Risk management under a prudential policy

DOI10.1007/S10203-015-0165-XzbMATH Open1398.91677OpenAlexW3125676291MaRDI QIDQ894207FDOQ894207

Authors: Hirbod Assa 

Publication date: 27 November 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-015-0165-x

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zbMATH Keywords

deposit insuranceBlack-Scholes modelmoral hazardCVaRVaRtail eventrisk measure and premiumstop-loss policy

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Title not available (Why is that?)
• Axiomatic characterization of insurance prices
• Title not available (Why is that?)
• Robustness and sensitivity analysis of risk measurement procedures
• Efficient hedging with coherent risk measure
• A new characterization of distortion premiums via countable additivity for comonotonic risks
• Properties of distortion risk measures

Cited In (7)

• Bank's capital structure under non-diversifiable risk
• Price Index Insurances in the Agriculture Markets
• Natural risk measures
• Risk Management and Capital Allocation for Non-Life Insurance Companies
• Quantile-based portfolios: post-model-selection estimation with alternative specifications
• Designing sound deposit insurances
• Proprietary trading losses in banks: do banks invest sufficiently in control?

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