Current Research

Working Papers

This paper analyzes the optimal portfolio, consumption, and energy-efficiency investment decisions of a Dutch household facing energy price risk during retirement using a continuous-time life-cycle model. The household can reduce its exposure to energy price risk through energy-efficiency home renovations, modeled as an impulse-control problem in which the household chooses whether and when to upgrade its home’s energy label. Energy prices follow a regime-switching jump-diffusion process calibrated to Dutch residential gas prices around the 2022 energy crisis. While a simple net present value calculation suggests label upgrades are beneficial for most households, our model shows that many households optimally delay or forgo renovation despite the positive NPV. We identify biometric risk and liquidity constraints as the main drivers of this reluctance. Our results show how energy price, house price, and biometric risk jointly shape household portfolio composition and energy-efficiency renovation timing, with implications for policy aimed at promoting residential energy efficiency.

Presented at: AREUEA International Conference 2026; Finance Brown Bag Seminar (Maastricht University); Finance Seminar (University of Konstanz)

Work in Progress

I am currently working on the following projects, which are at various stages of development.

  • Asset Pricing, Monetary Policy, and Physical Climate Risk (with Carina Fleischer), early stage

This paper analyzes the interaction between physical climate risk, inflation, and monetary policy from an asset pricing perspective. We find evidence that climate shocks increase inflation in the short run. We embed this effect in a general equilibrium asset pricing model that builds on observable risk factors rather than latent factors.

We provide a simple model of the carbon premium that allows for biodiversity and climate risks. This analysis sheds light on the complex ways in which climate and biodiversity risks interact and how stock markets respond to these interconnected risks as they become more salient over time. We present empirical evidence on U.S. stock data that investors indeed jointly price firms’ exposure to climate transition risk and biodiversity risk. Our findings suggest that an increase in biodiversity risk increases stock returns, the more so if the company has higher emissions. Investors are thus more concerned about future financial performance of high-emission firms when biodiversity risk is high. This effect has become stronger after the Paris Agreement.

Presented at: QFAS Workshop (Tilburg University)

  • Climate Transition Risk in a Non-cooperative World (with Djep Dorelijers and Frederick van der Ploeg), first draft coming soon

We develop a tractable multi-country framework of climate risk with endogenous growth, international trade, recursive preferences, and strategic climate policy interactions. Countries transition between business-as-usual, moderate climate policy, and ambitious climate policy with transitions between regimes governed by a political Markov chain. We derive closed-form solutions for the social cost of carbon, optimal controls, and equilibrium exchange rates. We show that political transition risk affects asset prices through precautionary savings channels distinct from climate and macroeconomic disaster risk. Our calibration strategy matches both macroeconomic moments and asset pricing data across multiple regions, providing quantitative insights into the economic costs of policy uncertainty and delayed climate action in a non-cooperative world.

Presented at: CEMA Annual Meeting; Second Workshop on “Macroeconomic Perspectives on Climate Change” (University of Freiburg); QFAS Workshop (Tilburg University); Environmental Economics Seminar (Tilburg University)

This project aims to analyze the interaction between physical climate risk and credit risk in an international economy. Countries have access to an international capital market, where they can emit bonds and trade bonds of other countries. We study how market frictions such as borrowing constraints can become binding after a climate-related disasters and determine optimal carbon taxes under those constraints.

This paper examines optimal insurance and adaptation decisions of households facing physical climate risks in the form of flood events. We develop a stochastic control problem where households must balance consumption, portfolio allocation, and risk management strategies when exposed to flood risk. The household can purchase flood insurance to transfer risk and invest in property to repair damages. We characterize optimal decision rules for insurance coverage, repair timing, and investment choices under uncertainty about flood frequency and severity. The results show that flood risk significantly affects household wealth accumulation and portfolio composition. These findings have implications for insurance market design and understanding household behavior in response to escalating physical climate risks.

Presented at: QFAS Workshop (Tilburg University)

In this study, we examine the effects of delays and cost overruns that frequently accompany the supply of public infrastructure in a rising economy. Our findings imply that uncertainty regarding the arrival of public funding can more than outweigh its beneficial productivity spillovers to the private sector. Unanticipated delays in the distribution of public capital cause excessive consumption and insufficient private investment in a decentralized economy, relative to the first-best optimal. In the presence of delays in the supply of public goods, a social planner allocates more resources to private investment and fewer resources to consumption, relative to the first-best outcome in the canonical model (without delays). In addition to reducing equilibrium growth, the existence of delays results in a divergent growth path relative to that predicted by the standard model. This shows that delays in public capital provision may be a possible cause of income and economic development disparities between nations.

Permanent Working Papers (available for download from SSRN)

PDE Solver

I have developed a Matlab solver for parabolic (and elliptic) partial differential equations, which are common in finance and economics. As an example, the solver can determine the value function in an endowment economy with recursive preferences of the Epstein-Zin type leading to semi-linear PDEs, and can handle consumption plus two continuous state variables driven by Brownian and Poissonian shocks, as well as two (directed or undirected) Markov chains. Similarly, it can be applied to option pricing solving parabolic PDEs of the Black-Scholes type. Moreover, it can easily be extended to Hamilton-Jacobi-Bellman equations and more involved state variable dynamics. If you are interested in the solver, please get in touch with me.