risk. This paper focuses on the transmission of sovereign risk to insurance companies as some of the largest institutional … effects from sovereign risk to domestic insurers. The impact on insurers is larger than for non-financial firms and slightly … on European data, we show that risks in sovereign bond portfolios are an important driver of insurer risk, which is not …

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for … method to German data yields very similar results to the ones shown for the US data. The risk premia for rare events … constitute a considerable part of the total equity and variance risk premia for both markets. When using the results to build an …

models in which the exogenous state variables follow conditionally-linear stochastic processes displaying time-varying risk …. The first-order approximation is consistent with a conditionally-linear model in which risk is still timevarying but has … second-order approximation of the solution, instead, is sufficient to get this role. Moreover, risk premia, evaluated using …

way to come up with a measure of time-varying disaster risk in the spirit of Wachter (2013). Our findings imply that both … the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond return …