Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
The Relationship among Interest Rate Risk, Market Value and Surplus Duration for the Insurance Industry
Języki publikacji
Abstrakty
Przedstawiono rozważania na temat metod pomiaru nadwyżki finansowej w zakładach ubezpieczeń. Ważne jest określenie relacji pomiędzy stopą procentową, strukturą kapitałową oraz wartością rynkową w okresie nadwyżki. Omówiono podejście do kwestii mierzenia trwania nadwyżki zaproponowane przez Stakinga i Babbela, które opiera się na wskaźniku q-Tobiana.
The article presents a discussion concerning differences in the methods of measuring financial surplus of insurance companies. It is important to determine the relationships among interest rate, capital structure and market value during the period surplus. These relationships may lead to a conclusion that at a high level of risk, higher interest rate risk is connected with higher market values. On the other hand, it is possible to get results coming from q-Tobin model that oppose this thesis. However, the condition of making idealized, though partly justified, assumptions must be fulfilled. The article does not give definitive answer to this dispute. It only presents some comments concerning these concepts. (original abstract)
Rocznik
Strony
434--440
Opis fizyczny
Twórcy
autor
- Akademia Ekonomiczna im. Karola Adamieckiego w Katowicach
Bibliografia
- Babbel D.F., Merrill C.B., Valuation of Interest - Sensitive Financial Instruments, Society of Actuaries (New Hope, Penn.: Frank J. Fabozzi Associates), 1996.
- Babbel D.F., Merrill C.B., Panning W., Default Risk and the Effective Duration of Bonds, "Financial Analysts Journal" 1997, 53.
- Choi, Jung-Ho, Estimating Market Value of Loss Payments of Property/Liability Insurance Companies Using Modern Valuation Technology, Working Paper, Departament of Insurance and Risk Management, Wharton School, University of Pennsylvania, Philadelphia 1992.
- Staking В., Interest Rate Sensitivity and the Value of Surplus: Duration Mismatch in the Property Liability Insurance Industry, Ph.D. Dissertation, Whatron School of Pennsylvania, Philadelphia 1989.
- Staking В., Babbel D.F., Insurer Surplus Duration and Market Value Revisited, "Journal of Risk and Insurance" 1997, 64.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000170684318