The basis for this paper is the pricing of multi-period rate of return guarantees. These guarantees can typically be found in life insurance and pension contracts. We derive closed form solutions, expressed by the cumulative ...

With greater penetration of renewable generation, the uncertainty faced in electricity markets has increased substantially. Conventionally, generators are assigned a pre-dispatch quantity in advance of real time, based on ...

In this paper, we study the performance of prediction intervals in situations applicable to electricity markets. In order to do so we first introduce an extension of the logistic mixture autoregressive with exogenous ...

Norwegian distribution companies have been subjected to an incentive regulation scheme from 1997, and the efficiency incentives were further strengthened with the introduction of yardstick regulation in 2007. We examine ...

What drives extreme economic events? Motivated by recent theory, and events in US subprime markets, we begin to open the black box of extremes. Specifically, we extend standard economic analysis of extreme risk, allowing ...

Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial ...

We present results from the first large-scale international survey on risk preferences, conducted in 45 countries. We show substantial cross-country differences in risk aversion, loss aversion and probability weighting. ...

This is the first paper to consider a mixed oligopoly in which a public Stackelberg leader competes with both domestic and foreign private firms. The welfare maximizing leader is shown to always produce less than under ...

I study a local manager's incentives to invest in the research of new opportunities, when the implementation of some projects requires the participation of more than one unit. A central manager can select projects or ...