId":35338,"journal":{"name":"Risk Management and Insurance Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79465714","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Flood insurance literacy and flood risk knowledge: Evidence from Portland, Oregon","authors":"C. Kousky, Noelwah R. Netusil","doi":"10.1111/rmir.12242","DOIUrl":"https://doi.org/10.1111/rmir.12242","url":null,"abstract":"","PeriodicalId":35338,"journal":{"name":"Risk Management and Insurance Review","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80324759","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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