This paper uses a unique data set on more than 600,000 mortgage contracts to estimate a credit supply function which allows for risk-heterogeneity. Non-linearity is modelled using quantile regressions. We propose an instrumental variable approach in which changes in the tax treatment of housing...

In actuarial modelling of risk pricing and loss reserving in general insurance, also known as P&C or non-life insurance, there is business value in the predictive power and automation through machine learning. However, interpretability can be critical, especially in explaining to key...

We use unique data on banks' private risk assessments of corporate borrowers to quantify how competition among banks affect the risk sensitivity of interest rates in the Norwegian credit market. We show that an increase in competition makes corporate lending rates less sensitive to banks' own...

Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two-dimensional space of utility and risk. This is a rather general pattern....

This paper addresses whether and to what extent econometric methods used in experimental studies can be adapted and applied to financial data to detect the best-fitting preference model. To address the research ques- tion, we implement a frequently used nonlinear probit model in the style of Hey...

Unemployment insurance replacement rates world-wide are well below 100 percent, a fact often attributed to search moral hazard concerns. As Blanchard and Tirole (2008) have illustrated, however, neither search nor layoff moral hazard (firing cost) distortions need arise in first-best insurance...

High speed railway (HSR) planners aim to select locations that optimize the overall utility or benefit of HSR stations by satisfying various desirable requirements. Among other factors, accessibility and environmental impact are important considerations for HSR station location selection. The...

We are interested in defining the optimal retirement age by socio-economic class, given a Defined Benefit and a Notional Defined Contribution scheme. We firstly implement a utilitarian framework. Depending on the risk aversion coefficients and individual time preference factors, the results...

We develop an extension of the familiar linear mixed logit model to allow for the direct estimation of parametric non-linear functions defined over structural parameters. A classic application is the estimation of coefficients of utility functions to characterize risk attitudes. There are...