Showing 1 - 10 of 23
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
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
Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a … reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary … probability when no reinsurance is bought. We develop a finite-difference method for solving the (partial integro …
Persistent link: https://www.econbiz.de/10013556669
This study explores the effect of risk management on capital structure deviations. Specifically, we innovatively classify capital structure deviations into direct and indirect deviations, with our classification being based on deviations resulting mainly from changes in either actual or target...
Persistent link: https://www.econbiz.de/10015325282
specifically, in reinsurance problems. In this area, the complexity of the models and assumptions considered in the definition of … the reinsurance rules and conditions produces hard black-box optimization problems (problems in which the objective … solved in order to obtain the optimal output of the reinsurance. The application of traditional optimization approaches is …
Persistent link: https://www.econbiz.de/10010338035
Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...
Persistent link: https://www.econbiz.de/10010400269
of some different business mixes is analyzed. Furthermore, the risk-mitigation and profitability impact of reinsurance in … portfolios and reinsurance arrangements, pointing out the main reasons for these differences. …
Persistent link: https://www.econbiz.de/10012127608
In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total … a Brownian motion with drift, and the reinsurance price is modelled by a continuous-time Markov chain with two states …. The presence of regime-switching substantially complicates the optimal reinsurance problem, as the surplus …
Persistent link: https://www.econbiz.de/10012508723
fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line. Such a …
Persistent link: https://www.econbiz.de/10012508823
and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a …
Persistent link: https://www.econbiz.de/10012019126