Search Results - subject:"Capital injections"

Irreversible reinsurance : minimization of capital injections in presence of a fixed cost

Federico, Salvatore; Ferrari, Giorgio; Torrente, Maria-Laura - In: Mathematics and financial economics 18 (2024) 4, pp. 707-733

Persistent link: https://www.econbiz.de/10015189220

Irreversible reinsurance: minimization of capital injections in presence of a fixed cost

Federico, Salvatore; Ferrari, Giorgio; Torrente, Maria-Laura - In: Mathematics and Financial Economics 18 (2024) 4, pp. 707-733

total discounted flow of capital injections needed to avoid bankruptcy and of the fixed activation cost of the reinsurance …

Persistent link: https://www.econbiz.de/10015373205

Irreversible reinsurance: Minimization of capital injections in presence of a fixed cost

Federico, Salvatore; Ferrari, Giorgio; Torrente, Maria Laura - 2023

total discounted flow of capital injections needed to avoid bankruptcy and of the fixed activation cost of the reinsurance …

Persistent link: https://www.econbiz.de/10014476153

Irreversible reinsurance : minimization of capital injections in presence of a fixed cost

Federico, Salvatore; Ferrari, Giorgio; Torrente, Maria Laura - 2023

total discounted flow of capital injections needed to avoid bankruptcy and of the fixed activation cost of the reinsurance …

Persistent link: https://www.econbiz.de/10014371814

On the surplus management of funds with assets and liabilities in presence of solvency requirements

Avanzi, Benjamin; Chen, Ping; Henriksen, Lars Frederik … - In: Scandinavian actuarial journal 2023 (2023) 5, pp. 477-508

Persistent link: https://www.econbiz.de/10014336614

Optimal capital injections and dividends with tax in a risk model in discrete time

Bata, Katharina; Schmidli, Hanspeter - In: European Actuarial Journal 10 (2020) 1, pp. 235-259

We consider a risk model in discrete time with dividends and capital injections. The goal is to maximise the value of a …

Persistent link: https://www.econbiz.de/10014504517

Catch, restrict, and release: the real story of bank bailouts

Berger, Allen N.; Nistor, Simona; Ongena, Steven; … - 2020

Bank bailouts are not the "one-shot" events commonly described in the literature. These bailouts are instead dynamic processes in which regulators "catch" financially distressed banks; "restrict" their activities over time; and "release" the banks from restrictions at sufficiently healthy capital...

Persistent link: https://www.econbiz.de/10012224131

On central branch/reinsurance risk networks: Exact results and heuristics

Avram, Florin; Loke, Sooie-Hoe - In: Risks 6 (2018) 2, pp. 1-11

Modeling the interactions between a reinsurer and several insurers, or between a central management branch (CB) and several subsidiary business branches, or between a coalition and its members, are fascinating problems, which suggest many interesting questions. Beyond two dimensions, one cannot...

Persistent link: https://www.econbiz.de/10011996593

An optimal dividend problem with capital injections over a finite horizon

Ferrari, Giorgio; Schuhmann, Patrick - 2018

In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The …-dependent instantaneous marginal profits, whereas capital injections are subject to time-dependent instantaneous marginal costs. The aim is to … expected costs for capital injections. Inspired by the study in [13] on reflected follower problems, we relate the optimal …

Persistent link: https://www.econbiz.de/10012042134

The impact of ex ante regulations and ex post interventions on bank lending and solvency

Bachmann, Manuel - 2018

Persistent link: https://www.econbiz.de/10011923515