Narrow search
Showing 1 - 10 of 243
Cover Image
Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle
Dionne, Georges - 2006
necessarily mean a contradiction of modern portfolio-choice theory and does not cast doubt on the rationality of investors. From …
Persistent link: https://www.econbiz.de/10012732728
Cover Image
Optimal Auditing for Insurance Fraud
Dionne, Georges - 2003
This article aims at making a bridge between the theory of optimal auditing and current procedures applied to audit …
Persistent link: https://www.econbiz.de/10012739467
Cover Image
Book Review of Credit Risk : Pricing, Measurement, and Management
Dionne, Georges - 2004
Credit risk is the major challenge for risk managers and market regulators. Banks, regulators and central banks do not agree on how to measure credit risk and, more particularly, on how to compute the optimal capital that is necessary for protecting the different partners that share this risk....
Persistent link: https://www.econbiz.de/10012737876
Cover Image
A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors
Dionne, Georges - 2010
An important research area of the corporate yield spread literature seeks to measure the proportion of the spread that can be explained by factors such as the possibility of default, liquidity, tax differentials and market risk. We contribute to this literature by assessing the ability of...
Persistent link: https://www.econbiz.de/10013136262
Cover Image
Coherent Diversification Measures in Portfolio Theory : An Axiomatic Foundation
Koumou, Gilles Boevi - 2019
This paper provides an axiomatic foundation of the measurement of diversification in a one-period portfolio theory … measures. We offer the first step towards a rigorous theory of correlation diversification measures. We propose a set of nine … theories under risk: the expected utility theory and Yaari's dual theory. We explore whether useful methods of measuring …
Persistent link: https://www.econbiz.de/10012902969
Cover Image
Coherent Diversification Measures in Portfolio Theory : An Axiomatic Foundation
Koumou, Gilles Boevi - 2019
This paper provides an axiomatic foundation of the measurement of diversification in a one-period portfolio theory … measures. We offer the first step towards a rigorous theory of correlation diversification measures. We propose a set of nine … theories under risk: the expected utility theory and Yaari's dual theory. We explore whether useful methods of measuring …
Persistent link: https://www.econbiz.de/10012890804
Cover Image
Chapter 5. Insurance and Insurance Markets
Dionne, Georges; Harrington, Scott E. - In: Handbook of the economics of risk and uncertainty : volume 1, (pp. 203-261). 2014
Kenneth Arrow and Karl Borch published several important articles in the early 1960s that can be viewed as the beginning of modern economic analysis of insurance activity. This chapter reviews the main theoretical and empirical contributions in insurance economics since that time. The review...
Persistent link: https://www.econbiz.de/10014025527
Cover Image
A Review of Recent Theoretical and Empirical Analyses of Asymmetric Information in Road Safety and Automobile Insurance
Dionne, Georges - 2012
Road safety policies and automobile insurance contracts often use incentive mechanisms based on traffic violations and accidents to promote safe driving. Can these mechanisms improve road safety efficiently? Do they reduce asymmetric information between drivers and insurers and regulators? In...
Persistent link: https://www.econbiz.de/10013111921
Cover Image
First-Order (Conditional) Risk Aversion, Background Risk and Risk Diversification
Dionne, Georges - 2011
Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of conditional risk aversion to orders of conditional dependent...
Persistent link: https://www.econbiz.de/10013127810
Cover Image
When Can Expected Utility Handle First-Order Risk Aversion?
Dionne, Georges - 2016
Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of conditional risk aversion to orders of conditional dependent...
Persistent link: https://www.econbiz.de/10013007752