show that the optimal form of retention must be proportional to the pool default loss even in the absence of systemic risk …

the optimal form of retention must be proportional to the pool default loss even in the absence of systemic risk when the …

contributions in insurance economics since that time. The review begins with the role of utility, risk, and risk aversion in the …

Risk classification refers to the use of observable characteristics by insurers to group individuals with similar … expected claims, compute the corresponding premiums, and thereby reduce asymmetric information. Risk classification can be used … empirical studies on risk classification and residual asymmetric information …

risk-averse investor, the second-degree expectation dependence (SED) is required to account for the downside risk faced by … realistically match equity premia, risk-free rates, and variance risk premia. The consumption SED risk emerges as a fundamental …

risk-averse investors. This question has been shown to be complex when considered outside of the mean-variance framework … asset can be decomposed into an investment component based on the risk premium offered by the asset and a hedging component …

An important research question examined in the credit risk literature focuses on the proportion of corporate yield … spreads attributed to default risk. This topic is reexamined in the light of the different issues associated with the … estimated default risk proportion in corporate yield spreads is highly sensitive to the ex-ante estimated term structure of …

show that the optimal form of retention must be proportional to the pool default loss even in the absence of systemic risk …