risky investment, underwriting, reinsurance, and hedging; and (ii) the allocation of risk across all of these opportunities …This article builds on Froot and Stein in developing a framework for analyzing the risk allocation, capital budgeting … with risk management and capital allocation; (ii) some, but not all, of the risks they face can be frictionlessly hedged in …

When firms approach distress, whether they engage in asset substitution (risk shifting) or rebuild equity (risk … management) may depend on their access to capital markets. The property-casualty insurance industry has two features that make it …

This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK … business lines; there is default clustering in the GI industry; different reinsurance levels also affect the credit risk of … wider set of possible determinants of credit risk. The empirical results suggest that macroeconomic and firm …

Reinsurance is a transaction insurance firms use to hedge risk. Existing studies have only investigated the demand for … reinsurance. Thus, we do not have direct evidence on whether the use of reinsurance creates value. Our study provides this … evidence. We find a positive relation between the use of reinsurance and value. This relation is nuanced. Our results suggest …

Reinsurance is a versatile risk management strategy commonly employed by insurers to optimize their risk profile. In … this paper, we study an optimal reinsurance design problem minimizing a general law-invariant coherent risk measure of the … net risk exposure of a generic insurer, in conjunction with a general law-invariant comonotonic additive convex …

constraint must be satisfied by the selected reinsurance contract, namely, "the reinsurer increment of risk must be lower than …This paper deals with the optimal reinsurance problem and involves the goals of both insurer and reinsurer. An … important novelty may be the incorporation of the background risk that the reinsurer uses in order to diversify (or hedge) the …

This paper studies the design of Pareto-optimal reinsurance contracts in a market where the insurer and reinsurer … control their solvency risks, which are defined through distortion risk measures of their end-of-period risk exposures. To … functions. By adopting piece-wise linear distortion functions for the risk measures, we partition the domain of the loss into …

Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is … used to mitigate risk and manage capital re- quirements. We investigate risk transfer in the context of a network … environment of insurers and consider capital costs and capital constraints at the level of individual insurance companies. We …

assessing the importance of reinsurance counterparty risk on insurance levels and the systematic development of risk management …Since 2008, catastrophic losses and financial turmoil have deeply shaken the insurance and reinsurance industries … players, and have increased attention on the subject of reinsurance counterparty risk. This corresponds to the exposure of an …

This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK … business lines; there is default clustering in the GI industry; different reinsurance levels also affect the credit risk of … wider set of possible determinants of credit risk. The empirical results suggest that macroeconomic and firm …