2008, Vol.19, No.2

Journal of Insurance and Finance 2023 KCI Impact Factor : 0.59

pISSN : 2384-3209
https://journal.kci.go.kr/kiri

This paper, assuming actuarially fair insurance, examines a Mossin’s Theorem for a deductible insurance policy when initial wealth is random. Existing sufficient conditions for Mossin’s Theorem in a deductible contract are extended. In essence we establish the conditions with a version of negative expectation dependence as well as Brumelle(1974)’s stochastic interdependence notion. Our results are quite general to allow for Aboudi·Thon(1995) or Doherty·Schlesinger(1983a) as a special case. In particular, it is confirmed that our sufficient conditions are not duplicated with those of Hong(2001, 2004, 2007), which also apply for Brumelle(1974)’s and Wright(1987)’s dependence measure to a coinsurance contract. Mossin’s Theorem for deductible insurance, which holds under our conditions, does not hold any more under the conditions of Hong(2001, 2004, 2007) in general, and vice versa. We clearly show how two conditions differ by theory and by hypothetical probability distributions.

The purpose of this paper is to measure the net effects of bancassurance, which overcomes the limitations of the existing studies. This paper is also to analyse the characteristic variables of life insurance company influencing the performance of bancassurance. The useful implications can be suggested by regressing the net effects of bancassurance on the characteristic variables. We estimate the translog cost function and measure the degree of the scale and cost complementarities. We employ regression in order to analyse the relationship between the degree of the scale and cost complementarities and the characteristic variables of life insurance company. We observe scale economies, but cannot find any cost complementarities which is an important cause for introducing bancassurance. It is desirable to decrease the number of distribution alliances with banks for the economies of scale and also cost complementarities. It may be required to reduce the product ratio sold by bancassurance for the scale economies. The scale economies may be realized in a company which focused on the protection products.

Subject of this paper is weather risk which means financial risk that a business may be exposed regarding weather events such as high or low temperature, snow or rain more or less than expected, and strong wind. Since there is yet no established market for weather derivatives in Korea, weather insurance is the only available risk financing technique currently. However, despite the rather huge potential demand for such insurance products, the weather insurance market has not been so active so far, mainly due to the lack of feasible products which are reasonably priced from the insureds’viewpoints. This paper proposes a weather insurance pricing method which better reflects characteristics of weather variability in Korea. In order to do so, this paper suggests adoption of modified Cao-Wei model to represent variability of maximum daily temperature. This paper explains process for the application of suggested model and also attempts to compare the performance of this model and the index model which was used for the pricing of a weather insurance product introduced by property and casualty insurance companies in Korea. The empirical study performed on the temperature data of 10 inland cities including Seoul for last 10 years reveals that consistent over-pricing on the part of the index model.