In this paper portfolio allocation strategies based onn a recently developed autoregressive conditional heteroscedasticity model (QTARCH) are constructed for the US and the UK and compared with strategies relying on the conventional Markowitz approach.

This paper tests the existence of a risk premium in the one-month and three-month forward exchange markets.

This survey compares different portfolio selection frameworks, namely the common mean-variance analysis versus different mean-downside risk analysis, to determine which of these frameworks leads to the most efficient portfolio selection.

In this paper, we use the hedonic approach to estimate the value of a statistical life based on the 1995 Swiss Labour Force Survey (SLFS) and the 1994 Swiss Wage Structure Survey (SWSS). Roughly, the value of a statistical life in Switzerland ranges from CHF 10 to 15 million (6.5-9.5 million...

This paper adopts a normative approach to catastrophe insurance. It addresses the question of how innovations in the design of insurance contracts could help resolve the capacity gap in the provision of insurance against natural catastrophes. It extends previous research with the same approach...

The paper reviews the evolution in insurance economics over the past 25 years, by first recalling the situation in 1973, then presenting the developments and new approaches which flourished since then. The paper argues that these developments were only possible because steady advances were made...

In this paper, we investigate the optimal timing and location for deep geological disposal of nuclear waste. Our model is based on the real options approach to investment under uncertainty. In this context, the problem is similar to the optimal exercise policy for a perpetual American spread option.

In this paper, we present a version of the multivariate risk premium for additive risks and the necessary and sufficient conditions to compare global attitudes towards multivariate risk. The link between this risk premium and well-known partial multivariate risk premiums is then investigated.

This article examines, under the Dual Theory of Choice (Yaari (1987)), the classical results and their extensions on self-insurance, self-protection and market insurance obtained by Ehrlich and Becker (1972) under the expected utility hypothesis. In particular, background risk, non-reliability,...

This paper presents an experimental investigation of risk taking in the domain of losses. The experiments are conducted with students in several universities during introduction rudiments to expected utility theory and risk behaviour. The results are partly compatible with expected utility...