influences insurance firms' decisions on the allocation of credit risk bearing assets in their investment portfolio. I find …In crisis times, insurance companies might feel the pressure to present a performance of their investment portfolios …, consistently with previous research, that insurers shift their portfolio holdings towards lower credit risk assets as financial …

contributions in insurance economics since that time. The review begins with the role of utility, risk, and risk aversion in the … beginning of modern economic analysis of insurance activity. This chapter reviews the main theoretical and empirical … insurance literature and summarizes work on the demand for insurance, insurance and resource allocation, moral hazard, and …

a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market … actual downgrade and reversing sharply thereafter. We show that a measure of liquidity risk faced by corporate bond market … portion of this excess co-movement. Additional robustness checks suggest that this relationship between the liquidity risk …

similar expected loss exposures. By contrast, classical insurance is more desirable when the bank’s individual risk is …This paper presents a welfare analysis of several capital insurance programs in a rational expectation equilibrium … setting. We first explicitly characterize the equilibrium of each capital insurance program. Then, we demonstrate that a …

beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return … model on equity and option data, we find that beta risk explains expected returns on low- and high-beta stocks, resolving …

This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a … risk premium. We find that investors anticipate some earnings announcements to convey news that increases market return … volatility and pay a premium to hedge this non-diversifiable risk. In particular, we find evidence of risk premiums embedded in …

Credit default swaps (CDSs) are term insurance contracts written on traded bonds. This review studies the economics of … CDSs using the economics of insurance literature as a basis for analysis. It is alleged that trading in CDSs caused the … perform this function, however, the risk of the CDS seller's failure needs to be minimized. In this regard, government …