insurance and the resulting risk management issues. This is accomplished via three case studies. Two of these concentrate on the …, which enables one to investigate some typical pension and life insurance products. The main risks in pension insurance … relate to investment performance and mortality/longevity development. We first develop stochastic models for equity and bond …

This paper gathers the longest available historical monthly return series for the Finnish equity, bond and money …

theoretical background for the regulation of financial institutions, especially insurance and banking companies, and, finally …

-efficiency gains in monitoring credit and insurance customers. The analysis shows that conglomeration is conducive to tougher … competition in the credit market and increases profit in insurance. The aggregate profit in the financial sector does not increase … services also reduces the aggregate risk in the financial markets, indicating that capital requirements in both sectors should …

efficiency changes of 399 listed insurance firms in 52 countries during the 2002-2008 period, the paper reports a positive and …

This paper studies the behavior of the default-risk-free real term structure and term premia in two general equilibrium … in the second risk-sharing is limited by the risk of default as in Alvarez and Jermann (2000ab). Both models are solved … constructed from the UK index-linked data. While both models produce time-varying risk or term premia, only the model with limited …

of capital cushion is assumed to satisfy a value-at-risk-type constraint. The results suggest that the size of the … cushion depends on the bank’s credit portfolio risk and its chosen approach for calculating the minimum capital requirement … post-reform bank capital. Hence these cushions should be given due consideration in the final calibration of the Basel risk …