prices in the U.S. housing boom of the 2000s. In a general equilibrium model with incomplete markets and aggregate risk …

variables to aggregate catastrophe risk. The algorithms are based on direct and hierarchical copula trees. Computing speed comes … of the total risk. We test the performance of the presented models by accumulating ground-up loss for 29,000 risks …

the risk of extreme events since they appear as a natural extension of multivariate extreme-value theory to the level of …An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities … and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a …

We investigate whether spatial idiosyncratic risk plays an important role in explaining average housing prices in a … price functions that depends on idiosyncratic risk, among other factors. Empirically, we use a nonlinear spatial regression … model and identify a potential measure of idiosyncratic risk from sales data of individual residential properties in Ames …