Agent based models take into account limited rational behaviour of individuals acting on financial markets. Explicit simulation of this behaviour and the resulting interaction of individuals provide a description of aggregate financial market time series. Al-though the outcomes of such...

In practical portfolio choice models risk is often defined as VaR, expected shortfall, maximum loss, Omega function, etc. and is computed from simulated future scenarios of the portfolio value. It is well known that the minimization of these functions can not, in general, be performed with...

Severe natural catastrophes in the early nineties have brought about a lack of financial capacity in the catastrophe line of the global reinsurance market. The finance industry reacted to this situation by issuing innovative products designed to spread the excess risk more widely among...

In this paper I propose a general model of repeated strategic interaction with possibly private information, which is particulary suitable to study learning processes.

In this study we investigate the EU’s economic, environmental and innovation performances from a sector-based perspective. We correlate the various sectors’ performances, taking into account the role of changing specialization. In addition, we examine environmental sector performance related...

In this paper we consider a deterministic complete information two groups contest where the effort choices made by the teammates are aggregated into group performance by the weakest-link technology (perfect complementarity), that is a "max-min group contest", as defined by Chowdhury et al....

We characterise the set of equilibria in a deterministic group contest with the weakest-link impact function, continuous efforts and a private good prize, complementing the results obtained by Chowdhury et al. (2016). We consider a two-stages two-groups model, where in the first stage the agents...

This paper introduces the fundamentals of extreme value theory as well as practical aspects for estimating and assessing statistical models for tail-related risk measures.