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Almost expectation and excess dependence notions
Denuit, Michel; Huang, Rachel J.; Tzeng, Larry Y. - In: Theory and decision : an international journal for … 79 (2015) 3, pp. 375-401
Persistent link: https://www.econbiz.de/10011377445
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Benchmark values for higher order coefficients of relative risk aversion
Denuit, Michel; Rey, Béatrice - In: Theory and decision : an international journal for … 76 (2014) 1, pp. 81-94
Persistent link: https://www.econbiz.de/10010345268
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Tail mutual exclusivity and tail-var lower bounds
Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan - 2015
In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...
Persistent link: https://www.econbiz.de/10010477089
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Voluntary participation and intergenerational risk sharing in a funded pension system
Beetsma, Roel; Romp, Ward E.; Vos, Siert J. - 2011 - This version: March 16, 2011
increases with risk aversion and financial market uncertainty. We find that it is likely that mandatory participation is …We explore the feasibility of a funded pension system with intergenerational risk sharing when participation in the … necessary to sustain a funded pension pillar and to let participants benefit from intergenerational risk sharing. …
Persistent link: https://www.econbiz.de/10011386164
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Risk aversion, prudence, and asset allocation : a review and some new developments
Denuit, Michel; Eeckhoudt, Louis R. - In: Theory and decision : an international journal for … 80 (2016) 2, pp. 227-243
Persistent link: https://www.econbiz.de/10011593667
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Intergenerational sharing of unhedgeable inflation risk
Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2022 - This version: November 16, 2022
market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various …
Persistent link: https://www.econbiz.de/10013460026