IDEAS home Printed from https://ideas.repec.org/a/wri/journl/v15y1992i2p83-96.html
   My bibliography  Save this article

Optimal Hedge Ratios for Property and Liability Insurance Companies

Author

Listed:
  • Hamid Rahmanx

Abstract

The development of futures and options markets has given an impetus to the search for hedging strategies that would most effectively reduce the risk of business operations. This paper develops a firm specific hedging model for a property and liability insurance company and demonstrates the determination of hedge ratios for a sample of ten such firms. Most of the firms in the sample needed to take a long position in futures. In all but one case, the model prescribes ratios that are significantly different from the naive strategies of not hedging or of hedging all transactions.

Suggested Citation

  • Hamid Rahmanx, 1992. "Optimal Hedge Ratios for Property and Liability Insurance Companies," Journal of Insurance Issues, Western Risk and Insurance Association, vol. 15(2), pages 83-96.
    • Handle: RePEc:wri:journl:v:15:y:1992:i:2:p:83-96
    as

    Download full text from publisher

    File URL: http://www.insuranceissues.org/PDFs/X.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wri:journl:v:15:y:1992:i:2:p:83-96. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: James Barrese (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.