This study examines the extent to which regulatory forbearance can affect the fragility of U.S. property and liability (P/L) insurance firms. By using a split-population survival model, we find that the risk-based capital (RBC) ratio is inversely correlated with the resolution cost paid by...

This study evaluates a government-sponsored Excess-Of-Loss (XOL) Catastrophe (CAT) reinsurance contract using the financial option approach with extreme risk. We show that the Generalized Pareto Distribution (GPD), a Peak-Over-Threshold (POT) model, can properly depict the extreme losses from...

This paper examines the effectiveness of monitoring function from institutional investors on corporate hedging strategy in Taiwan over the period from 2005 to 2012. The empirical results show that institutional investors are effective monitors of corporate risk management to enhance the...

This study examines joint decisions regarding risky asset allocation and consumption rate for a representative agent in the presence of background risk and insurance markets. Contrary to the conclusion of the “mutual fund separation theorem”, we show that the optimal risky asset mix will...

Purpose – The purpose of this study is to introduce an insurance risk-exchange model in the presence of background risk and private information and which solves the optimal insurance and investment decisions simultaneously. Design/methodology/approach – The model undertakes a continuous-time...