.S. property liability insurance industry, we examine the impact of different dependence structure between market risk and … underwriting risk of insurance portfolio on the economic capital measured by Value-at-Risk (VaR) and Expected Shortfall (ES). We … copula to describe the dependence structure in an insurance setting where different type of risk factors coexists. The result …

We empirically compare the consistency among several measures of risk-taking and patience by evaluating how these … for a possible measurement problem by applying an error-in-variables regression yields mixed results …

risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT … must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at … Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are …

compute analytically risk measures as VaR or TVaR, and consequently the associated diversification benefit. The explicit … formulas constitute ideal tools to analyse the properties of risk measures and diversification benefit. We use standard models …

preferences. Full insurance cannot be rejected. As the risk-sharing as-if-complete-markets theory might predict, estimated risk …We show how to use panel data on household consumption to directly estimate households’ risk preferences. Specifically …, we measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model, which we …

This paper analyzes optimal risk sharing among agents that are endowed with either expected utility preferences or with … dual utility preferences. We find that Pareto optimal risk redistributions and the competitive equilibria can be obtained … agent of dual utility maximizers. The representative agent of expected utility maximizers resembles an average risk …

developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not …

efficiency E of the optimal hedge, and the correlation rho is given by E = 1 - sqrt(1 - rho^2)This means that basis risk is … assumptions on distributions. The mathematics of our result are not new. Arguments like this are used in the theory of Monte Carlo …

In this paper we first extend the theory of almost stochastic dominance (ASD) (for risk averters) to include the ASD … for risk-seeking investors. We then study the relationship between ASD for risk seekers and ASD for risk averters …. Recently, Tsetlin, et al. (2015) develop the theory of generalized almost stochastic dominance (GASD). We then briefly discuss …