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Cross-Border Banking: Challenges for Deposit Insurance and Financial Stability in the European Union
bank regulatory structure banking subsidiaries branching cross-border banking financial crises
2011/9/27
This paper examines the implications that alternative regulatory structures may have for resolving failed banking institutions. We place our emphasis on the European Union (EU), which is both economic...
DEPOSIT INSURANCE AND BANKING STABILITY
bank runs deposit insurance policies the global financial crisis prudent approach
2011/9/24
The article discusses bank runs and deposit insurance policies, focusing on examples from the global financial crisis which began in 2008, and addressing issues such as financial stability and governm...
INSURANCE POLICIES FOR MONETARY POLICY IN THE EURO AREA
monetary policy model uncertainty policy parameters investigate the implications
2011/8/21
In this paper, we aim to design a monetary policy for the euro area that is robust to the high degree of model uncertainty at the start of monetary union and allows for learning about model probabilit...
Portfolio Insurance under a risk-measure constraint
Portfolio insurance Utility maximization Convex risk measures CVaR entropic risk measure
2011/3/23
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold.
Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms
stochastic optimal control consumption-investment problems life-insurance
2011/3/23
We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random ...
Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk
Optimal dividend reinsurance strategy Optimal
2010/10/21
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The cata...
Stable-1/2 Bridges and Insurance: a Bayesian approach to non-life reserving
Stochastic reserving Bayesian updating information-based asset pricing
2010/10/20
We develop a non-life reserving model using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an arbitrary choice of a priori distribution for the ultimate loss. Tak...
Optimal dividend policy of a large insurance company with positive transaction cost under higher solvency and security
Regular-singular stochastic optimal control Solvency Stochastic
2010/10/20
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost a...
Applications of time-delayed backward stochastic differential equations to pricing, hedging and management of financial and insurance risks
backward stochastic differential equations participating contracts
2010/10/20
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise when we want to find a ...
Optimal dividend and investing control of a insurance company with higher solvency constraints
Optimal dividend policy Optimal return function Solvency
2010/10/20
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing pro...
The first passage event for sums of dependent Lévy processes with applications to insurance risk
First passage event fluctuation theory ladder process multivariate L´ evy process
2010/11/3
For the sum process X = X1 + X2 of a bivariate L´evy process (X1,X2) with possibly dependent components, we derive a quintuple law describing the first upwards passage event of X over a fixed ba...