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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
21

Insurer risk management and optimal reinsurance

Krvavych, Yuriy, Actuarial Studies, Australian School of Business, UNSW January 2005 (has links)
In finance the existence of corporate risk management is due to imperfections in financial markets. One of the main imperfections is associated with the cost of corporate risk that firms assume. Costly corporate risk creates a set of frictional costs and thereby decreases corporate value. Financial corporations manage their risk to reduce the expected value of frictional costs and enhance shareholders' value, and do so using a wide variety of tools. This dissertation primarily considers an insurance company as a special type of financial corporation leveraged by risky debt, and investigates the existence of risk management incentives in insurance in the presence of frictional costs such as financial distress costs and costs caused by the convexity of the corporate tax rate. Here one of the main tool of risk hedging is reinsurance, a classical tool for risk transfer in insurance, and this dissertation investigates demand for reinsurance in insurer value creation. Insurer risk management problems are also investigated here in a dynamic setting, where the main objective is to find optimal reinsurance and dividend payments under which the expected present value of future dividends is maximised. This dissertation also generalizes some classic actuarial results of reinsurance optimization under the mean-variance criterion. In this work optimal reinsurance is found endogenously for different reinsurance premium principle using standard methods of convex analysis. Finally this work considers an integrated market consisting of insureds, insurers and reinsurers, and studies the effect of the presence of reinsurance in this market on insurance price.
22

Corporate risk management with reinsurance and derivatives : panel data methodology and new results from empirical studies using Australian data

Carneiro, Luiz Augusto Ferreira, Actuarial Studies, Australian School of Business, UNSW January 2006 (has links)
This thesis contributes to the issue of why corporations manage risk with insurance and financial derivative contracts. Two different empirical studies are done with data sets from Australian companies: 1) one study on reinsurance demand; and 2) one study on interest-rate-risk hedging demand from non-banking companies listed at the Australian Stock Exchange (ASX). Both studies use panel data models. A Monte Carlo simulation replicates the basic characteristics of the original data sets and allows a performance comparison among different panel data models. This thesis provides the first empirical work on insurer demand for reinsurance using Australian data. A panel-data set (1996-2001) is used, which provides 543 observations. The study finds strong evidence that larger insurers, insurers member of a group of companies, reinsurers, and captive insurers reinsure more. The impacts of leverage, taxes, and return on investments are not statistically significant. The second empirical study analyses the interest-rate-risk hedging demand with two panel data sets from 1998 to 2003 (1134 and 465 observations, respectively). Detailed information about interest-rate-risk exposures was available after manual data collection from financial reports, which was only possible due to specific reporting requirements in Australian accounting standards. A probit regression analysis confirms previous empirical results that company size is important to the decision to hedge interest rate risk in Australia. However, in relation to the analysis of the extent of hedging, the proper measurement of interest-rate-risk exposures generates some significant results different from those found in previous studies. For example, this study shows that total leverage (total debt ratio) is not significantly important to interest-rate-risk hedging demand and that, instead, this demand is related to the specific risk exposure in the interest bearing part of debt. This study finds significant relations of interest-rate-risk hedging to company size, floating-interest-rate debt ratio, annual log returns, and company industry type.
23

Risk management of oil refinery

Do, Hyunsoo 23 September 2014 (has links)
Every business faces risks and the first step in managing risk is making an inventory of the risks that a business faces and getting measure of the exposure to each risk. There are several risks that can affect an oil refinery. Generally recognized risks related to refineries are as follows: crude oil price, crack spread, marketing margin, sales volume, exchange rate, costs, credit and counterparty risk, and hazard risk. In this thesis, among these risk factors, major market price variables, such as crude oil price and crack spread, are regarded as risks or simulation variables; some of the other risks, such as marketing margin, utilization rate, and energy cost, are treated as uncertainties; the others are excluded or fixed. This thesis develops a hypothetical refinery financial model that reasonably approximates real models encountered in practice. To measure the impacts of risk factors on the refinery, three criteria are adopted; present value of net income for ten years, present value of net cash flow, and return on capital employed (ROCE). For sensitivity analysis, five variables are selected: crude oil price, crack spread, marketing margin, utilization rate, and energy cost. In order to measure the risk exposure of an oil refinery, this thesis makes Monte Carlo simulation 10,000 times, by using @RISK software. / Energy and Earth Resources / text
24

Risk management in energy markets

Kolos, Sergey Pavlovitch 28 August 2008 (has links)
Not available / text
25

Disruption managment for project scheduling problem

Zhu, Guidong 28 August 2008 (has links)
Not available / text
26

Cyber security information sharing in the United States : an empirical study including risk management and control implications, 2000-2003

Lavine, Michael Keith January 2007 (has links)
A tremendous amount of change in traditional business paradigms has occurred over the past decade through the development of Electronic Commerce and advancements in the field of Information Technology. As lesser-developed countries progress and become more prosperous, traditional 'first world' countries have migrated to become strong service oriented economies (Asch, 2001). Supporting technologies have developed over the past decade which has exploited the benefits of the Internet and other information technologies. While Electronic Commerce continues to grow there is a corresponding impact on computer software and individual privacy (Ghosh and Swaminatha, 2001). Recently, the U.S. National Institute of Standards and Technology (NIST) found that software bugs cost the U.S. economy approximately $59.5 billion, or 60% of the annual Gross Domestic Product (U.S. Department of Commerce, 2003). In addition, we have witnessed a rise in the strength and impact of Denial of Service and other types of computer attacks such as: viruses, trojans, exploit scripts and probes/scans. Popular industry surveys such as the annual Federal Bureau of Investigation/Computer Security Institute (Gordon, Et. Al., 2006) confirm the growing threats in the Information Assurance field. In addition to these concerns our increased reliance on the Internet enabled systems (Loudon and Loudon, 2000), E-Commerce systems and Information Technologies an integrated suite of risks which must be managed effectively across the public and private sectors (Backhouse, Et. Al, 2005, Ghosh and Swamintha, 2001, Parker, 2001, Graf, 1995, Greenberg and Goldman, 1995). Previous research (Rumizen, 1998, Haver, 1998, Roulier, 1998) examined Inter-Organisational, Web Information Systems and Government Information Systems in order to assess how companies and other organisations can effectively design these information systems such that maximum benefits can be achieved for all participating organisations. Furthermore, Davenport, Harris and Delong (2001) and Davenport (1999) explained that collaboration is central to the results of a knowledge management system in which open, nonpolitical, non-competitive entities are involved in environments to achieve optimal individual and collective results. Before this memorable event, some related programmatic initiatives were already in-process at that time. The United States government built upon its active leadership in the areas of computer security and information assurance when it launched a number of important efforts to manage information security threats. This was clearly evident when President Clinton made the U.S. National Infrastructure (NII) a major national priority in the 1990s. One critical development occurred in 1998 when the National Infrastructure Protection Centre was established to be the central point for gathering, analysing and disseminating critical cyber security information and built upon the previous success of the national Computer Emergency Response Team (CERT). Earlier research (Rich, 2001, Soo Hoo, 2000, Howard, 1997 and Landwher, 1994) addressed various aspects of information security information and incident reporting. Also, Vatis (2001) addressed some research considerations in this area while investigating foreign network centric and traditional warfare events primarily through Denial of Service and Web Site Defacement attacks. However, areas for new exploration existed especially as they related to U.S. critical infrastructure protection (Karestand, 2003, Vatis, 2001, U.S. General Accounting Office, 2000, Alexander and Swetham, 1999). Finally, Information and Network Centric Warfare (Arens and Rosenbloom, 2003, Davies, 2000, Denning and Baugh, 2000, and Schwartau, 1997) are increasing national security issues in the War on Terrorism and Homeland Security in general.
27

Risk management and decision making in defined benefit pension schemes

Ngwira, Bernard Chiwiya January 2004 (has links)
stochastic approach to decision-making in defined benefit pension schemes is presented. Existing decision-making tools in the form of actuarial valuations and asset and liability modelling are discussed. These tools are shown to be inadequate to fully address the objectives of the various stakeholders. Pension fund control using a quadratic criteria with linear factors is studied in the case where the fund is invested in a risk-free asset and a risky asset. Optimal asset allocation strategies are shown to be counter-intuitive. The optimal strategy is shown to involve increasing the allocation in the risky asset as the fund deficit increases and increasing the allocation in the risk-free asset as the fund deficit decreases. It is further shown that increasing the weight on the linear factors leads to an increase in the optimal allocation in the risky asset. A risk management approach to decision-making is presented. This is shown to be a more satisfactory decision-making tool in terms of setting the funding and investment strategies. The objectives of the stakeholders are addressed through downside risk measures and a performance measure for the cost. Methods of solving the problem are discussed: an indifference curve approach and a stochastic multi-objective approach leading to Pareto optimal solutions. It is shown that, in the indifference curve approach, an "efficient region" exists. This efficient region is such that all funding and investment strategies outside this region are inefficient; that is, such strategies can be improved by choosing strategies in the region. On the other hand in the multi-objective approach, pareto optimal investment strategies are located along an "efficient frontier". An extension to the stochastic approach is presented. Optimal funding and asset allocation strategies, over a range of projection horizons, are determined by taking into account the probability of default by the sponsoring employer. It is shown that, over a short-term horizon, bond-only asset allocation strategies are optimal, whilst over a longer horizon equity-backed asset allocation strategies are optimal.
28

The design of project estimating systems

Mulekezi, Luke January 1990 (has links)
No description available.
29

Assessing, perceiving and insuring credit risk

Pryce, Gwilym Benjamin John January 1999 (has links)
This thesis is concerned with the assessment, perception and insurance of credit risk. The thesis aims to make contributions both within these areas, and at specific points of interface between them. No attempt is made to develop a single unifying thesis. Rather, a series of partial models are developed, both theoretical and empirical, that develop and connect particular facets of financial economics. The first model demonstrates how movements in market risk produce movements in lender risk-assessment effort. It is demonstrated that deleterious movements in market-wide risk can actually produce a fall in assessment effort. The capricious nature of risk assessment causes changes in the lender's perception of the weights placed on determinants. This has important implications for borrowers' attempts to minimize risk premiums. Time-variability of signal-weights is tested using structural break tests on ordinary least squares and fixed effects panel models. Results suggest a fluid relationship between risk and determinants. Central to empirical investigation is the measurement of perceived risk. A critique of potential measures rejects the use of interest rate spreads - the most commonly used measure - on the basis that they do not take into account the possibility of credit rationing. A model is then constructed to reproduce the standard explanation of credit rationing - Adverse Selection induced Credit Rationing Equilibrium (ASCRE). This model is then extended to include classificatory risk assessment. Assessment is found to reduce the scope for ASCRE, and to cause favourable selection. Credit insurance is then included, and it is found that insurance cover makes risk assessment less of an imperative to lenders, and reduces the utility losses from raising interest rates. The parallel implication is that credit insurance weakens ASCRE, to the extent that full insurance with flat-rate premiums removes the possibility of ASCRE altogether. If the terms of insurance are made contingent on the terms of the loan, a new form of credit rationing emerges: Contingent Insurance induced Credit Rationing Equilibrium (CICRE). CICRE is separate, but not mutually exclusive, to ASCRE. A theoretical model of the demand for loan insurance is developed, and empirically estimated, in the context of the UK mortgage market. Inter alia, the model examines the role of auto-perception of risk determining credit insurance demand. Results reveal the take-up of credit insurance to be relatively insensitive to the borrower's perception ofhis/her own risk.
30

Earthquake risk assessment and management : case study, Cyprus

Kythreoti, Stella January 2002 (has links)
Earthquakes are amongst the worst natural disasters on Earth, resulting in an annual average of around 10,000 fatalities last century and progressively increasing in the amount of economic damage they cause, reaching US $20 billion per annum this decade. The mitigation of the unwanted consequences of earthquakes is normally achieved by Risk Management Strategies (RMS), which rely on the development of Earthquake Risk Assessment (ERA) techniques. This thesis aims to develop a framework for ERA for medium seismicity regions that incorporates the spatial aspects of the hazard and risk evaluation. The framework is used to undertake ERA for the island of Cyprus, and the information is used to propose RMS. The ERA framework relies on comprehensive data on the location, value and vulnerability of buildings and the population distribution. These data were collected from the various Cyprus Government Departments. Various hazard and attenuation models are examined, and the effect of their variability is taken into account through Monte Carlo simulations. The estimated annual risk for Cyprus is just below £ 10 million CY. This value was estimated based on the use of the re-appraised historical data for the past-century. Comparisons with other seismic hazard assessment methods, such as recurrence relationships, have revealed that, without a spatial distribution model, such approaches are unsuitable for ERA. Though the maximum intensities predicted are in line with the ones that underpin the aseismic code of Cyprus (CCEAA-CFEE, 1994), the predicted design accelerations are higher than given in the code. Hence, new seismic accelerations are proposed. Despite that, the current reduction in risk is comparable to the additional cost of aseismic design. Seismic retrofitting was also examined and it was found that as part of a general modernisation scheme seismic upgrading is cost effective. However, whatever the state of the building, it is recommended that earthquake insurance should be made mandatory. The current seismic insurance rates appear to be fair, though they seem to underestimate the risk in the areas of high seismicity. The number of likely human losses is also estimated. This study concludes that the result of ERA is heavily dependent on the models and data used, and both require constant updating for the ERA results to remain meaningful.

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