state. It is shown that the steady state of the PtDR is jointly influenced by consumption risk, risking sharing, and the … demographic structure. Among those consumption risk is the dominating factor in shaping the variations in the steady state of the …

This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define … various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the … inflation rate and examine its impact on pension liabilities under the aspect of model risk. Under consideration of different …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

The long-run risk model introduced by R.Bansal and A.Yaron (2004) assumes the existence of a small predictable … persistence levels of shocks to consumption growth. In this paper the original long run risk model is extended introducing a novel …. Correspondingly the relations between equity return variations, cash flow risk and persistent fluctuations in the consumption mean are …