Insurance company risk is assessed after their acquisitions. An acquisition may increase risk if it is a strategic mismatch, or an acquisition may reduce risk through cash flow diversification. Over thirty-six month periods surrounding insurance company acquisitions, systematic risk changes are...

The aim of this paper is to study optimal risk- and value-based management decisions regarding a non-life insurer's investment strategy by maximizing shareholder value based on preference functions, while simultaneously controlling for the ruin probability. We thereby extend previous work by...

This paper presents a model that measures the impact of political risk on portfolio investment when the political risks are multivariate and correlated across countries. The multivariate approach generalizes the single country model but retains most of its characteristics in terms of its ability...

According to the International Monetary Fund, emerging markets now represent more than a third of global GDP — and are expected to grow at a faster rate than advanced economies. With such explosive growth, investors often assume that an investment strategy focused on growth would yield better...

In this paper we review changes in the insurance industry due to new risk-based regulations such as Solvency 2 and SST. The move from corporate management based on cash-flow to risk-based management is described and discussed through its consequences on capital management, economic valuation and...

“In this world nothing can be said to be certain, except death and taxes.” — Benjamin FranklinThe Brandes Institute has added a third inevitability to Ben Franklin's famous quip about life's certainties: short-term underperformance among active managers. Over the years, Institute research...

Global micro-cap stocks have provided greater diversification benefits and a more robust long-term value premium than small- and mid- to large-cap stocks. Among the features contributing to these benefits for micro caps worldwide:• a large, diverse universe with little sell-side research...

The high cost of capital for firms conducting medical research and development (R&D) has been partly attributed to the government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be compensated for it. We propose new and simple financial...