This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extended Wang's premiumprinciple. The novel contribution is that we allow for heterogeneity in the beliefs regarding the underlying probability distribution. We...

In this paper, we approximate the aggregate claims process by using the translated gamma process under the classical risk model assumptions, and we investigate the ultimate ruin probability. We consider optimal reinsurance under the minimum ultimate ruin probability, as well as the maximum...

We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed by a marked point process with dual-predictable...

This paper deals with the optimal retention level under four competitive criteria: survival probability, expected profit, variance and expected shortfall of the insurer's risk. The aggregate claim amounts are assumed to be distributed as compound Poisson, and the individual claim amounts are...

The 2008 crisis made clear that credit rating agencies (CRAs) can contribute to systemic financial risk. Surprisingly, post-crisis reforms have hardly addressed the underlying problems, including rating agencies' methodologies, their ratings' homogeneity, and widespread market reliance on these...

Financial losses can have persistent effects on the financial sy stem. This paper proposes an empirical measure for the duration of these effects, S pillover P ersistence. I d ocument that Spillover Persistence is strongly correlated with financial c onditions; d uring b anking crises, Spillover...

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from privately held institutions and cooperative banks, extending approaches that rely on...

We build a model to simulate how the euro area market-based financial system may function under stress. The core of the model is a set of representative agents re ecting key economic sectors, which interact in asset, funding, and derivatives markets and face solvency and liquidity constraints on...

The term Systemic Risk belongs to the standard rhetoric of economic policy discussions related to the banking industry. Besides of the goal of protecting small depositors control of systemic risk is given as one of the main arguments for banking regulation. Various recent financial crises have...

In this paper we suggest a new approach to risk assessment for banks. Rather than looking at them individually we try to undertake an analysis at the level of the banking system. Such a perspective is necessary because the complicated network of mutual credit obligations can make the actual risk...