We develop a theoretical framework to analyze the relationship between jump risk management and firm value. By focusing on loss risk and insurance, we derive that insurance (or jump risk management) can significantly increase firm value. In addition, our work indicates that a firm would choose...

Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS) during the financial crisis. Many observers have argued that the fall in prices was partly driven by decreased liquidity and fire sales. We investigate whether capital...

We estimate a probit model of insolvency risk, using a dataset of about 400 Dutch insurance companies during the period 1995-2005. The results suggest that surplus capital, company size, profitability, long-tailed business and being a mutual insurer reduce the risk of insolvency. The model can...

This paper provides a detailed quantitative assessment of the impact of solvency capital requirements on product pricing and shareholder value for a life insurer. A multi-period firm value maximization model for a life annuity provider, allowing for stochastic mortality and asset returns,...

This paper analyzes the factors that determine the solvency of the insurance companies operating in Spain. The selected time span, from 2008 to 2015, encompasses a period of economic instability characterized by record low interest rates and low or even negative economic growth. Using a dynamic...

This paper presents a concept of a system allowing farmers to insure against price risk of inputs and products. The insurance existing in agriculture so far (against hail and drought) did not cover incomes. The basic insurance category, which also takes into account the prices of products and...

Inflation risk is of high relevance in non-life insurers' long-tail business and can have a major impact on claims reserving. In this paper, we empirically study claims inflation with focus on automobile liability insurance based on a data set provided by a large German non-life insurance...

This article examines the determinants of cyber insurance participation, the amount of coverage offered, and the performance of current cyber insurers. Our results support the competitive advantage hypothesis, are in line with the coordinated risk management hypothesis, but only partially...

This study examines the relation between incentives and risk taking for 466 insurer-year observations over 2006-2010. Our results show that independent director compensation is positively related to risk taking as is CEO compensation and institutional ownership. Besides dollar value and...