curve is decreasing if the representative agent is prudent (<i>u'''</i>> 0), because of the increased risk that it yields … (<i>u''''</i>< 0), because the change in downside risk (or skweness) that it generates. Finally, using these theoretical …

Consider a simple two-state risk with equal probabilities for the two states. In particular, assume that the random … this way, we can extend and generalize existing results about risk attitudes. This lottery preference includes behavior … exhibiting higher order risk effects, such as precautionary effects and tempering effects. …

Medical expenditure risk can pose a major threat to living standards. We derive decomposable measures of catastrophic … medical expenditure risk from reference-dependent utility with loss aversion. We propose a quantile regression based method of … estimating risk exposure from cross-section data containing information on the means of financing health payments. We estimate …

the data set of Sala-i-Martin, we use the least median of squares (LMS) estimator to identify outliers. As LMS is not … without outliers hardly reveals any additional information. Variables that are insignificant according to the RLS method are …

, parameter heterogeneity and outliers. The robust model averaging approach introduced in the paper uses a flexible and …

An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that … perform significantly better in ES estimation. …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as ‘average’ models and its exact …

clearing house (bank) which monitors agents and enforces contracts. Our model develops a concept of bankruptcy equilibrium that … a version of the Capital Asset Pricing Model with bankruptcy. In this case we can characterize equilibrium prices and … allocations and discuss implications for credit risk modeling. …