Decentralized insurance can be used to describe risk sharing mechanisms under which
participants trade risks among each other as opposed to passing risks mostly to an insurer in …

Abstract Kenneth Arrow and Karl Borch published several important articles in the early
1960s that can be viewed as the beginning of modern economic analysis of insurance …

Financial institutions use risk measures to calculate the marginal capital cost when
expanding the exposure to a certain risk within their portfolio. We reverse this approach by …

The movement of capital within insurance groups is important for understanding insolvency
risk management, as well as regulatory policies regarding capital standards and group …

We present a theory of risk capital and of how tax and other costs of risk capital should be
allocated in a financial firm. Risk capital is equity investment that backs obligations to …

In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk
measure in the last two decades. Nevertheless, there is a lively and controverse on-going …

Existing risk capital allocation methods, such as the Euler rule, work under the explicit
assumption that portfolios are formed as linear combinations of random loss/profit variables …

Capital allocation concerns an assignment of the capital of a financial institution to the
various sources of risk within the firm. While the procedure is commonly applied within …

As Malaysian banks step into Basel-III era, a close look at their performance on risk adjusted
basis using RAROC and EVA would throw significant light on their relative strengths and …

In this article, we derive conditions in an imperfect market setting, under which the
introduction of a self‐supporting insurance guaranty fund improves the position of the …