Abstract
This note is a summary of a COTOR-VALCON discussion on the relationship between an insurer’s risk and cost of capital. The focus is two fold: on the applicability of the capital asset pricing model (CAPM), and on the effects of financial frictions.
Keywords. CAPM; cost of capital; financial frictions; shareholder value; financial economics.
Volume
Spring
Page
1-11
Year
2009
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Actuarial Applications and Methodologies
Valuation
Publications
Casualty Actuarial Society E-Forum
