In this paper, we consider a general Levy risk model with two-sided jumps and a constant dividend barrier. We connect … the ruin problem of the ex-dividend risk process with the first passage problem of the Levy process reflected at its … running maximum. We prove that if the positive jumps of the risk model form a compound Poisson process and the remaining part …

In this paper we consider an alternative dividend payment strategy in risk theory, where the dividend rate can never … dividend payment strategies of barrier and threshold type. We study the case where once during the lifetime of the risk process … the dividend rate can be increased and derive corresponding formulae for the resulting expected discounted dividend …

framework to identify the systematic ESG risk factor through the orthogonal spread between a broad market and an ESG … portfolio’s ESG quality and improve the portfolio's risk-adjusted return during the out-of-sample period. Our double-index model … can help investors analyze how the systematic ESG risk is relevant to future risks or returns and provide a tractable …

-related underwriting risk from issuers to capital markets. This paper addresses key, unanswered questions concerning Cat bonds and offers … less exposure to catastrophe risks and overall less need to hedge catastrophe risk. These results show that the access to … bonds are found to experience a reduction in their default risk relative to non-issuing firms and our results, therefore …

, rather than risk-shifting, explaining the decision to overpay. We also find that CEO overconfidence and catering incentives …

resistance to using Value-at-risk (VaR) and stress tests to determine banks' capital adequacy. We showed that “fat-tail” risk … requires more capital than the “normal tail” risk estimated by VaR, which assumes normal distribution. The puzzle that most … be reinterpreted as rational action to protect financial companies against abnormal fat-tail risk, which may reflect …

of credibility, liquidity, and solvency crises and how effective enterprise risk management practices can potentially … risk management process that incorporates credit, market, and liquidity risk analysis in a consistent fashion. We further … encourage financial institutions to proactively examine and judiciously borrow risk management ideas from across the financial …

players, and have increased attention on the subject of reinsurance counterparty risk. This corresponds to the exposure of an …. In this article, we address the current state of reinsurance counterparty risk and existing means by which to measure it …. We then discuss the impact of market discipline on this risk and point out the importance of control within the …

Life insurers typically grant policyholders a surrender option. We demonstrate that the resulting lapse risk could …

We study how risk management through hedging impacts firms and competition among firms in the life insurance industry … hedging. Post reform impacted firms have lower risk and fewer negative income shocks. Product market competition is also … financial distress to decrease risk and become more competitive …