traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there …

annuities. The model incorporates mortality, inflation, and real interest rate risk. The model draws some interesting …

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate … endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …

and the determination of the optimal asset allocation using discount rates that ap-propriately reflect default risk. We …

consider human capital risk, the international diversification puzzle is worse than we think, is based on an econometric …: considering the human capital risk does not unequivocally worsen the puzzle and in some cases helps explaining it. …

investigate a model that incorporates three sources of risk: asset risk and salary (or labour-income) risk in the accumulation … phase; and interest-rate risk at the point of retirement. We propose a new form of terminal utility function, incorporating … presence of non-hedgeable salary risk. We compare the performance of stochastic lifestlying with some popular strategies used …