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Integrated asset liability modelling for property casuality insurance: A portfolio theoretical approach

Dus, Ivica; Maurer, Raimond - 2001

theory and recognizes the stochastic nature of and the interaction between the underwriting and investment income of the …

Persistent link: https://www.econbiz.de/10010316238

Tackling boundary effects in nonparametric estimation of intra-day liquidity measures

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2001

Persistent link: https://www.econbiz.de/10010316239

Path Dependence, Corporate Governance and Complementarity

Schmidt, Reinhard H.; Spindler, Gerald - 2000

In a series of recent papers, Mark Roe and Lucian Bebchuk have developed further the concept of path dependence, combined it with concepts of evolution and used it to challenge the wide-spread view that the corporate governance systems of the major advanced economies are likely to converge...

Persistent link: https://www.econbiz.de/10010316240

Shareholder vs. Stakeholder: Ökonomische Fragestellungen

Schmidt, Reinhard H.; Weiß, Marco - 2003

Stakeholder berücksichtigt, auf der anderen Seite - werden geschildert und mit den Mitteln der ökonomischen Theorie bewertet …

Persistent link: https://www.econbiz.de/10010316241

On the Stability of Different Financial Systems

Fecht, Falko - 2003

An economy in which deposit-taking banks of a Diamond/ Dybvig style and an asset market coexist is modelled. Firstly … evolving financial system can be interpreted as market-oriented. In this system, banks only provide efficient investment … opportunities to households with inferior investment alternatives. Banks are not active in the secondary financial market nor do …

Persistent link: https://www.econbiz.de/10010316242

Gewinnglättung und Steuerung dezentraler Investitionsentscheidungen bei sich gegenseitig ausschließenden Investitionsprojekten

Gaber, Christian - 2002

This paper examines the provision of managerial investment incentives by an accounting based incentive scheme in a multiperiod agency setting in which an impatient manager has to choose between mutually exclusive investment projects. We study the properties of accounting rules that motivate an...

Persistent link: https://www.econbiz.de/10010316243

Accounting for Financial Instruments in the Banking Industry

Gebhardt, Günther; Reichardt, Rolf; Wittenbrink, Carsten - 2002

to show volatility in income statements due to changes in market interest rates. Accounting results of a partially hedged …

Persistent link: https://www.econbiz.de/10010316245

Credit Scoring and Incentives for Loan Officers in a Principal Agent Model

Feess, Eberhard; Schieble, Michael - 1998

We analyze incentives for loan officers in a model with hidden action, limited liability and truth-telling constraints under the assumption that the principal has private information from an automatic scoring system. First we show that the truth-telling problem reduces the bank’s expected...

Persistent link: https://www.econbiz.de/10010316246

A Note on Forward and Backward Partial Differential Equations for Derivative Contracts with Forwards as Underlyings

Esser, Angelika; Schlag, Christian - 2001

Persistent link: https://www.econbiz.de/10010316247

Portfolio Choice and Estimation Risk: A Comparison of Bayesian to Heuristic Approaches

Herold, Ulf; Maurer, Raimond - 2002

Estimation risk is known to have a huge impact on mean/variance (MV) optimized portfolios, which is one of the primary reasons to make standard Markowitz optimization unfeasible in practice. Several approaches to incorporate estimation risk into portfolio selection are suggested in the earlier...

Persistent link: https://www.econbiz.de/10010316250