about future returns, is reconsidered. Investors use measures of risk. The overlapping sets of priors and the Pareto … equilibrium conditions introduced by Heath and Ku for coherent risk measures are reinterpreted as a weak no-arbitrage and a weak …

test using survey answers to a risk-sharing question in an African village. We find that bilateral link formation fits the …

instruments are not specifically designed for retirement purposes. There is thus a risk of insufficient saving at old-age. We …

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To … sample properties in realistic sample settings (5% coverage rate with estimation risk). An application on a portfolio …

, we address a discussion on this topic proposing the concept of meta-distribution which can be used to improve risk …

competing density forecasts over a specific region of interest, such as the left tail in financial risk management. These …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …