A first-order concern regarding sustainable finance is that it may crowd out individual support for more effective, policy-driven approaches to address societal challenges. We test the validity of this concern in a pre-registered experiment in the context of a real referendum on a climate law...

Hedge fund indices have grown in numbers over the recent years and made their presence widespread through a number of providers. Assets linked to hedge fund indices currently exceed $12 billion, and the debate is now focusing on whether they should be considered as eligible assets for UCITS III...

The Munich chain-ladder reserving method was introduced on an axiomatic basis. We analyze these axioms and we define a modified Munich chain-ladder reserving method which is based on an explicit stochastic model. This stochastic model then allows to consider claims prediction and prediction...

Chapter Summary: We consider the recent financial crisis as an overlapping sequence of interdependent financial bubbles followed by their collapse. Governments and regulatory agencies have made it a prime goal to moderate future crises. Many attempts at financial, economic and social engineering...

There has been a long debate about whether speculators are stabilizing or not. We consider a model where speculators have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs liquidity providers in normal times, namely their...

We give a rigorous definition of best-estimate reserves for insurance liabilities in a general multiperiod financial market setting. In this general multiperiod financial market setting we describe payoff spaces and optimal dynamic hedging strategies. Based on this optimal dynamic hedging...

Using quarterly data over 1973:4-2008:2, two-variable systems of house prices and income are specified for three major house-owning economies: New Zealand (N.Z.), the U.K. and the U.S. After considering differences in price−income relationships over sub-periods, the analysis compares responses...

This paper studies actual (real) house prices relative to fundamental (real) house values in New Zealand for the period 1970-2005. We find disparities between actual and fundamental house prices in the early 1970s and 1980s and from 2000 to date. These deviations are found to be substantially...

We use a new data set to study the determinants of the performance of open-end actively managed equity mutual funds in 27 countries. We find that mutual funds underperform the market overall. The results show important differences in the determinants of fund performance in the U.S. and elsewhere...

Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former are extreme events by definition and the latter can accelerate adverse market developments. This work disentangles the two sources and examines which one does the greater damage...