increasing term structure for the risk premium. It also implies that, under the assumption that the cummulants of the … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a … nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the …

This paper explores the introduction of collective risk-sharing elements in defined contribution pension contracts. We … consider status-contingent, age-contingent and asset contingent risk-sharing arrangements. All arrangements raise aggregate …

Common integrated assessment models produce the counterintuitive result that higher risk aversion does not lead to …. The simulations show that aversion to this tipping point risk has little effect. For climate sensitivity of realistic …

the magnitude of the optimal paygo program and the nature of the underlying risk sharing effects are very sensitive to the … chosen combination of risk concepts and stochastic specification of long run aggregate wage income growth. In an additive way … we distinguish between the pooling of wage and capital risks within periods and two different intertemporal risk sharing …