the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since … reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. …

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …

We study an insurance model characterized by a continuum of risk types, private information and a competitive supply … side. We use the model to investigate the welfare effects of discrimination (also known as risk selection). We postulate … that a test is available that determines whether an applicant's risk exceeds a treshold. Excluding the highest risks …

perturbation theory to derive an approximate tractable expression for this cost adjusted for climatic and economic risk. We allow … for different aversion to risk and intertemporal fluctuations, skewness and dynamics in the risk distributions of climate …

-free and are relevant to many fields encountering catastrophic risk analysis, such as, perhaps most noticeably, insurance and … risk management. …

. Our results apply to stationary and ergodic time series. In a simulation study we show that our asymptotic theory provides …

conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk … sample selection bias, we show that CoCo bonds issuance has a strong positive e↵ect on risk-taking behaviour, particularly … amplifies the impact of CoCo bonds on risk-taking. …