We describe two procedures that assist insurance firms in determining shareholders' risk tolerance thresholds and in using such thresholds within the decision-making process. The first procedure is based on parsimonious measures of the risk/return tradeoff such as the Sharpe Ratio; the second procedure makes a direct use of expected utility theory.
Risk tolerance levels for insurance companies
BATTAUZ, ANNA;DE DONNO, MARZIA;SBUELZ, ALESSANDRO;TOLOTTI, MARCO
2009
Abstract
We describe two procedures that assist insurance firms in determining shareholders' risk tolerance thresholds and in using such thresholds within the decision-making process. The first procedure is based on parsimonious measures of the risk/return tradeoff such as the Sharpe Ratio; the second procedure makes a direct use of expected utility theory.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.