This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …

the occurrence of a natural disaster, the reconstruction can be financed with catastrophe bonds (CAT bonds) or reinsurance … process from the two sides of the contract, the reinsurance and the capital markets, and from the historical data. The results … demonstrate that, under specific conditions, the financial strategy of the government, a mix of reinsurance and CAT bond, is …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution's (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

Traditionally, insurance risks are borne in reinsurance markets. In 1990s, however, after the sequence of huge natural … disasters and huge insurance payments, the reinsurance markets reduced its capability to bear risks, especially those related to … reinsurance capacity by transferring insurance risks to the capital markets. The CAT (catastrophe) index futures is one of the …

This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject … to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete …; furthermore, financial assets are modeled by Itô processes. The dynamic risk constraints (time, state dependent) are generated by …

It is widely recognized that ?market failure? prevents efficient risk sharing in natural disaster insurance. As a …-private partnerships. We define risk selection as a situation where private companies pass insurance of high risk agents on to the public … premium rate in both high and low risk regions and the existence of a state reinsurer. We show that in our model, risk …

involves two production sectors. One sector is financed by issuing bonds to risk-averse households. Firms in the other sector … positive. Next, we show that a judicious combination of deposit insurance and reinsurance eliminates all non …

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 bene ts. The techniques are further … developed in this paper to address in a systematic way risk measures for death bene ts with the consideration of dynamic …