the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which … specifications for the stochastic rare disaster probability and show that the data favor a multifrequency process. Finally, we show …

disastrous income risk. We first empirically explore the relations among consumption changes, aggregate income, disaster shock … income risk to which the agent is exposed and her income recovery post disaster jointly affect the agent’s optimal decisions … important role of insurance with a focus on the recovery of income in a disaster. We highlight how extent of the disastrous …

feasibility evaluation of Disaster Risk Reduction, DRR programs. This paper proposes a simplified methodology to estimate the …A cost-benefit analysis can be a milestone for the probabilistic seismic risk assessment of building portfolios. This … risk assessment, followed by estimating of net cash flows in terms of social and market prices. The final profitability and …

substantial impact of doing so. In short, the risk climate can and should be incorporated in a stress test. Second, we provide a … to a trade-off between the competing objectives of minimizing risk and maximizing return. We achieve this with a scenario …-constrained mean-variance optimization that can incorporate extreme risk and other non-Gaussian effects. We illustrate our methods in …

. This implies the problem of the so-called basis risk, resulting from the fact that, in contrast to traditional reinsurance … some very attractive economic features: Besides their usefulness as a solution to the problems of moral hazard and default … risk, an important advantage of cat bonds can be seen in presumably lower risk premiums compared to (re)insurance products …

, we specify a top-down affine factor model in which a catastrophic risk component is incorporated in order to capture the …