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...

From CAC40 French stock index, we induce the implied market factor’s level through the inversion of a closed form pricing formula for European calls on the CAC40. For this purpose, we assume that the CAC40 index is a disturbed observation of the actual market factor, the market factor's...

It is well known that some relationship between systematic risk and credit risk prevails in financial markets. In our study, S&P 500 stock index return is our market risk proxy whereas credit spreads represent our credit risk proxy as a function of maturity, rating and economic sector. We...

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...

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...

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...