Browse Research
Viewing 1651 to 1675 of 7690 results
2009
Breeden [Breeden, D. T. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7, 265-196] and Grinols [Grinols, E. L. (1984). Production and risk leveling in the intertemporal capital asset pricing model. The Journal of Finance 39, 5, 1571-1595] and Cox et al. [Cox, J. C., Ingersoll, J. E., Jr., & Ross, S. A. (1985).
2009
This paper identifies and assesses unique risks faced by overseas development projects in three aspects: political risk, economy/financial risk, culture risk. Response strategies are recommended to these risks. The paper also briefly discussed some integrated risk management models proposed by researchers to manage risk for overseas development projects.
2009
The Intergovernmental Panel on Climate Change Fourth Assessment Report (2007) indicates that unanticipated catastrophic events could increase with time because of global warming. Therefore, it seems inadequate to assume that arrival process of catastrophic events follows a pure Poisson process adopted by most previous studies (e.g. [Louberge, H., Kellezi, E., Gilli, M., 1999.
2009
This paper examines the recent experience with insurance and other risk-financing instruments in developing countries in order to gain insights into their effectiveness in reducing economic insecurity. Insurance and other risk financing strategies are viewed as efforts to recover from negative income shocks through risk pooling and transfer.
2009
By providing financial security against droughts, floods, tropical cyclones and other forms of weather extremes, insurance instruments present an opportunity for developing countries in their concurrent efforts to reduce poverty and adapt to climate change.
2009
This paper focuses on inconsistencies arising from the use of NPV and CAPM for capital budgeting.
2009
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.
2009
Equity default swaps (EDS) are hybrid credit-equity products that provide a bridge from credit default swaps (CDS) to equity derivatives with barriers. This paper develops an analytical solution to the EDS pricing problem under the Jump-to-Default Extended Constant Elasticity Variance Model (JDCEV) of Carr and Linetsky.
2009
New Orleans faces unique types of catastrophic risk resulting from a combination of factors that include potential levee failure, land subsidence, coastal erosion, rising sea level, and stronger and more frequent storm activity. A comprehensive hazard mitigation strategy would address these unique types of catastrophic risks in addition to addressing the standard types of repetitive risk already covered by conventional approaches.
2009
We provide evidence supporting Rubinstein's (1973) model that if returns are not normal, measuring risk requires more than just measuring covariance. Higher-order systematic comoments should be important to risk-averse investors who are concerned about the extreme outcomes of their investments.
2009
A major part of the literature on non-life insurance reserve risk has been devoted to the ultimo risk, the risk in the full run-off of the liabilities. This is in contrast to the short time horizon in internal risk models at insurance companies, and the one-year risk perspective taken in the Solvency II project of the European Community.
2009
The aim of the mechanism described in this statement is to discourage the forms of short term funding that create and amplify systemic risk. It also arranges some prepayment of intervention costs and constitutes a starting step to ensure that public assistance to banks during systemic crises occurs on time and is based on ex ante rules
2009
In this paper we review Bernstein and grid-type copulas for arbitrary dimensions and general grid resolutions in connection with discrete random vectors possessing uniform margins. We further suggest a pragmatic way to fit the dependence structure of multivariate data to Bernstein copulas via grid-type copulas and empirical contingency tables.
2009
In this paper we investigate the adequacy of the own funds a company requires in order to remain healthy and avoid insolvency. Two methods are applied here; the quantile regression method and the method of mixed effects models. Quantile regression is capable of providing a more complete statistical analysis of the stochastic relationship among random variables than least squares estimation.
2009
Life insurance products have profit sharing features in combination with guarantees. These so-called embedded options are often dependent on or approximated by forward swap rates. In practice, these kinds of options are mostly valued by Monte Carlo simulations. However, for risk management calculations and reporting processes, lots of valuations are needed. Therefore, a more efficient method to value these options would be helpful.
2009
This paper re-examines the tests of the Sharpe-Lintner Capital Asset Pricing Model (CAPM). The null that the CAPM intercepts are zero is tested for ten size-based stock portfolios and for twenty five book-to-market sorted portfolios using five-year, ten-year and longer sub-periods during 1965-2004.
2009
We propose a new approach to the estimation of the portfolio Value-at-Risk. Based on the assumption that the same macroeconomic factors affect returns of all assets in a portfolio, this methodology allows the generation of the sequence of hypothetical future equilibrium portfolio returns given the historical values of the underlying macroeconomic factors and the asset betas with respect to these factors.
2009
We compare two prominent approaches to capital allocation in insurance firms. The financial theory approach includes Merton and Perold (1993) and Myers and Read (2001). The cooperative game theory approach utilizes concepts such as the Shapley value and the Aumann-Shapley value.
2009
There are two important sources of uncertainty: randomness and fuzziness. Randomness models the stochastic variability of all possible outcomes of a situation, and fuzziness relates to the unsharp boundaries of the parameters of the model. In this sense, randomness is largely an instrument of a normative analysis that focuses on the future, while fuzziness is more an instrument of a descriptive analysis reflecting the past and its implications.
2009
We study the possibility for international diversification of catastrophe risk by the insurance sector. Adopting the argument that large insurance losses may be a globalizing factor for the industry, we study the dependence of geographically distant insurance markets via equity returns. In particular, we employ conditional copula theory to model the bivariate dependence of the insurance industry.
2009
In this paper we estimate the equity beta and cost of capital of Japanese property liability insurance companies. For this, we obtain the overall equity beta and cost of capital for each company and then estimate the equity beta and cost of capital by the business lines. To obtain a company’s overall equity beta, we use the one-factor capital asset pricing model (CAPM) and the three-factor Fama-French (FF) model.
2009
This paper considers the worst-case Conditional Value-at-Risk (CVaR) in the situation where only partial information on the underlying probability distribution is available. The minimization of the worst-case CVaR under mixture distribution uncertainty, box uncertainty, and ellipsoidal uncertainty are investigated.
2009
Insurance mechanisms have been proposed as tools that could aid the process of adaptation to climate change in developing countries.
2009
Risk continues to be a widely discussed topic within the field of finance. Academicians add risk variables to their quantitative models, while financial practitioners include risk considerations in their qualitative deliberations. In both contexts, risk — together with some measure of profit or return — generally comprise a dual or composite criteria for investment decision-making purposes.
2009
Survey and option data are used to take a fresh look at the equity premium puzzle. Survey data on equity returns (Livingston survey) shows much lower expected excess returns than ex post data. At the same time, option data suggests that investors tend to overestimate the volatility of equity returns. Both facts contribute towards solving the puzzle.
