Georges Dionne

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The objective of this paper is to investigate the use of tick-by-tick data for market risk measurement. We propose an Intraday Value at Risk (IVaR) at different horizons based on irregularly time-spaced high-frequency data by using an intraday Monte Carlo simulation. An UHF-GARCH model extending the framework of Engle (2000) is used to specify the joint(More)
The identi…cation of information problems in di¤erent markets is a challenging issue in the economic literature. This paper performs tests of asymmetric information in the French automobile insurance market for the 1995-1997 period. This market is characterized by the presence of a regulated experience-rating scheme (bonus-malus). Contract choices are(More)
Existing research on insurance contract theory emphasizes information problems and demand side issues when explaining contract structure. Supply-side factors, especially risk considerations at the insurer, have received much less attention. In this paper, we extend the optimal contracting framework of Raviv (1979) to explore how background risk at the(More)
Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility functions can exhibit either …rst-order or second-order (conditional) risk aversion. We extend the concept of orders of conditional risk aversion to orders of conditional dependent risk aversion. We show that …rst-order conditional dependent risk(More)
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