Supported by several recent investigations the empirical pricing kernel paradox might beconsidered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presentedwhich suggest that this paradox might be caused by regime switching of stock prices in financialmarkets....

Generalized single-index models are natural extensions of linear models and circumvent the so-called curse of dimensionality. They are becoming increasingly popular in many scientific fields including biostatistics, medicine, economics and financial econometrics. Estimating and testing the model...

Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets....

We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution...

Supported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact. Based on an economic model with state dependent preferences for the financial investors, we want to emphasize a microeconomic view that succeeds in explaining the puzzle. We...

Supported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact. Based on an economic model with state dependent preferences for the financial investors, we want to emphasize a microeconomic view that succeeds in explaining the puzzle. We...

Motivated by a recent demographic study establishing a link betweenmacroeconomic fluctuations and the mortality index kt in the Lee-Cartermodel, we assess the impact of macroeconomic fluctuations on the solvencyof a life insurance company. Liabilities in our stochastic simulationframework are...

A deferred annuity typically includes an option-like right for thepolicyholder. At the end of the deferment period, he may either choose toreceive annuity payouts, calculated based on a mortality table agreed to atcontract inception, or receive the accumulated capital as a lump sum.Considering...

Many business people such as farmers and financial investors are affected by indirect losses caused by scarce or abundant rainfall. Because of the high potential of insuring rainfall risk, the Chicago Mercantile Exchange (CME) began trading rainfall derivatives in 2011. Compared to temperature...

Recently the topic of global warming has become very popular. The literature has concentrated its attention on the evidence of such effect, either by detecting regime shifts or change points in time series. The majority of these methods are designed to find shifts in mean, but only few can do...