The main tools and cocepts of financial and actuarial theory are designed to handle standards, or even small risk. The aim of this paper is to reconsider some selected financial problems, in a setup including infrequent extreme risks. We first consider investors maximizing the expected utility...

In modeling disequilibrium macroeconomic systems which one would want to subject to econometric estimation one typically faces the problem of whether the structural model can determine a unique equilibrium. The problem inherits a special form because the regimes in which the equilibria can lie...

An efficient portfolio maximizes the expected utility of future wealth. This paper presents an analysis of the efficiency frontier, formed by a set of efficient portfolios corresponding to a parameterized class of utility functions. First we discuss the estimation of Tan efficient portfolio and...

The main tools and concepts of financial and actuarial theory are designed to handle standard, or even small risks. The aim of this paper is to reconsider some selected financial problems, in a setup including infrequent extreme risks. We first consider investors maximizing the expected utility...

In this paper, we introduce a new class of models for count endogenous variables, i.e. the additive log-differentiated probability models (ALDP). This class is similar to the semi-parametric proportional hazard models used for duartion data, and has some interesting implications in terms of...