In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with … example in order to illustrate the impact of netting agreements in credit risk management. We further provide nonparametric …

returns. Another empirical illustration deals with Danish data on fire insurance losses. …

analyzed in this pap er reinsurance markets are unable to cope with this risk completely. Insurance-linked securities, such as … cat bonds, have been issued to complete the international risk transfer process, but their development is disappointing so … far. This paper argues that downside risk aversion and ambiguity aversion explain the limited success of cat bonds. Hybrid …

investment strategy that does not take liquidity shocks into account, exposes insurance companies to the risk of bankruptcy. This …The wealth dynamics of insurance companies strongly depends on the success of their investment strategies, but also on … paper analyzes the behavior of insurance companies in an evolutionary framework. We show that an insurance company that …

, which is ofrelevance to insurance pricing. …

In this article we identify risk and return profiles of two types of investment guaranteesin unit-linked life insurance … havingaverage rate of return and standard deviation over the contract term with a ConstantProportion Portfolio Insurance managed …

We experimentally analyze consoumers' reaction to insurance default risk. Consistent with eralier studies, we find that … insurance with default risk is extremely unattractive to most individuals. A considerable fraction of consumers completely … refuse to accept any default risk; others ask for large reductions in insurance premiums. These findings are robust against …

exceeding70% of the corresponding total stock returns. iv) Returns of the interest rate risk benchmarksof the German insurance … receives for being exposed to interestrate risk when investing in equity securities. We pursue here a benchmark portfolio … approach,constructing benchmark portfolios with the same interest rate risk exposure as a particularstock. By studying the time …