A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has...

The possible existence of a link between the structure of firms' equity and profitability is a recurrent question among economists. The primary objective of this article is to provide a critical analysis of the two most recent hypotheses on the subject, one put forward by Demsetz, and the other...

We investigate the capital structure dynamics of a panel of 766 firms from five Western Europe countries: France, Italy, UK, Germany and Switzerland over the period 1996-2007. If firms adjust their capital structure towards an optimal level with adjustment costs affecting this optimization...

Le régime de l’assurance des catastrophes naturelles en France est actuellement en équilibre. Cependant, un évènement majeur peut le déséquilibrer et l’Etat peut être appelé en garantie. Des événements climatiques récents ont conduit à l’élaboration d’une réforme,...

This article models a situation in which a monopolistic insurer evaluates risk better than its customers. The resulting equilibrium allocations are compared to the consequences of the standard adverse selection hypothesis. On the positive side, they exhibit the property that low-risk people are...

This paper analyses the qualitative properties of optimal contracts when agents have multiple priors and are uncertainty averse in an infinite state space framework. The case of the epsilon-contamination of a given prior, a basic tool in robustness theory is fully developped. It is shown that if...

This article examines the impact of varying mandatory pensions on saving, life insurance, and annuity markets in an adverse selection economy. Under reasonable restrictions, we find unambiguous effects on market size, participation rates, and equilibrium prices. The degree of adverse selection,...

Insurance coverage for natural disasters remains low in many exposed areas. A limited supply of insurance is commonly identified as a primary causal factor in this low insurance coverage. The French overseas departments provide a rare natural experiment of a well-developed supply of natural...

In this paper, we want to characterize the optimal health insurance contract with adverse selection and moral hazard. We assume that policyholders differ by the permanent health status loss and choose an unobservable preventive effort in order to reduce the probability of illness which is...

This paper investigates the impact of health risk on insurance contract with hazard moral. We use a bi-dimensional utility function (wealth and health status). We prove that the type of health risk influences the equilibrium of insurance market. A full coverage is possible with moral hazard....