This paper studies a class of general equilibrium economies in which the individuals' endowments depend on privately observed effort choices and the financial markets are endogenous. The environment is modeled as a two-stage game. Individuals first make strategic financial-innovation decisions....

A man is a key subject of economics and economic theory. “A man is irrational” - this opinion can be made from Allais paradox, risk aversion and other well-known fundamental problems. For a long time, this opinion was a barrier to proper solution of these problems and the development of the...

The changing business environment in non-life insurance and reinsurance has raised the need for new quantitative methods to analyze the impact of various types of strategic decisions on a company’s bottom line. Dynamic Financial Analysis («DFA») has become popular among practitioners as a...

We develop a framework to assess the statistical significance of expected default frequency as calculated by credit risk models. This framework is then used to analyze the quality of two commercially available models that have become popular among practitioners: KMV Credit Monitor and RiskCalc...

We examine wealth effects, for banks and insurers, of bank rights to sell and underwrite annuities. The stock-price reactions to four court and regulatory decisions are consistent with expectations of bank gains at insurers' expense. Cross-sectionally, smaller, riskier insurers with higher...

Ideal economics? A “non-ideal” economics approach has been proposed, which considers the possibility of arrangement infringements. It gives promises for both solving fundamental problems of economic theory and creation of new directions and fields of research. The approach application in...

A user friendly approach to modeling the risk process is presented. It utilizes the insurance library of the XploRe computing environment which is accompanied by on-line, hyperlinked and freely downloadable from the web manuals and e-books. The empirical analysis for Danish fire losses for the...

The definition of arrangement infringement has been given. Several characteristics of hurricanes as large-scale events and objectives for the first stages of insurance data analysis have been sketched out. Scale hypotheses, insurance and investment problems have been formulated.

Esta es la tercera parte de una serie que forman una investigación más amplia titulada “La Estrategia de Citicorp en Chile: Un Intento de Investigación”. Aquí se describe la naturaleza, reglamentación, estado actual y perspectivas de más de los 25 segmentos del mercado financiero...

A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE's. Existence of a unique...