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The Joint Estimation of Term Structures and Credit Spreads

Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - Tinbergen Instituut - 1999

We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...

Persistent link: https://www.econbiz.de/10011255975

How to measure Corporate Bond Liquidity?

Houweling, Patrick; Mentink, Albert; Vorst, Ton - Tinbergen Instituut - 2003

We consider eight different measures (issued amount, coupon, listed, age, missingprices, price volatility, number of contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity, credit and currencydifferences between bonds. The...

Persistent link: https://www.econbiz.de/10011256564

Risk Sharing in Labour Markets

Bigsten, Arne; Collier, Paul; Dercon, Stefan; … - Tinbergen Instituut - 2003

insurance to employers: when firms are hit by temporary shocks the effect on profits is cushioned by risk sharing with workers …

Persistent link: https://www.econbiz.de/10011255495

Insurance, Entrepreneurial Start-Up, and Performance

Ejrnæs, Mette; Hochguertel, Stefan - Tinbergen Instituut - 2014

Availability of (partial) insurance mechanisms is arguably important for the decision of (riskaverse) workers to start … up a risky entrepreneurial venture. Using administrative data from Denmark, where unemployment insurance (UI) is … UI choice process. Results show that the causal effect of insurance on the probability of starting up a venture is …

Persistent link: https://www.econbiz.de/10011255609

Risk Diversification by European Financial Conglomerates

Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - Tinbergen Instituut - 2005

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...

Persistent link: https://www.econbiz.de/10011255734

For Better and for Worse - How Unpaid Bride Wealth provides Security

Hoogeveen, Hans - Tinbergen Instituut - 2000

insurance mechanisms, bride wealth qualifies as an importantsecurity enhancing institution: the arrangement covers nearly the …

Persistent link: https://www.econbiz.de/10011255899

Better Safe than Sorry? Ex Ante and Ex Post Moral Hazard in Dynamic Insurance Data

Abbring, Jaap; Chiappori, Pierre-André; Zavadil, Tibor - Tinbergen Instituut - 2008

This paper empirically analyzes moral hazard in car insurance using a dynamic theory of an insuree's dynamic risk (ex …

Persistent link: https://www.econbiz.de/10011255913

Loss Modification Incentives for Insurers under Expected Utility and Loss Aversion

Soetevent, Adriaan R.; Zhou, Liting - Tinbergen Instituut - 2014

Given the possibility to modify the probability of a loss, will a profit-maximizing insurer engage in loss prevention or is it in his interest to increase the loss probability? This paper investigates this question. First, we calculate the expected profit maximizing loss probability within an...

Persistent link: https://www.econbiz.de/10011256470

Insurance and Information: Firms as a Commitment Device

Bovenberg, A.L.; Teulings, Coen N. - Tinbergen Instituut - 2001

contracts to crowd out implicit insurance, even though the latter yields higher welfare.Integrating the principal-agent and …

Persistent link: https://www.econbiz.de/10011256657

Insurance and Rural Welfare: What can Panel Data tell us?

Elbers, Chris; Gunning, Jan Willem; Pan, Lei - Tinbergen Instituut - 2007

insurance in rural communities usually requires a structural model of household behavior under risk. One of the few empirical … would not benefit from the introduction of formal weather insurance. In this paper we investigate how models such as theirs … conclusion that insurance would not be welfare improving. …

Persistent link: https://www.econbiz.de/10011256689