-varying heterogeneity between agents in their demand for insurance against aggregate risk. Formally, we build an infinite-horizon model … where agents face an aggregate risk, but also different levels of idiosyncratic risk. We manage to characterize analytically …

both the level and the slope of the yield curve. Moreover, time-variations in liquidation risk are shown to help explain …

arises from a mixture of idiosyncratic risk and fixed (or predictable) heterogeneity, making the two challenging to …

the importance of idiosyncratic entrepreneurial risk -- a risk that introduces, not only a precautionary motive for saving …

the most important sources of individual risk and cross-sectional heterogeneity? Second, what are individuals' key … channels of insurance? Third, how does idiosyncratic risk interact with aggregate risk? …

with the Arrow/Romer approach to endogenous growth to analyze the interaction of risk, growth, and inequality, the latter …. Major results include that growth, inequality, and risk are positively related in our model, but we also identify a hump …–shaped relationship between welfare and risk, indicating a tradeoff relationship between risk–pooling and growth in the determination of …

This paper examines qualitative properties of efficient insurance contracts in the presence of background risk. In … order to get results for all strictly risk-averse expected utility maximizers, the concept of “stochastic increasingness” is … used. Different assumptions on the stochastic dependence between the insurable and uninsurable risk lead to different …

Can public insurance through redistributive income taxation improve the allocation of risk in an economy in which … private risk sharing is limited? The answer depends crucially on the fundamental friction that limits private risk sharing in … the first place. If risk sharing is incomplete because some insurance markets are missing for model-exogenous reasons (as …

This paper proposes an econometric framework to estimate market risk prices associated with risk-neutral measures Q … under incomplete markets. We show that, under incomplete markets, the market price of risk is not point-identified but is …-1284) partial identification framework to construct a set estimator and confidence regions for the identified set of market risk …

the study is to investigate empirically the implied risk aversion for a representative agent in the option market, as a … model using historical price returns. The implied risk aversion is found by numerically inverting the indifference pricing … explains the stylized facts of returns rather well, we expect the implied risk aversion to be close to flat with respect to …