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Optimal form of retention for securitized loans under moral hazard

Dionne, Georges; Malekan, Sara - In: Risks : open access journal 5 (2017) 4, pp. 1-13

We address the moral hazard problem of securitization using a principal-agent model where the investor is the principal and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement (tranching) procedure. We assume that the originator can...

Persistent link: https://www.econbiz.de/10011783323

Health care workers' risk perceptions and willingness to report for work during an influenza pandemic

Dionne, Georges; Desjardins, Denise; Lebeau, Martin; … - In: Risks : open access journal 6 (2018) 1, pp. 1-18

The ability and willingness of health care workers to report for work during a pandemic are essential to pandemic response. The main contribution of this article is to examine the relationship between risk perception of personal and work activities and willingness to report for work during an...

Persistent link: https://www.econbiz.de/10011811491

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10009754682

Monopolistic insurance and the value of information

Snow, Arthur - In: Risks : open access journal 3 (2015) 3, pp. 277-289

The value of information regarding risk class for a monopoly insurer and its customers is examined in both symmetric … and asymmetric information environments. A monopolist always prefers contracting with uninformed customers as this … maximizes the rent extracted under symmetric information while also avoiding the cost of adverse selection when information is …

Persistent link: https://www.econbiz.de/10011300312

The relative informativeness of regular and e-mini Euro/Dollar futures contracts and the role of trader types

Malhotra, Jatin; Corelli, Angelo - In: Risks : open access journal 9 (2021) 6, pp. 1-18

discovery is estimated using the information share approach proposed by Hasbrouck and Gonzalo-Granger. Empirical findings … price discovery in the EURO/USD market. This study also examines if the regular future's information share (IS) can be …

Persistent link: https://www.econbiz.de/10012598401

Properties of stochastic arrangement increasing and their applications in allocation problems

Wei, Wei - In: Risks : open access journal 6 (2018) 2, pp. 1-12

There are extensive studies on the allocation problems in the field of insurance and finance. We observe that these studies, although involving different methodologies, share some inherent commonalities. In this paper, we develop a new framework for these studies with the tool of arrangement...

Persistent link: https://www.econbiz.de/10011866516

Optimal reinsurance : a risk sharing approach

Balbás de la Corte, Alejandro; Balbas, Beatriz; … - In: Risks : open access journal 1 (2013) 2, pp. 45-56

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them all. Numerical examples are given in order to...

Persistent link: https://www.econbiz.de/10010199029

The shifting shape of risk : endogenous market failure for insurance

Koch, Thomas G. - In: Risks : open access journal 5 (2017) 1, pp. 1-13

This article considers an economy where risk is insurable, but selection determines the pool of individuals who take it up. First, we demonstrate that the comparative statics of these economies do not necessarily depend on its marginal selection (adverse versus favorable), but rather other...

Persistent link: https://www.econbiz.de/10011636453

Gaussian process regression with a hybrid risk measure for dynamic risk management in the electricity market

Das, Abhinav; Schlüter, Stephan - In: Risks : open access journal 13 (2025) 1, pp. 1-18

In this work, we introduce an innovative approach to managing electricity costs within Germany's evolving energy market, where dynamic tariffs are becoming increasingly normal. In line with recent German governmental policies, particularly the Energiewende (Energy Transition) and European Union...

Persistent link: https://www.econbiz.de/10015333597

Uncertainty in pricing and risk measurement of survivor contracts

So, Kenrick Raymond; Cruz, Stephanie Claire; Marcella, … - In: Risks : open access journal 13 (2025) 2, pp. 1-25

As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on the appropriate mortality model and premium principle to...

Persistent link: https://www.econbiz.de/10015334597