Purpose – The purpose of this paper is to analyse the effects of the maturities of credit‐enhanced debt contracts on the value of an insurer's loan‐guarantee portfolios. Design/methodology/approach – The paper proposes a contingent‐claims model and uses as measure of credit insurance...

Purpose – The purpose of this paper is to analyse the effects of the maturities of credit-enhanced debt contracts on the value of an insurer's loan-guarantee portfolios. Design/methodology/approach – The paper proposes a contingent-claims model and uses as measure of credit insurance risk,...

We extend the financial guarantee insurance literature by modeling, under stochastic interest rates, private financial guarantees when the guarantor potentially defaults. By performing numerical simulations under plausible parameters values, we characterize the differential impact of the...

The fact that investment policies are often restricted appears to have been neglected in the performance measurement literature. This paper, using a standard information model, shows how the introduction of constraints on the proportion of assets to be invested in the market affect the expected...

Purpose – The purpose of this paper is to use a stylised multi‐period model to describe the economic dynamics related to title risks and the implications of title insurance in the risk management decision process. Some fear that insofar as the quality of public records is concerned, the...

The authors provide bibliometric evidence to illustrate the development of copula theory in mathematics, statistics, actuarial science and finance. They identify the main contributors to the field, and the most important areas of application in finance. They also describe some of the remaining...

Purpose: Premised on the assertion that financial digitalization is currently the panacea and game changer in delivering progress towards the sustainable development goals (SDGs) through universal financial inclusion, especially in developing countries, the purpose of this paper is to establish...