This article displays a study on the mutual insurance of bank deposits. A system where deposits are first insured by a consortium then by the Government is envisaged. We wish to compute the fair premia due to both the consortium and the Government. Various types of covenants aiming at making...

This paper focuses on historical and risk-neutral default probabilities in a structural model, when the firm assets dynamics are modeled by a double exponential jump diffusion process. Relying on the Leland [(1994a) Journal of Finance, 49, 1213–1252; (1994b) Bond prices, yield spreads, and optimal...

To analyze the impact of background risks, decreasing absolute risk aversion (DARA) must be combined with other restrictions on the shape of the utility function in order to make preferences risk vulnerable. In this note, we indicate that risk vulnerability can also be associated with the sole...

The purpose of this article is to value participating life insurance contracts when the linked portfolio is modeled by a jump-diffusion. More precisely, this process has a Brownian component and a compound Poisson one, where the jump size is driven by a double exponential distribution....

The concept of absolute risk aversion proposed by K. Arrow (1965) and J. Pratt (1964) and the assumption that it is decreasing in wealth has played a central role in the analysis of risky choices. Ten years later S. Richard (1975) defined correlation aversion in the framework of bivariate...

We develop a switching regime version of the intensity model for credit risk pricing. The default event is specified by a Poisson process whose intensity is modeled by a switching Lévy process. This model presents several interesting features. First, as Lévy processes encompass numerous jump...

Each financial crisis calls for ¡ª by its novelty and the mechanisms it shares with preceding crises ¡ª appropriate means to analyze financial risks. In <em>Extreme Financial Risks and Asset Allocation</em>, the authors present in an accessible and timely manner the concepts, methods, and techniques...