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The Estimation of Deposit Insurance with Interest Rate Risk

Duan, J.-C.; Simonato, J.-G. - HEC Montréal (École des Hautes Études Commerciales) - 1998

This paper uses the transformed data method proposed in Duan (1994) to develop a maximum likelihood procedure for the estimation of the deposit insurance pricing model of Duan, Moreau and Sealey (1995). An empirical analysis is carried out on ten large US banks to illustrate the proposed...

Persistent link: https://www.econbiz.de/10005775500

Comparative Mixed Risk Aversion.

Dachraoui, K.; Dionne, G.; Eeckhoudt, L.; Godfroid, P. - HEC Montréal (École des Hautes Études Commerciales) - 2000

Recently, Caballi and Pomansky (1996) proposed a formal definition of mixed risk aversion and characterized stochastic … dominance in presence of such utility functions. However they did not study comparative mixed risk aversion. In this note we … give a sufficient condition for analytic comparative mixed risk aversion. …

Persistent link: https://www.econbiz.de/10005775503

Portfolio Response to a Shift in a Return Distribution: Comment

Dachraoui, K.; Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 1998

In this paper we show how a shift in a return distribution affects the composition of an optimal portfolio in the case of one riskless asset and two risky assets. We obtain that, in general, such a shift modifies the composition of the mutual fund. We also show that the separating conditions...

Persistent link: https://www.econbiz.de/10005775505

Commitment and Automobile Insurance Regulation in France, Quebec and Japan.

Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 2001

selection, whereas bonus-malus (or merit-rating) schemes are introduced because risk categories lack homogeneity or fairness and …

Persistent link: https://www.econbiz.de/10005775506

Evidence of Adverse Selection in Automobile Insurance Markets

Dionne, G.; Gourieroux, C.; Vanasse, C. - HEC Montréal (École des Hautes Études Commerciales) - 1998

, accident costs, risk aversion and moral hazard. We then discuss an econometric modeling based on latent variables and we derive …

Persistent link: https://www.econbiz.de/10005775509

Dynamic Financial Contract under Extended Liability.

Coestier, B. - HEC Montréal (École des Hautes Études Commerciales) - 2000

risk associated with its activity and a risk associated with an environmental accident. Using a costly state verification …

Persistent link: https://www.econbiz.de/10005474676

Internal Control Systems and Risk Management in the Life and Health Insurance Industry: Current Issues.

Andre, P.; Cote, D.; Morissette, R. - HEC Montréal (École des Hautes Études Commerciales) - 1998

The objective of this paper is to present the role and importance of internal control systems in good risk management …

Persistent link: https://www.econbiz.de/10005474677

Optimal Financial Portfolio and Dependence of Risky Assets.

Dachraoui, K.; Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 2000

In this note we analyze the hedging property of an optimal portfolio with one risk-free asset and two risky assets. We …

Persistent link: https://www.econbiz.de/10005474681

Gambling in Cameroon and Senegal: A response to Crisis.

Brenner, G.A.; Lipeb, M.; Servet, J.M. - HEC Montréal (École des Hautes Études Commerciales) - 1992

Persistent link: https://www.econbiz.de/10005641424

Risk Management Determinants Affecting Firms' Values in the Gold Mining Industry: New Empirical Results.

Dionne, G.; Garand, M. - HEC Montréal (École des Hautes Études Commerciales) - 2000

The goal of this article is to isolate the significant determinants that affect the decision of non-financial firms to hedge their risks. Our application is for the North American gold mining industry. The random variable considered is the selling price of an ounce of gold. We show that several...

Persistent link: https://www.econbiz.de/10005618708