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...

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...

We study asset allocation when the conditional moments of returns are partly predictable.

This Study investigates the determinants of European financial analyst's forecasts differential accuracy. We find that European financial analysts forecast accuracy is positively associated with analyst firm specific experience and the number of companies covered by the analysts.

To obtain the maximum benefit from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction stemming from the lowe correlation existing between assets of different countries. The question that we raise in this...

Diversification opportunities in Euroland appear to have improved significantly since the dvent of the euro, thus invalidating the prospects identified in the last years of the convergence-to-EMU period. We identify hwo frequency movements in the time series of return dispersions suggestive of...

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...

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...