Risk is inherent in every business because future uncertainty may not help meet objectives. A slight deviation from meeting business objectives may be acceptable within risk appetite, but a significant departure could be catastrophic. Thus, it is essential to assess the expected deviation level...

The insurance industry could potentially play a greater constructive role in mitigating climate risk by aligning with entities that scrupulously incorporate environmental, social, and governance (ESG) aspects in their business philosophy

Climate risk impacts the insurance industry on both sides of the balance sheets. On the one hand, rising weather-related claims are affecting the liability side. At the same time, there is an increasing expectation from investors, shareholders, customers and other stakeholders for insurers to...

We present a general framework for modelling the dynamics of limit order books, built on the combination of two modelling ingredients: the order flow, modelled as a general spatial point process, and market clearing, modelled via a deterministic ‘mass transport’ operator acting on...

We consider a model of a limit order book and determine the optimal tick size set by a social planner who maximizes the welfare of market participants. Opposite to Li and Ye (2022), our results show that when investors arrive sequentially and compete endogenously, providing liquidity by...

This paper gives the first cut-rate of Indian incidence of critical illness of cardiovascular,Strokes and Cancer diseases. This paper also compares the critical illness rates currentlyused in India, CIBT 93 with the rates calculated in this paper. The paper concludes that CIBT93 should be...

I explain the key failure mechanics of large dealer banks, and some policy implications. This is not a review of the financial crisis of 2007-2009. Systemic risk is considered only in passing. Both the financial crisis and the systemic importance of large dealer banks are nevertheless obvious...

We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...

In this paper we examine the value of analysts’ stock recommendations in the Spanish capital market in the period 1994-2003, using data from JCF Quant. In every month of the sample period the assets have been classified into five portfolios first attending its consensus recommendations level...

We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand Nasdaq initial public offering (IPO) stocks are bought and held for up to five years. The average long-run portfolio return is low, but IPO stocks appear as ‘longshots’, as...