Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their … bond yield spreads is more evident for bonds held to a greater extent by capital-constrained insurance companies, those …

Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their … bond yield spreads is more evident for bonds held to a greater extent by capital-constrained insurance companies, those …

This study investigates whether banks and insurance corporations perform regulatory arbitrage by buying bonds with … hold more bonds with inflated credit ratings. We estimate the probability of a bond having an inflated credit rating using … results show that banks and insurance corporations invest more in bonds with inflated credit ratings, while this effect is …

to deal with defaultable bonds. For important examples, we provide characterizations of cash subadditivity and show that …

assets, including defaultable bonds. Since the payoff of these assets is not necessarily bounded away from zero the resulting …-free bonds may be unrealistic. We focus on finiteness and continuity properties of these general risk measures. As an application …