In this article, we discuss the determination of the optimal capital level under the consideration of systemic risk. We establish several models for calculating optimal capital level in different conditions including without constraint, with constraints of the value of systemic risk (STVaR) and...

In this paper, we extend Kliger and Levikson's approach for pricing insurance contracts by considering the influence of capital held by an insurance firm on the price of insurance contracts, and we determine how to arrive at the optimal price, number of policies and capital level of the...

In this article, we establish integrated models to determine the necessary economical capital, investment and reinsurance strategies concurrently based on the criteria of minimizing the total frictional cost, Solvency II and Swiss Solvency Test respectively. We consider different structures of...

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on the equivalence between such indicators. Further, TCE, despite its merits, may not be the most accurate...