rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to …

with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion and …

scenarios. Insurance companies carry the risk of losses in exchange for a premium, which depends on the loss distribution …. Another example where risk is exchanged for a fixed price is swap contracts. Electricity futures can be seen as swaps where …: the average value-at-risk and power distortion principle. In the second part of this thesis, we bring together insurance …

assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … - and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

rate and risk premiums using recursive utility in a continuous time model. We consider the version of recursive utility … which gives the most unambiguous separation of risk preference from time substitution, and use the stochastic maximum …

international economics featuring incomplete risk sharing can be analyzed using the tools of the theory of recursive contracts. …In this chapter we study dynamic incentive models in which risk sharing is endogenously limited by the presence of …—the theory of recursive contracts. Recursive formulations allow us to reduce often complex models to a sequence of essentially …