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Markus Huggenberger
Title
Prof. Dr.
Last Name
Huggenberger
First name
Markus
Email
markus.huggenberger@unisg.ch
Phone
+41 71 224 7962
Now showing
1 - 4 of 4
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PublicationMultivariate crash risk( 2022)
;Chabi-Yo, FousseniThis paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH, and we empirically confirm that stocks with high MCRASH earn significantly higher future returns than stocks with low MCRASH. The premium is not explained by linear factor exposures, alternative downside risk measures, or stock characteristics. Extending market-based definitions of crash risk to other well-established factors helps to determine the cross-section of expected stock returns without further expanding the factor zoo.Type: journal articleJournal: Journal of Financial EconomicsVolume: 145Issue: 1Scopus© Citations 7 -
PublicationRisk pooling and solvency regulation: A policyholder's perspective( 2022-12)Albrecht, PeterType: journal articleJournal: Journal of Risk and InsuranceVolume: 89Issue: 4
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PublicationThe fundamental theorem of mutual insuranceThe essence of mutual insurance is the notion that re-distributing risk in a pool of risks is more beneficial than taking the risk alone. Interpreting ‘more beneficial’ as an increase in utility and considering sequences of exchangeable risks, we are able to formalize this notion from the policyholder’s perspective and demonstrate its validity for various alternative preference functionals (e.g., expected utility, Choquet expected utility, and distortion risk measures). To obtain this result, we exploit that for a sequence of exchangeable risks the corresponding sequence of arithmetical averages is a reversed martingale. We conclude that pooling risks is fundamental for understanding the mechanisms of insurance because it favourably affects the utility of policyholders, and we refer to this phenomenon as the ‘utility-improving effect of risk pooling’. Moreover, we demonstrate that the utility of the policyholder is (strictly) increasing with the size of the risk poolType: journal articleJournal: Insurance: Mathematics and EconomicsVolume: 75
Scopus© Citations 14 -