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...

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...

The theory of pricing to acceptability developed for incomplete markets is applied to marking one’s own default risk. It is observed in agreement with Heckman (2004), that assets and liabilities are not to be valued in …nancial reporting at the same magnitude. Liabilities are to be marked at the ask prices of two price economies that are above the asset mark at the bid prices for such economies...

This paper explores the issue of whether strict liability imposed on polluters has served to reduce uncontrolled releases of toxics into the environment. Strict liability should create additional incentives for firms to handle hazardous substances more carefully, thus reducing the future likelihood of uncontrolled releases of toxics. However, the size of these incentives may vary according to t...

After the collapse of the housing bubble in 2007, severe fire sales of assets in the financial sector are accompanied by a rise in the volatility of asset returns in the non-financial firms. To account for their co-movements, I develop a model that highlights the interaction between the financial health of the banking sector and the volatility of asset returns. The novel feature of the model is...

In earlier years, there was abundance of funds in banks the form demand and savings deposits. Hence, focus mainly on asset management. But intense competition volatility interest rate due to banking reforms reduced availability low-cost therefore, focused liability management as well. These pressures call for structured comprehensive measures not just ad hoc action. This is how started concentr...