discuss the demand for reinsurance. Moral hazard issues and alternative risk transfer mechanisms (securitization) are studied … risk sharing in the reinsurance market …Insurance activities cannot be solely based on pooling arguments as issued policies share common risk drivers which can …

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term … structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets …

This paper analyzes the impact of asset price bubbles on a firm's standard risk measures, including value-at-risk (VaR …) and conditional value-at-risk (CVaR). Comparing a bubble and non-bubble economy, it is shown that asset price bubbles … the standard risk measures is due to the increased right skew in a firm value's distribution due to bubble expansion. The …

Conditional Value at Risk (ECoVaR) for an intraday asset return and the corresponding market return. In particular we analyze GAS …