Book
Страхование и управление рисками: проблемы и перспективы
The monograph includes selected articles of the studies on the theory and practice of insurance and risk management in Russia and abroad. The modern condition and perspective directions of scientific researches in the field of insurance, risk management insurance education. The monograph allows to obtain a fairly complete picture of the most pressing issues in the field of insurance business, as well as about directions of finding possible answers to them.
The book is intended for senior students, postgraduates and teachers of economic universities, researchers and practitioners interested in the issues of insurance, risk management, and insurance.
The relevance of the topic is the need to fill existing gaps in the study of micro-insurance. The goal is to identify the key factors and their influence on the development of microinsurance through the regression model. The analysis will be conducted based on the collected data for 69 countries, which include different characteristics: the level of inflation, unemployment, the Gini coefficient, the share of insurance premiums for life insurance in GDP, the index of strength of legal rights, financial literacy, index of health. The experimental variable was the percentage of the population using the services of micro-insurance. As a method of research for regression and descriptive data analysis. The expected result of the study is the determination of important characteristics that have an impact on the demand for microinsurance among the population, on what basis we can assume the expected trends in the development of microinsurance in Russia.
The paper studies a problem of optimal insurer’s choice of a risk-sharing policy in a dynamic risk model, so-called Cramer-Lundberg process, over infinite time interval. Additional constraints are imposed on residual risks of insureds: on mean value or with probability one. An optimal control problem of minimizing a functional of the form of variation coefficient is solved. We show that: in the first case the optimum is achieved at stop loss insurance policies, in the second case the optimal insurance is a combination of stop loss and deductible policies. It is proved that the obtained results can be easily applied to problems with other optimization criteria: maximization of long-run utility and minimization of probability of a deviation from mean trajectory.
A singular boundary value problem for a second order linear integrodifferential equation with Volterra and nonVolterra integral operators is formulated and analyzed. The problem arises in the study of the survival probability of an insurance company over infinite time (as a function of its initial surplus) in a dynamic insurance model that is a modification of the classical Cramer–Lundberg model with a stochastic process rate of premium under a certain investment strategy in the financial market.
The chapter studies a dynamic risk model defined on infinite time interval, where both insurance and per-claim reinsurance policies are chosen by the insurer in order to minimize a functional of the form of variation coefficient under constraints imposed with probability one on insured's and reinsurer's risks. We show that the optimum is achieved at constant policies, the optimal reinsurance is a partial stop loss reinsurance and the optimal insurance is a combination of stop loss and deductible policies. The results are illustrated by a numerical example involving uniformly distributed claim sizes.
The concept of economic equilibrium under uncertainty is applied to a model of insurance market where, in distinction to the classic Borch's model of a reinsurance market, risk exchanges are allowed between the insurer and each insured only, not among insureds themselves. Conditions characterizing an equilibrium are found. A variant of the conditions, based on the Pareto optimality notion and involving risk aversion functions of the agents, is derived. An existence theorem is proved. Computation of the market premiums and optimal indemnities is illustrated by an example with exponential utility functions.
The collection includes papers of participants of the XVIII International scientific-practical conference, organized by the company "Rosgosstrakh" and the Kostroma state University with the participation of the Second scientific society of insurance. In the publications considered: the place of insurance in financial system of Russia and problems of regional and global insurance markets, different types and forms of insurance protection, as training for the insurance industry. The edition is addressed to experts in the field of insurance, students, graduate students, scientific employees and teachers of educational institutions.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.