Browse Research
Viewing 3976 to 4000 of 7690 results
1998
I have been asked to comment on the paper prepared by members of the American Academy of Actuaries Fair Valuation of Liabilities Task Force (hereafter Task Force). The Task force has done a commendable job in presenting and making sense of the numerous approaches that have been applied toward the valuation of insurance liabilities.
1998
This study examines characteristics and valuation of claim loss reserves of property casualty insurers. Using SEC disclosures of revisions (development) in loss reserve estimates, we document substantial serial correlation in loss reserve development, indicating that reported loss reserves do not fully reflect available information, consistent with management exercising discretion over reported loss reserves.
1998
The Economics of Property-Casualty Insurance presents new research and findings on key aspects of the economics of the property-casualty insurance industry. The volume explores the industrial organization, regulation, financing, and taxation of this business. The first paper, on external financing and insurance cycles, contains a wealth of information on trends and patterns in the industry‘s financial structure.
1998
This article considers the strengths and weaknesses of value-based management approaches based upon the residual income (RI) concept as the basis for incentive-based reward systems. The objective of these systems is to encourage optimal corporate investment selection by divisional managers and to encourage them to act as if they were independent owners of their divisions sharing a proportion of all losses and all profits.
1998
A number of property-liability insurance pricing models which attempt to integrate underwriting and investment performance considerations have been proposed, developed, and/or applied. Generally, empirical tests of these models have involved examining how well the models fit historical data at an industry level.
1998
A number of property/casualty insurance pricing models that attempt to integrate underwriting and investment performance considerations have been proposed, developed, and/or applied. Generally, empirical tests of these models have involved examining how well the models fit historical data at an industry level.
1998
The equity risk premium is a vital tool in a variety of applications, including portfolio management, financial analysis and corporate valuation. However, it is complex to estimate and must be used with meticulous care. Issue 30 of Quants, written by Richard Dalaud and Gilbert Soubie, presents a model of the risk premium of the French equity market.
1998
Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) hypothesize that asset return volatility is a deterministic function of asset price and time, and develop a deterministic volatility function (DVF) option valuation model that has the potential of fitting the observed cross section of option prices exactly.
1998
This paper studies the term structure of real rates, expected inflation and inflation risk premia. The analysis is based on new estimates of the real term structure derived from the prices of index-linked and nominal debt in the U.K. I find strong evidence to reject both the Fisher Hypothesis and versions of the Expectations Hypothesis for real rates.
1998
Suppose the ICAPM governs asset prices and there is a total of S state variables that might be of hedging concern to investors. Can it be determined which state variables are, in fact, of hedging concern? What does it mean to say that these state variables are prices, that is, that they give rise to special risk premiums in expected returns? The goal of a paper is to formulate this problem clearly and show when it can and cannot be solved.
1998
Practitioners needing estimates of a firm‘s equity cost of capital have long relied on the Capital Asset Pricing Model (CAPM). Recent evidence casts renewed doubt on the validity of the CAPM and beta. However, there is not much evidence to gauge the importance of the rejections of the CAPM in a practical decision-making context. Evidence is presented on the sources of error in estimating required returns over time.
1998
A framework is developed for analyzing the capital allocation and capital structure decisions facing financial institutions. The model incorporates 2 key features: 1. Value-maximizing banks have a well-founded concern with risk management. 2. Not all the risks they face can be frictionlessly hedged in the capital market.
1998
We consider two models in which the logarithm of the price of an asset is a shifted compound Poisson process. Explicit results are obtained for prices and optimal exercise strategies of certain perpetual American options on the asset, in particular for the perpetual put option. In the first model in which the jumps of the asset price are upwards, the results are obtained by the martingale approach and the smooth junction condition.
1998
This article is a self-contained survey of utility functions and some of their applications. Throughout the paper the theory is illustrated by three examples: exponential utility functions, power utility functions of the first kind (such as quadratic utility functions), and power utility functions of the second kind (such as the logarithmic utility function).
1998
It is shown that a distribution-free implicit price loading method, which sets prices using a modified Hardy-Littlewood majorant of the stop-loss ordered maximal random variable by given range, mean and variance, induces distribution-free safe layer-additive distortion pricing. As a by-product, Karlsruhe pricing turns out to be a valid linear approximation to Hardy-Littlewood pricing in case the coefficient of variation is sufficiently high.
1998
The process of estimating an industry cost of capital is complicated by the fact that many firms operate in multiple industries. Conglomerates are typically excluded from a pure-play industry analysis since their operations span more than one line of business. We argue that excluding these firms introduces and upward bias into industry beta estimates.
1998
This paper estimates the cost of equity capital for Property/Casualty insurers by applying three alternative asset pricing models: the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), and a unified CAPM/APT model (Wei, 1988).
1998
Accentuate the positive or accentuate the negative? The literature has been mixed as to how the alternative framing of information in positive or negative terms affects judgments and decisions. We argue that this is because different studies have employed different operational definitions of framing and thus have tapped different underlying processes. We develop a typology to distinguish between three different kinds of valence framing effects.
1998
Costs of equity for individual firms are estimated in a Bayesian framework using several factor-based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whose average return departs significantly from the pricing model‘s prediction.
1998
This paper uses a contingent claims framework to develop a financial pricing model of insurance that overcomes one of the main shortcomings of previous models ‐ the inability to price insurance by line in a multiple line insurer subject to default risk. The model predicts prices will vary across firms depending upon firm default risk, but within a given insurer prices should not vary after controlling for line-specific liability growth rates.
1998
This paper uses a contingent claims framework to develop a financial pricing model of insurance that overcomes one of the main shortcomings of previous models - the inability to price insurance by line in a multiple line insurer subject to default risk. The model predicts prices will vary across firms depending on firm default risk, but within a given insurer prices should not vary after controlling for line-specific liability growth rates.
1998
This book explores theoretical and practical implications of reflecting the fair value of liabilities for insurance companies. In addition, the contributions discuss the disclosure of these values to the financial and regulatory communities and auditing firms which are actually calculating this illusive but important variable.
1998
In this article I introduce a relatively new method for calculating risk load in insurance ratemaking: the use of proportional hazards (PH) transforms. This method is easy to understand, simple to use, and supported by theoretical properties as well as economic justification.
1997
Catastrophe insurance derivatives (Futures and options) were introduced in December 1992 by the Chicago Board of Trade in order to offer insurers new ways of hedging their underwriting risk. Only CAT options and combinations of options such as call spreads are traded today, and the ISO index has been replaced by the PCS index.
