We study the possibility for international diversi cation of catastrophe risk by the insurance sector. Adopting the argument that large insurance losses may be a `globalizing factor' for the industry, we study the dependence of geographically distant insurance markets via equity returns. In particular, we employ conditional copula theory to model the bivariate dependence of the insurance indust...

Abstract. Asset/Liability management, optimal fund design and optimal portfolio selection have been key issues of interest to the (re)insurance and investment banking communities, respectively, for some years especially in the design of advanced risk transfer solutions for clients in the Fortune 500 group of companies. The new concept of limited risk arbitrage investment management in a diffusi...

Abstract Banks have so far weathered well the financial turbulence caused by COVID-19 while at same time being central in economic and response. As crisis moves from its initial phase as a short-term liquidity shock, sector is facing increasing volumes of non-performing loans, raising spectre banking solvency crisis. In economies already burdened with low-quality assets, fallout intensifying ex...

Reverse share tenancy, i.e., sharecropping between a poor landlord and a rich tenant, is common throughout the developing world. Yet it can only fit the canonical principal-agent model of sharecropping under specific circumstances. This paper develops and tests between three theoretical explanations for reverse share tenancy based respectively on (i) risk-aversion on the part of both the landlo...

The aim of this paper is to analyze the impact of management’s strategic choice of asset and liability composition in life insurance on shortfall risk and the shareholders’ fair risk charge. In contrast to previous work, we focus on the effectiveness of management decisions regarding the product mix and the riskiness of the asset side under different surplus appropriation schemes.We propose amo...

Spatial dependency has been broadly studied in several research areas, such as environmental criminology, economic geography, environmental sciences, and urban economics. However, it has been essentially overlooked in other subfields of economics and in the field of finance as a whole. A key element at stake is the definition of contiguity. In the context of financial markets, defining a metric...

This meeting was organised jointly by Darrell Duffie (Stanford), Paul Embrechts (Zürich) and Hans Föllmer (Berlin). In 28 talks and many informal discussions, it covered a wide range of problems in finance and insurance which involve advanced methods of stochastic analysis. Key topics included: – incomplete financial markets, in particular stochastic volatility, equilibrium analysis, stochastic...