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Low-probability insurance decisions : the role of concern

Schade, Christian D.; Kunreuther, Howard; Kaas, Klaus Peter - 2002

On the basis of a real high stakes insurance experiment with small probabilities of losses, we demonstrate that concern is a more important driver of WTP for insurance than subjective probability estimates when there is ambiguity surrounding the estimate. Concern is still important when...

Persistent link: https://www.econbiz.de/10009621421

Nonlinear GARCH models for highly persistent volatility

Lanne, Markku; Saikkonen, Pentti - 2002

related to relatively infrequent changes in regime. U sing the theory of Markov chains we provide sufficient conditions for …

Persistent link: https://www.econbiz.de/10009621424

Giesecke, Kay - 2001

We propose a model of correlated multi-firm default with incomplete information. While public bond investors observe issuers' assets and defaults, we suppose that they are not informed about the threshold asset level at which a firm is liquidated. Bond investors form instead a prior on these...

Persistent link: https://www.econbiz.de/10009621426

A simple state space model of house prices

Schulz, Rainer; Werwatz, Axel - 2002

Persistent link: https://www.econbiz.de/10009622676

Adaptive wavelet Galerkin methods for linear inverse problems

Cohen, Albert; Hoffmann, Marc; Reiß, Markus - 2002

We introduce and analyse numerical methods for the treatment of inverse problems, based on an adaptive wavelet Galerkin discretization. These methods combine the theoretical advantages of the wavelet-vaguelette decomposition (WVD) in terms of optimally adapting to the unknown smoothness of the...

Persistent link: https://www.econbiz.de/10009624840

A Monte Carlo study of structural equation models for finite mixtures

Williams, John R.; Temme, Dirk; Hildebrandt, Lutz - 2002

Empirical applications of structural equation modeling (SEM) typically rest on the assumption that the analysed sample is homogenous with respect to the underlying structural model or that homogenous subsamples have been formed based on a priori knowledge. However, researchers often are ignorant...

Persistent link: https://www.econbiz.de/10009624842

Compensator-based simulation of correlated defaults

Giesecke, Kay - 2002

The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper...

Persistent link: https://www.econbiz.de/10009624843

Real estate valuation according to standardized methods : an empirical analysis

Schulz, Rainer - 2002

Appraisals are needed for decision-making and for performance evaluation. Knowledge on the accuracy of valuation methods is of general interest for banks and investors. We assess the accuracy of the German Regulation on Valuation with monthly data on appraisals and prices for commercial...

Persistent link: https://www.econbiz.de/10009625798

Hedging and portfolio optimization in illiquid financial markets

Bank, Peter; Baum, Dietmar - 2002

analysis relies on the non-linear integration theory of such semimartingale families. The Itô-Wentzell formula is used to prove …

Persistent link: https://www.econbiz.de/10009625800

Monopoly

Kempe, Wolfram - 1996

This is the first chapter of a graduate text entitled Topics in Microeconomics. It covers the basics of monopoly theory … introduced. The incomplete information theory of second-degree price discrimination is worked out, first for two and then for a … time consistency problem ("durable goods monopoly"), and how the basic theory of third-degree price discrimination needs to …

Persistent link: https://www.econbiz.de/10009631756

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