We study the asymptotics of the ruin probability in the Cramér–Lundberg model with a modified notion of ruin. The modification is as follows. If the portfolio becomes negative, the asset is not immediately declared ruined but may survive due to certain mechanisms. Under a rather general...

Establishing a standard formula (SF) for the regulation of European insurance companies is a Herculean task. It has to acknowledge very different business models and national peculiarities. In addition, regulatory authorities—as a stakeholder on their own—have a number of supervisory...

An aggregate integrated assessment model is used to investigate the relative merits of hedging over the near term against the chance that atmospheric concentrations of carbon dioxide will be limited as a matter of global policy. Hedging strategies are evaluated given near term uncertainty about...