Purpose – This paper aims to propose a new method for credit risk allocation among economic agents. Design/methodology/approach – The paper considers a pool of bank loans subject to a credit risk and develops a method for decomposing the credit risk into idiosyncratic and systematic...

We consider a pool of bank loans subject to a credit risk and develop a method for decomposing the credit risk into idiosyncratic and systemic components. The systemic component accounts for the aggregate statistical difference between credit defaults in a given period and the long-run average...

In the standard model for insurance demand, the risk is totally exogenous and the insurance premium is paid for out of riskless wealth. This model yields results that are mostly in contradiction to everyday observation and have been used to question the pertinence of expected utility theory on...

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In the standard model for insurance demand, the risk is totally exogenous and the insurance premium is paid for out of riskless wealth. This model yields results that are mostly in contradiction to everyday observation and have been used to question the pertinence of expected utility theory on...

Large systematic risks, such as those arising from natural catastrophes, climatic changes and uncertain trends in longevity increases, have risen in prominence at a societal level and, more particularly, have become a highly relevant issue for the insurance industry. Against this background, the...

This article combines a portfolio model and the APT to determine common factors explaining the bias observed ex post between the forward exchange rate and the future spot rate of the same currency. The model allows us to decompose the forward exchange bias into four risk premiums connected to...

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