Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties....

This paper reexamines the view that banking regulation and central banking arose to counter market 'failures.' It investigates the factors that led bankers to form clubs and examines the 'regulations' imposed by clubs on their members. It suggests that such regulation is different from...

This paper uses survivor fan charts to illustrate the prospective density functions of future male survival rates. The fan charts are based on a version of the Cairns-Blake-Dowd model of male mortality that provides a good fit to recent mortality data for England and Wales. They indicate that...

This paper uses mortality fan charts to illustrate prospective future male mortality. These fan charts show both the most likely path of male mortality and the bands of uncertainty surrounding that path. The fan charts are based on a model of male mortality that is known to provide a good fit to...

The huge economic significance of longevity risk for corporations, governments and individuals is beginning to be recognized and quantified. The traditional insurance route for managing this risk is capacity constrained, leaving the capital markets to provide an effective solution. We consider...

This paper critically examines the theoretical literature on banking instability that has followed Diamond and Dybvig (1983). It explores the extent to which it (1) explains banking instability within a theoretical context in which financial intermediaries improve on unintermediated markets, and...

This paper reviews the arguments behind claims that banking is a natural monopoly. There are economies in reserve-holding and asset diversification, but the marginal return to scale tends to fall as the bank grows, and there is not particular reason to expect these economies to be large enough...