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

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)

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Cites work

• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• A new characterization of distortion premiums via countable additivity for comonotonic risks
• Axiomatic characterization of insurance prices
• Efficient hedging with coherent risk measure
• Properties of distortion risk measures
• Robustness and sensitivity analysis of risk measurement procedures

Cited in

(10)

• Designing sound deposit insurances
• Bank's capital structure under non-diversifiable risk
• Quantile-based portfolios: post-model-selection estimation with alternative specifications
• Optimal Capital Structure and Risk Management Policies of Banks That Use CoCo Futures to Hedge Financial-Sector Risk
• Proprietary trading losses in banks: do banks invest sufficiently in control?
• Price index insurances in the agriculture markets
• Natural risk measures
• Escrow and clawback
• Risk Management and Capital Allocation for Non-Life Insurance Companies
• Revenge of the steamroller: ABCP as a window on risk choices

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