the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since … reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. …

. Our results apply to stationary and ergodic time series. In a simulation study we show that our asymptotic theory provides …

Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty … and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy … methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

orientated theories of decision makingunder risk (e.g. prospect theory or regret theory). We discussthe economic relevance of the …This paper experimentally investigates investment behavior.We find that global risk – i.e. risk independent of an agent …’sinvestment decision (like political risk) – substantiallydecreases investment. Also effort to obtain the capital usedfor investment …

Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically … stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the … order terms are taken into account, a balanced solution emerges. The theory is applied to empirical examples from the …