We consider an optimal impulse control problem on reinsurance, dividend and reinvestment of an insurance company. To close reality, we add fixed and proportional transaction costs to this problem. The value of the company is associated with expected present value of net dividends pay out minus...

This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used...

The paper presents the techniques and the formulas used on international practice for establishing the premiums for a life policy. The formulas are generally based on a series of indicators named mortality indicators which mainly point out the insured survival probability, the death probability...

This paper evaluates the solvency of a portfolio of assets and liabilities of an insurer subject to both longevity and financial risks. Liabilities are evaluated at fair-value and, as a consequence, interest-rate risk can affect both the assets and the liabilities. Longevity risk is described...

We study cross-country GDP losses due to financial crises in terms of frequency (number of loss events per period) and severity (loss per occurrence). We perform the Loss Distribution Approach (LDA) to estimate a multi-country aggregate GDP loss probability density function and the percentiles...

Securitisation is growing at a moderate pace in France. With total outstanding securitised assets of EUR 215 billion at mid-2013, France ranks fifth in the euro area. The majority of securitised assets are loans to French residents. Securitisation has facilitated banks’ access to Eurosystem...

We investigate the relationship between risk taking of life-health (LH) insurers and health (LH) insurers and stability of their institutional ownership within a simultaneous equation system model. Several results stability of their institutional ownership within a simultaneous equation system...

The management of an insurance company is based on a whole series of actions, whose finality can be found in obtaining and keeping a balance among the functions of the management, so as to ensure the success of the company on the market: the forecast function (substantiated in forecasts, plans...

In this paper we follow such an approach which explains the motivation and behavior of both insured and insurers and throws some light on the background of the insurance premiums. In addition it is shown that according to the Law of diminishing marginal utility more risk aversive and cautious...

The purpose of this report is to analyse the impact of the financial sector on the real sector of the economy in the selected old (France, Germany, Italy, Sweden, the United Kingdom) and new (the Czech Republic, Hungary, Poland) EU member states. The specific objectives are: 1. Analysis of the...