Journal of Risk Finance: Volume 3 Issue 2

Design and Pricing of Equity‐Linked Life Insurance under Stochastic Interest Rates

ANNA RITA BACINELLO, SVEIN‐ARNE PERSSON

The authors present a model that incorporates stochastic interest rates to value equity‐linked life insurance contracts. The model generalizes some previous pricing results of…

An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements

CHRIS BROOKS, ANDREW D. CLARE, GITA PERSAND

This article investigates the effect of modeling extreme events on the calculation of minimum capital risk requirements for three LIFFE futures contracts. The use of internal…

Risk‐Based Capital Allocation Using a Coherent Measure of Risk

MANOJ K. SINGH

This article outlines a procedure for quantifying risk‐adjusted capital reserves that may be used for both performance evaluation and capital allocation. The author identifies and…

Installment Options and Static Hedging

MARK H.A. DAVIS, WALTER SCHACHERMAYER, ROBERT G. TOMPKINS

This article discusses static hedges for installment options, which are finding broad application in cases where the option‐buyer may reduce up‐front premium costs via early…

Hypothesis Test of Default Correlation and Application to Specific Risk

JONGWOO KIM

Credit migration correlation is a critical assumption for the integration of market risk and credit risk within enterprise‐wide risk management. This article describes hypothesis…

Have Financial Markets Learned from Past Crises?

LEO M. TILMAN

The author surveys how recent crises—in particular, the LTCM collapse of 1998 and the events of September 11, 2001—have influenced the application and interpretation of risk…