Die Allokation des ökonomischen Kapitals stellt sowohl in der Theorie als auch in der Praxis ein zentrales Problem der Banksteuerung dar. Insbesondere Handelsentscheidungen und die Organisation von Handelsabteilungen in Kreditinstituten sind ein weit gehend unerforschtes Feld, das aber in der...

The foundation of insurance in the frequentist framework is well-understood by experts in actuarial science, insurance and risk management. In the past two decades there has been a surge in the application of Bayesian analysis in insurance. However, the foundation of insurance under the Bayesian...

Solvency II involves a disruption in the asset liability. In this paper, we are interested in investing in some risky asset classes and then discuss solutions that institutional investors can consider with some new calculations. One thing is certain: the relationship with its management company...

This paper shows that the notion of rate of return is best understood through the lens of the average-internal-rate-of-return (AIRR) model, first introduced in Magni (2010a). It is an NPV-consistent approach based on a coherent definition of rate of return and on the notion of Chisini mean, it...

Analyzing the top 100 U.S. property-liability insurers, we find that the cost of equity capital is negatively related to insurers' underwriting performance, but not their investment performance. The difference is attributable to opaque insurer liabilities and investor learning. We also find that...

We address the paradox that financial innovations aimed at risk-sharing appear to have made the world riskier. Financial innovations facilitate hedging idiosyncratic risks among agents; however, aggregate risks can be hedged only with liquid assets. When risk-sharing is primitive, agents...

The aim of this paper is to study optimal risk- and value-based management decisions regarding a non-life insurer's investment strategy by maximizing shareholder value based on preference functions, while simultaneously controlling for the ruin probability. We thereby extend previous work by...

Rating standards affect risk-taking behavior of firms. We present a model that explains firms' selection of target ratings and their best response to a rating standard change, which prompts some firms to increase the risk. We then test the main predictions of the model using a natural experiment...

The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy long/sell short strategy that takes into account, that the market model is kinky. The equation of the market model – including a beta plus for increasing markets and a beta...

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in such policies. A typical industry practice consists in using fund mapping regressions to represent basis risk stemming from the imperfect correlation between the underlying fund...