analyzed in this pap er reinsurance markets are unable to cope with this risk completely. Insurance-linked securities, such as … cat bonds, have been issued to complete the international risk transfer process, but their development is disappointing so … far. This paper argues that downside risk aversion and ambiguity aversion explain the limited success of cat bonds. Hybrid …

to condition default intensities of mortgages on relevant economic risk drivers. We calibrate our model on a large … from CreditRisk+ as commonly applied in the industry. The conditional loss distribution and risk measures for a large … aggregated res-idential mortgage default risk is not only driven by the rating but also by variables such as the loan …

explained by an individual’s perception of the risk that is involved whenever an outcome is to be received in the future. This … risk may concern the size of the actual outcome or the endowment consumption stream to which the outcome is added. Both … experiments. We show how relative degrees of changes in risk over time can predict choices. …

. Because of risk, the firm may default. The firm manager takes investment and default decisions in order to maximize the value …

reinsurance companies, financial markets have failed to displace reinsurance as the primary risk-sharing vehicle for natural … catastrophe risk. We show that this failure can be explained by differences in information gathering incentives between financial … markets and reinsurance companies. Using a simple model of an insurance company that seeks to transfer a fraction of its risk …