Very interesting paper for anybody working with stochastic money accounts.

 

Abstract:

 

We constructively prove the existence of time-discrete consumption processes for stochastic money accounts that fulfill a pre-specified positively homogeneous pro jection property (PHPP) and let the account always be positive and exactly zero at the end. One possible example is consumption rates forming a martingale under the above restrictions. For finite spaces, it is shown that any strictly positive consumption strategy with restrictions as above possesses at least one corresponding PHPP and could be constructed from it. We also consider numeric examples under time-discrete and -continuous account processes, cases with infinite time horizons and an actuarial application.

 

(Source: BBC) Motorists are routinely driven to distraction by car insurance bills over which they have little control. A GPS based system aims to end all that, by introducing monthly pay-as-you-drive cover.

A little black box hidden away in the boot of your car could lead to itemised monthly bills for cover, insurers say.

link

 

(Source: Anuraag Sunder) Anuraag Sunder posted these great pictures to RiskMail. Enjoy & prepare for the Christmas holidays.

(Source: Business Wire) The insurance industry is at a critical juncture, with issues surrounding consolidation, pricing, legislative reforms and capital concerns shaping the market for 2004, according to year-end industry predictions from Tillinghast - Towers Perrin (Tillinghast).

 

The poor economic environment, stock market volatility and credit losses of the past few years have taken their toll on the insurance industry, with some of the weaker players dropping out. Following a period of always being in reactive mode in an environment that no one expected, we may now be at a turning point where companies have learned how to better navigate in uncertain conditions," says Patricia Guinn, Towers Perrin Executive Council member and Managing Director of Tillinghast and Reinsurance. "A tier of stronger players have emerged that are now ready to focus on growth strategies." link

American International Group has introduced a new set of policies designed to cover companies that develop and sell anti-terrorism products and technologies under the Support Anti-Terrorism By Fostering Effective Technologies Act of 2002. link

(Source: FT, July 13, 2004) Warren Buffett, the famed US investor, is backing a plan to consolidate the fragmented insurers of Lloyd's of London, in the first step of what could be a radical shake-up of the world's largest insurance market, which can write £15bn ($27.8bn) of premium annually.

 

Mr Buffett's Berkshire Hathaway Group is described as a "cornerstone" investor in Capital Insurance Holdings, a new business set up to buy up smaller quoted companies at Lloyd's. link

(Source: finextra) A new study by PricewaterhouseCoopers[?] has confirmed that Enterprise Risk Management (ERM) is on the boardroom agenda as a key driver for a competitive edge in the insurance industry, but some leading insurers need to close the gap between the design and planning stages, and the actual execution and integration of ERM programs.

 

Market and regulatory forces will continue to drive insurers to implement ERM as an enabler for attaining financial goals. Leading companies look to ERM as a framework under which they can not only manage all the categories of risk but also optimize their portfolios and enhance product development. Some, however, continue to struggle with the necessary infrastructure, people, processes and technology essential to fully reap these benefits. link