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...