In this article, we discuss whether and when the risk taking and moral hazard is beneficial to the insured and to the society as well. We establish model by stochastic optimal control theory. We obtain the optimal levels of risk taking and moral hazard from perspectives of the insured and the...

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on the equivalence between such indicators. Further, TCE, despite its merits, may not be the most accurate...

In this paper, the measurement of systemic risk of financial institutions and the determination of optimal capital level under consideration of systemic risk are discussed. The values of assets and liabilities of financial institutions are considered to be correlated with each other and they are...

In this paper, the measurement of systemic risk of financial institutions and the determination of optimal capital level under consideration of systemic risk are discussed. The values of assets and liabilities of financial institutions are considered to be correlated with each other and they are...