Efficient contracts for sharing risk will allocate risk according to comparative advantage. When risks meet the typical criteria for insurability, in particular independence, the comparative advantage is straightforward and insurers are able to diversify risk by pooling together many...

Since 80’, fault tree theory has known a great development in industrial systems’ sector. Its first goal is to estimate and model the probability and events combination which could lead a given system to failure. Later static and dynamic studies arise such as Dugan, Venkataraman & Gulati...

Most economists congregate on the idea that commodity price instability should be reduced. Since at least one century a variety of instruments have been designed to that end, without much success, especially for agricultural commodities. The failure might be a consequence of the fact that most...

La marge de taux obligataire ou encore le spread de crédit est réputé(e) pour son rôle de mesure du risque de crédit. Dans ce contexte, l’attention est portée à deux de ses principales composantes : le risque de défaut et le risque de liquidité. L’évolution du risque de défaut...

Today’s reinsurance manager has to balance many diverging interests. Most prominent among these are the risk-return objectives of the company owners and the security requirements of the policyholders. Performance measurement issues and the sheer number of available reinsurance and capital...

This paper estimates private life insurance and Kampo demand functions using household-level data provided by the Postal Services Research Institute. The results show that income, children, pension and knowledge factors have a significant effect on the decision as to whether each household...

Hedge funds are said to be rewarding investments because they have favourable risk-return characteristics on a standalone basis, and because they offer valuable diversification with respect to traditional stock and bond markets. On the other hand, hedge fund returns have a number of...

We study parameter or estimation risk in the hedging of options. We suppose that the world is such that the price of an asset follows a stochastic differential equation. The only unknown is the (future) volatility of the asset. Options are priced and hedged according to the Black and Scholes...

This research explored two major insurance-market issues. First, it investigated the dynamic interactions between premiums and losses using vector autoregressive (VAR) models. Second, it showed how premiums respond to shocks to losses, surplus, interest rates, the variance in losses, and the...

This research examines the relationship between firm efficiency and choice of organizational form using a seven year panel data set of 586 life insurers. Our study window is from 1985 to 1991. We began the study with two questions in mind: "Do stocks and mutuals use different production...