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...

Section 1035 of the current US tax code allows policyholders to exchange their variableannuity policy for a similar product while maintaining tax-deferred status. When the variableannuity contains a long-term guarantee, this “lapse-and-reentry” strategy allows the policyholderto potentially...

The Euler (or gradient) allocation technique defines a financial institution's marginal cost of a risk exposure via calculation of the gradient of a risk measure evaluated at the institution's current portfolio position. The technique, however, relies on an arbitrary selection of a risk measure....