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Risk transference constraints in optimal reinsurance

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Insurance / Mathematics & economics 103 (2022), pp. 27-40

Persistent link: https://www.econbiz.de/10013198321

The design of an optimal retrospective rating plan

Chen, Xinxiang; Chi, Yichun; Tan, Ken Seng - In: Astin bulletin : the journal of the International … 46 (2016) 1, pp. 141-163

Persistent link: https://www.econbiz.de/10011485141

Credit rationing effects of credit value-at-risk

Slijkerman, Jan Frederik; Smant, David Jan Cornelis; … - 2004

of low quality, i.e. high risk, loans and therefore reduces the risk of the bank loan portfolio. However, CVaR regulation …Banks provide risky loans to firms which have superior information regarding the quality of their projects. Due to … asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem …

Persistent link: https://www.econbiz.de/10011334832

Using value-at-risk to reconcile limited liability and the moral-hazard problem

Tulli, Vanda; Weinrich, Gerd - In: Decisions in economics and finance : DEF ; a journal of … 38 (2015) 1, pp. 93-118

Persistent link: https://www.econbiz.de/10010513458

Risk management under a prudential policy

Assa, Hirbod - In: Decisions in economics and finance : DEF ; a journal of … 38 (2015) 2, pp. 217-230

Persistent link: https://www.econbiz.de/10011342170

Central bank equity : facts and analytics

Bandyopadhyay, Sujan; Devnani, Rishab; Ghosh, Sudipta; … - In: Indian economic review : official journal of Delhi … 56 (2021) 1, pp. 255-279

Persistent link: https://www.econbiz.de/10012616864

Optimal insurance contract under VaR and CVaR constraints

Wang, Ching-Ping; Huang, Hung-Hsi - In: The North American journal of economics and finance : a … 37 (2016), pp. 110-127

Persistent link: https://www.econbiz.de/10011672902

Predicting the unpredictable : value-at-risk, performativity, and the politics of financial uncertainty

Lockwood, Erin - In: Review of international political economy : RIPE 22 (2015) 4, pp. 719-756

Persistent link: https://www.econbiz.de/10011372868

The effect of leverage on the magnitude of risk : can financial market black swan events, 10 sigma events and fat tails be explained by leverage?

Fox, David; Lim, JiEun; Wee, Claudia - In: Economics & finance notes 4 (2015) 1/2, pp. 45-54

Persistent link: https://www.econbiz.de/10011444068

Fixing risk neutral risk measures

Stein, Harvey J. - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10011523810

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