such insurance lines, securitizationis rapidly emerging as an alternative form of risk transfer. The ultimatesuccess of … separate components, one of which is atype of systemic risk that is highly correlated amongst insureds. Such acorrelated …, which illustrate ourmethodology in several types of insurance markets subject to systemic risk. …

literature that, when there is (only) risk type uncertainty, the optimal GR contract with renewal price set at the actuarially … fair price for low risk types provides full insurance against reclassification risk. We develop a model that includes … unpredictable (and unobservable) fluctuations in demand for life insurance as well as changes in risk type (observable) over …

) the comparison of the degree of risk aversion for consumption and for LTC expenditures, and (iii) the income level of …

We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs … resulting from an increased risk exposure. We find that when the shock distribution displays "fat" tails, extreme segmentation …

Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk … rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more … than doubles. Hence, risk matters more in the recalibrated model. However, the recalibrated model does worse in capturing …

of optimal risk-sharing in mortgage contracts. But since only a small literature has studied this question, more research … termination via prepayment or default affects optimal risk-sharing. The broad conclusion of the analysis is that potential … mortgage termination makes higher risk exposure for borrowers optimal. …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …