changes in credit risk may arise when either the value or the risk of corporate assets changes. changes in the equity value associated with the changes in the asset value and changes in asset risk can be characterized into potentially countervailing direct and indirect effects. the indirect effect of risk on equity value is a function of factors that affect the debt value of including leverage,...

We explain why correlation crises may occur in insurance and finance. These phenomena are not taken into account in Solvency II standard formula. We show the importance of taking them into account in internal models or partial internal models. Given the variety of scenarios that could lead to correlation crises and their different potential impacts, we support the idea that ORSA (Own Risk and S...

The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure (precisions of public and private information), and the level of stress indicators in the market impin...

This paper studies the impact of both solvency and liquidity concerns on corporate …nance. The …rm optimally chooses capital structure, cash holdings, dividends and default while facing stochastic cash ‡ows with two sources of uncertainty. The expected cash ‡ows are uncertain and low pro…tability leads to solvency distress. Moreover, cash ‡ows are subject to liquidity shocks that cause liquidit...

In the context of the aging population, the debt risk and solvency situation of China’s pension plan are of major concern for government and individuals. The aim of this paper is to project public pension liabilities and evaluate the solvency sustainability of China’s pension reform during transition periods. By using cohort component and actuarial models, transition debt and solvency sustainab...

the dower is the first financial debt which established incumbent upon the husband after the realization of marriage. the wife has the right to demand the debt from the husband and then obtain its possession. if after the request of the wife, the husband claims to be insolvent and unable to pay the debt, the legal procedure of iranian courts is that the husband is sentenced to imprisonment so t...

In this paper, we compare the point of view of the regulator and the investors about the required solvency level of an insurance company. We assume that the required solvency level is determined using the Tail-Value at Risk and analyze the diversification benefit, both on the required capital and on the residual risk, when merging risks. To describe the dependence structure, we use a range of v...

This paper empirically examines various incentives facing managers of Australian life insurers to voluntarily use actuarial-based income smoothing techniques (AIS). AIS were subsequently incorporated into jointly-developed Australian and New Zealand life insurance accounting standards (LIAS) issued in 1997. The propensity of managers to voluntarily use AIS is predicted to be related to the firm...