Objective: The objective of the article is to empirically examine the predictors of ROA and ROE for banks and insurance … significant and negative for ROE. Banks earned lower return on their assets and higher return on their equity than insurance … for firms in the insurance industry. …

A critical problem in risk analysis involving financial variables is the calculation of risk margins. When there are a … number of risks, the total risk margin is often reduced to reflect "diversification benefits." How large should the …

In this paper we provide an axiomatic foundation to Orlicz risk measures in terms of properties of their acceptance … sets, by exploiting their natural correspondence with shortfall risk measures, thus paralleling the characterization in … Weber (2006). From a financial point of view, Orlicz risk measures assess the stochastic nature of returns, in contrast to …

We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data … the returns of property/liability insurance stocks in a satisfactory way. We adapt the model proposed by Adrian, Friedman …, and Muir (2015) for financial institutions and define an insurance-specific five-factor asset pricing model (INS5), which …

This paper identifies the risk and risk-adjusted return determinants of US insurers. We find that the significant firm …-specific determinants for risk and risk-adjusted return vary slightly for the risk proxy and risk-adjusted return proxy used, and the types … to both total risk and systematic risk; in addition, size is positively related to systematic risk. Profitability and …

with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in …This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

efficiency changes of 399 listed insurance firms in 52 countries during the 2002-2008 period, the paper reports a positive and …

This paper assesses the financial performance and soundness of Life insurance companies in Nepal on the basis of …

following a rating downgrade. Reflective of fire-sale risk, clustering of insurance companies in a bond has significant …Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their … investment commonalities subject investors to fire-sale risk when regulatory restrictions prompt widespread divestment of a bond …