The paper analyzes lead-lag relationships for six major stock market indexes: New York S&P 500, Tokyo Nikkei, London FT–30, Hong Kong Hang Seng, Singapore Straits Times, and Australia All Ordinaries, for time periods before, during, and after the October 1987 market crash. Unidirectional and...

This article compares the performance of the logit and hazard models in predicting insolvency and detecting variables that have a statistically significant impact on the solvency of property-liability insurers. The empirical results indicate that the hazard model identifies more significant...

The model developed in the paper separates deposit insurance subsidies into two components: a premium-linked subsidy which arises from an ex-ante mispricing of the deposit insurance premium, and an asset-linked subsidy which arises from a lack of ex-post monitoring of the bank's actions. The...

This paper uses option-pricing theory to develop a model for determining the optimal reinsurance premium to be charged by the reinsurer to the primary insurer in a nonproportional stop-loss reinsurance treaty. A discussion of several reinsurance contracts is also presented. It is found that the...