Using the industrial organization approach to the microeconomics of banking we model a large (Monti-Klein) bank which is risk neutral and faces credit uncertainty in its loan business. The impact of capital adequacy regulation and the effect of changes in risk on deposit and loan rates are analyzed. We then show that capital adequacy regulation induces the bank to behave as if it were risk aver...

We discuss a number of quantile-based risk measures (QBRMs) that have recently been developed in the financial risk and actuarial/insurance literatures. The measures considered include the Value-at-Risk (VaR), coherent risk measures, spectral risk measures, and distortion risk measures. We discuss and compare the properties of these different measures, and point out that the VaR is seriously fl...

We discuss a number of quantile-based risk measures (QBRMs) that have recently been developed in the financial risk and actuarial/insurance literatures. The measures considered include the Value-at-Risk (VaR), coherent risk measures, spectral risk measures, and distortion risk measures. We discuss and compare the properties of these different measures, and point out that the VaR is seriously fl...

A method is presented for identifying an expected profitable set of customers, to offer them an additional insurance product, by estimating a customer specific latent risk profile, for the additional product, by using the customer specific available data for an existing insurance product of the specific customer. For the purpose, a multivariate credibility estimator is considered and we investi...

We show that there can be significant difference between risk preferences of individual investors and aggregate preferences toward risk in the economy. To demonstrate this, we investigate aggregate properties of an economy where all investors have convex utility functions corresponding to risk seeking behavior. In the case of risk seeking individual agents with identical initial endowments, ass...

2 This paper draws on lessons from a UK case study in the management of diffuse microbial pollution from grassland farm systems in the Taw catchment, south west England. We report on the development and preliminary testing of a field-scale faecal indicator organism risk indexing tool (FIORIT). This tool aims to prioritise those fields most vulnerable in terms of their risk of contributing FIOs ...

Decision-making under risk assessment involves dealing with the matter of uncertainty, especially in projects such as tunnel construction. Risk control should include not only measures to reduce the possible consequence of incident, but also exploration measures (information collecting measures) to reduce the uncertainty of the incident. The classical risk assessment model in engineering is R =...

We show that in large symmetric auctions with conditionally i.i.d. common values and CARA preferences, the second-price auction raises more revenue than the …rst-price auction. We also show by an example that the ranking does not extend to general symmetric risk-averse preferences.