In contrast to Robert Mundell‘s Optimum Currency Area theory and his recommendation of forming monetary union, the … disequilibria are skyrocketing and default risk premiums and tensions within the Euro area are rising, thus jeopardizing the …

This paper characterizes the stochastic deterioration resulting from taking a zero-mean financial risk in the presence … of correlated non-financial background risk. We show in particular that it has an equivalent stochastic order as well as … stochastic deterioration can be decomposed into a "correlation increase'' and a "marginal risk increase''. We further …

Historical evidence like the global financial crisis from 2007-09 highlights that sector concentration risk can play an … II consider only name concentration risk explicitly in their solvency capital requirements for asset concentration risk … and neglect sector concentration risk. We show by means of US insurers' asset holdings from 2009 to 2018 that substantial …

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

of business. The concern was apparently brevity risk, i.e., the risk of premature death. The brevity risk due to a … pandemic is similar to the property risk associated with catastrophic events such as earthquakes and hurricanes and the … security used to hedge the risk is similar to a CAT bond. This work looks at the incentives associated with insurance …