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Higher moments under dependence uncertainty with applications in insurance

Date :
The paper provides critical theoretical and practical contributions to actuarial science by demonstrating the often-overlooked significance of higher-order mixed moments. It offers tools for robust risk assessment through sharp bounds and standardized rank coefficients. The findings emphasize that while higher-order moments often have a monotonic effect on overall capital requirements and life annuity pricing, their influence on individual risk contribution can be highly nuanced. This calls for actuaries and risk managers to move beyond traditional second-order moment analysis and carefully consider complex dependence structures to ensure accurate risk management and pricing in insurance.

Do G‑SIBs Engage in Window‑dressing Behavior? An Empirical Analysis

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The paper investigates whether Global Systemically Important Banks (G-SIBs) engage in stronger window-dressing practices than other banks. It finds evidence that G-SIBs reduce exposures such as assets, debt, and derivatives more sharply at year-end and then increase them again in the following quarter, creating a “V-shape” pattern. This behavior is more pronounced for G-SIBs near regulatory thresholds or with higher surcharges, suggesting attempts to lower capital requirements. The study highlights potential market implications and questions the effectiveness of the G-SIB framework, suggesting reforms such as using average exposures rather than year-end figures.

Insurance Europe responds to EIOPA's IRRD public consultations

Date :
These responses from Insurance Europe to various consultations by EIOPA concerning the Insurance Recovery and Resolution Directive (IRRD) outline the insurance industry's feedback on guidelines for identifying critical functions, removing impediments to resolvability, criteria for pre-emptive recovery planning and market share determination, and the content of both recovery and resolution plans, as well as resolvability assessments. A recurring theme across these responses is the industry's call for proportionality, flexibility, and reduced administrative burden, emphasizing that the IRRD's application should consider the unique characteristics of the insurance sector, distinguishing it from banking. The responses also frequently highlight concerns about duplication with existing DORA and Solvency II requirements and the lack of quantitative cost assessments for proposed regulations.