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A critique of shareholder value maximization

Magill, Michael; Quinzii, Martine; Rochet, Jean-Charles - 2013

fi rms. In that case, a competitive equilibrium with shareholder value maximizing fi rms (capitalist equilibrium) is … their shareholder value and of their contributions to consumer and employee welfares, the new competitive equilibrium … (stakeholder equilibrium) improves upon the capitalist equilibrium …

Persistent link: https://www.econbiz.de/10009750630

Non-parametric counterfactual analysis in dynamic general equilibrium

Kubler, Felix; Schmedders, Karl - 2009

equilibrium model. Under the assumption of time-separable expected utility and complete markets all equilibria in this model are … stationary. The Arrow-Debreu prices uniquely reveal the probabilities and discount factor. The equilibrium correspondence …, defined as the map from endowments to stationary (probability-free) state prices, is identical to the equilibrium …

Persistent link: https://www.econbiz.de/10003967050

The interest rate sensitivity of real estate

Chaney, Alain; Hoesli, Martin - 2010

This study yields a contribution to a better understanding of the interest rate sensitivity of real estate and should enable a more sophisticated interest rate risk management, especially for insurance companies and pension funds. This is achieved by modelling the whole life of a typical but...

Persistent link: https://www.econbiz.de/10003979505

Hybrid cat-bonds

Barrieu, Pauline (contributor); Loubergé, Henri (contributor) - 2007

Natural catastrophes attract regularly the attention of media and have become a source of public concern. From a financial viewpoint, natural catastrophes represent idiosyncratic risks, diversifiable at the world level. But for reasons analyzed in this paper reinsurance markets are unable to...

Persistent link: https://www.econbiz.de/10003550859

Insuring a risky investment project

Loubergé, Henri (contributor); Watt, Richard (contributor) - 2006

In the standard model for insurance demand, the risk is totally exogenous and the insurance premium is paid for out of riskless wealth. This model yields results that are mostly in contradiction to everyday observation and have been used to question the pertinence of expected utility theory on...

Persistent link: https://www.econbiz.de/10003394331

Why firms purchase property insurance?

Aunon-Nerin, Daniel; Ehling, Paul - 2007

We investigate whether corporate finance incentives affect the extent of corporate hedging with property insurance. Using a database that contains detailed insurance information, we show that firms buy property insurance to reduce the expected costs of distress. Further, we document a scale...

Persistent link: https://www.econbiz.de/10003961332

Optimal investment and premium policies under risk shifting and solvency regulation

Filipović, Damir; Kremslehner, Robert; Muermann, Alexander - 2011

Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they...

Persistent link: https://www.econbiz.de/10009009505

Reinsurance and securitisation of life insurance risk : the impact of regulatory constraints

Barrieu, Pauline M.; Loubergé, Henri - 2011

Large systematic risks, such as those arising from natural catastrophes, climatic changes and uncertain trends in longevity increases, have risen in prominence at a societal level and, more particularly, have become a highly relevant issue for the insurance industry. Against this background, the...

Persistent link: https://www.econbiz.de/10009554550

Optimal risk sharing with limited liability

Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - 2012

We solve the general problem of optimal risk sharing among a nite number of agents with limited liability. We show that the optimal allocation is characterized by endogenously determined ranks assigned to the participating agents and a hierarchical structure of risk sharing, where all agents...

Persistent link: https://www.econbiz.de/10009558409

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...

Persistent link: https://www.econbiz.de/10010258580