The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as...

We develop a continuous-time intertemporal CAPM model that allows for risky beta exposure, which we explicitly specify. In the model, the expected return on a stock depends on beta's co-movement with market variance and more generally with the stochastic discount factor and deviates from the...

This paper analyzes the risks in random sets and their implications for basket derivatives. Based on an extension of integration by parts for random set, we define stochastic dominance of order 1 and 2 for random sets. Since the ordering of sets, that is the inclusion, is a partial order, we...