New international accounting standards requires insurers to reflect the value of embedded options and guarantees in their products. Pricing techniques based on the Black amp; Scholes paradigm are often used, however, the hypotheses underneath this model are rarely met.We propose a framework that...

This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001-28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In particular, we fit a three-regime switching model...

In this paper, we study the so-called “wrong skewness” anomaly in Stochastic Frontiers (SF), which consists in the observed difference between the expected and estimated sign of the asymmetry of the composite error. We propose a more general and flexible specification of the SF model,...

Political risk is a significant determinant of sovereign debt dynamics. We estimate the sensitivity of bond yields and economic growth to a country-level broad proxy of political risk and develop a stochastic debt sustainability analysis optimization model with both yields and growth channels to...

This paper investigates the dynamic interdependencies between the European insurance sector and key financial markets-equity, bond, and banking-by extending the Generalized Forecast Error Variance Decomposition framework to a broad set of performance and risk indicators. Our empirical analysis,...

A fundamental problem for sovereigns enacting climate policies is whether they can manage increasing debts as their economies suffer from adverse climate impacts. We develop stochastic debt sustainability analysis integrating a coupled climate-economy model with debt financing scenario...