Showing 1 - 10 of 42
In this paper we analyze a model of consumption and investment when preferences are loss averse around a habit level and investment yields an uncertain return. Loss aversion is the most natural way of modeling the presence of a habit as it explicitly models aversion to below-habit consumption....
Persistent link: https://www.econbiz.de/10005101910
This paper presents empirical evidence from the Netherlands indicating that the current policy based on information is unlikely to help people make the pension choices required in a system in which employees are the ultimate bearers of asset market risk. This holds even if information is made...
Persistent link: https://www.econbiz.de/10010596089
This paper empirically investigates if insurers exhibited a flight home or flight to quality during the European sovereign debt crisis and other stages of the financial crisis. Our dataset consists of over sixty insurance companies, for which we separately observe trading behaviour and portfolio...
Persistent link: https://www.econbiz.de/10011212825
This study presents an overview of the main characteristics of the CentERpanel as well as of the DNB Household Survey, a longitudinal database of economic and psychological aspects of financial behaviour of Dutch households run at CentERdata, Tilburg University and sponsored by De Nederlandsche...
Persistent link: https://www.econbiz.de/10010822683
This study investigates whether individual choices in the pension domain are vulnerable to the way alternatives are communicated to respondents. The analysis is based on a set of hypothetical questions posed in the DNB House-hold Survey as well as in the RAND American Life Panel on pension...
Persistent link: https://www.econbiz.de/10010822695
We test for the presence of a systematic tail risk premium in the cross-section of expected returns by applying a measure on the sensitivity of assets to extreme market downturns, the tail beta. Empirically, historical tail betas help to predict the future performance of stocks under extreme...
Persistent link: https://www.econbiz.de/10010822709
Adequate funding of occupational pension plans is key to benefit security. Across countries different methods of securing funding exist: solvency requirements, a pension guarantee fund, and sponsor support. The key goal of this paper is to investigate the welfare implications to the beneficiary...
Persistent link: https://www.econbiz.de/10010736482
in alternative sophisticated asset classes and home bias'. We find that pension funds' strategic portfolio choices are …
Persistent link: https://www.econbiz.de/10004983365
The paper investigates risk attitudes among different types of individuals. We use several different measures of risk attitudes, including questions on choices between uncertain income streams suggested by Barsky et al. (1997) and a number of ad hoc measures. As in Barsky et al. (1997) and...
Persistent link: https://www.econbiz.de/10004963331
In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value theory (EVT) framework. We consider the heavy-tailness of the risk factors as well a non-parametric tail dependence structure. This allows a large scope of models on the dependency. We...
Persistent link: https://www.econbiz.de/10004963333