loss aversion models. The goal of this paper is to assess empirically which of them fits the observed excess returns best … theoretical dynamic generated by these models with the observed dynamic. I find that the external habit model and a loss aversion … loss aversion model with a reference level based on expected consumption and, to some extend, the internal habit model …

We develop a tailor made semiparametric asymmetric kernel density estimator for the estimation of actuarial loss … procedure performs well relative to alternative estimators. An application to operational loss data illustrates the proposed …