We study environmental policy for a polluting firmthat can invest in extracapacity. The optimal levels of allowed output as well as the tax rate are increasingin investment. With divisible investment, commitment always leads to the first best,under direct regulation and taxation. Time-consistent...

The Federal Reserve requires U.S. commercial banks andother depository institutions to hold a minimum level ofreserves in proportion to certain liabilities. On occasion, thecentral bank has reduced reserve requirements—such as in1990, when requirements on large time deposits were dropped,and...

The defaulted and distressed, public and private debt markets in the United States increased enormously to a record $942 billion (face value) at the end of 2002. The market value of this increasingly attractive alternative investment segment was approximately $512 billion. (...)

The objective of this paper to present a general overview of a possible approach for the valuation of insurance liabilities and the capital requirements required as a consequence of the risk transfer from a policyholder to the insurer...

This document refers to sub-issue 11G of the IASC Insurance Issues paper and proposes a method to value risk-adjusted cash flows (refer to the IAA paper INSURANCE LIABILITIES - VALUATION & CAPITAL REQUIREMENTS, GENERAL OVERVIEW OF A POSSIBLE APPROACH, sections 2.2 and 2.3). The principles and...

As mentioned in our response to sub-issue 7H of the IASC Insurance Issues Paper (the IASC Paper), the IAA agrees with the IASC Insurance Steering Committees tentative view as given in paragraph 357 that equalization provisions should not be recognized as a liability...

Sub-issue 11I of the IASC Insurance Issues Paper (the IASC Paper) discusses whether the credit standing of the insurer should affect the measurement of its insurance liabilities. The following summarizes the major arguments (including significant counter-arguments) concerning this issue in a...

We consider the problem of claims reserving and estimatingrun-off triangles. We generalize the gamma cell distributions model which leads to Tweedie`s compound Poisson model. Choosing a suitable parametrization, we estimate the parameters of our model within the framework of generalized linear...