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dc.contributor.advisorPowers, Michael R.
dc.creatorGao, Siwei
dc.date.accessioned2020-10-26T18:26:04Z
dc.date.available2020-10-26T18:26:04Z
dc.date.issued2013
dc.identifier.other870266720
dc.identifier.urihttp://hdl.handle.net/20.500.12613/1267
dc.description.abstractThis thesis consists with three topics. Chapter 1 Incentive Contracting with an Independent Underwriter: Does It Benefit Insurers? proposes an analytical model to investigate the decision factors of an insurance company when choosing between direct writing and independent underwriter as distribution channel. It also explores the impact of contingent commissions on the underwriting performance of insurance companies. To count for the impact of policy renewal, this paper measures the difference of underwriting performance between using independent underwriter and direst writing in the single-period model, as well as in the multi-period model. It is found that the key decision factors of distribution system include: underwriting risk, underwriting task complexity, underwriting cost, as well as policy renewal. Chapter 2 Risk Finance for Catastrophe Losses with Pareto-Calibrated Levy-Stable Severities proposes a risk finance paradigm for catastrophe losses. The conventional risk finance paradigm of enterprise risk management identifies transfer, as opposed to pooling or avoidance, as the preferred solution. However, this analysis does not necessarily account for differences between light- and heavy-tailed characteristics of loss portfolios. Of particular concern are the decreasing benefits of diversification (through pooling) as the tails of severity distributions become heavier. In the present article, a loss portfolio characterized by nonstochastic frequency and a class of Lévy-stable severity distributions calibrated to match the parameters of the Pareto II distribution is investigated. Then a conservative risk finance paradigm is proposed. It can be used to prepare the firm for worst-case scenarios with regard to both (1) the firm's intrinsic sensitivity to risk and (2) the heaviness of the severity's tail. Chapter 3 A Risk-Based Risk Finance Paradigm proposes an alternative to the conventional risk finance paradigm of enterprise risk management that accounts for not only a loss portfolio's expected frequency and expected severity, but also its "risk" as captured by an appropriate measure of dispersion/spread. This new paradigm is based upon four distinct properties of a loss portfolio that enhance the benefits of diversification: (1) a high expected frequency; and (2) less than perfect positive correlations between individual severities; (3) light-tailed severities; and (4) a predictable (i.e., non-erratic) frequency.
dc.format.extent100 pages
dc.language.isoeng
dc.publisherTemple University. Libraries
dc.relation.ispartofTheses and Dissertations
dc.rightsIN COPYRIGHT- This Rights Statement can be used for an Item that is in copyright. Using this statement implies that the organization making this Item available has determined that the Item is in copyright and either is the rights-holder, has obtained permission from the rights-holder(s) to make their Work(s) available, or makes the Item available under an exception or limitation to copyright (including Fair Use) that entitles it to make the Item available.
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectBusiness
dc.subjectFinance
dc.titleEssays on Risk Finance and Incentive Contracting
dc.typeText
dc.type.genreThesis/Dissertation
dc.contributor.committeememberPowers, Michael R.
dc.contributor.committeememberViswanathan, Krupa S.
dc.contributor.committeememberRegan, Laureen
dc.contributor.committeememberDong, Yuexiao
dc.description.departmentBusiness Administration/Risk Management and Insurance
dc.relation.doihttp://dx.doi.org/10.34944/dspace/1249
dc.ada.noteFor Americans with Disabilities Act (ADA) accommodation, including help with reading this content, please contact scholarshare@temple.edu
dc.description.degreePh.D.
refterms.dateFOA2020-10-26T18:26:04Z


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