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Found 1 - 25 of 31 matching your search criteria.

1. An Introduction to Catastrophe Insurance Futures
   The goal of the paper is to introduce catastrophe insurance futures and options...
2. Arbitrage Free Risk Loads For Brokers
   When actuaries write about an insurance pricing formula, they first identify the formula in question and then discuss the pros and cons of it...
3. Asset Pricing at the Millennium
   This paper surveys the field of asset pricing...
4. Asset Pricing Models and Insurance Ratemaking
   This paper provides an introduction to asset pricing theory and its applications in non-life insurance...
5. Catastrophe Risk Bonds
   This article examines the pricing of catastrophe risk bonds...
6. Distribution-Based Pricing Formulas Are Not Arbitrage-Free
   A number of actuarial risk-pricing methods calculate risk-adjusted price from the probability distribution of future outcomes...
7. Distribution-Based Pricing Formulas Are Not Arbitrage-Free [Author's Reply]
   ...
8. Distribution-Based Pricing Formulas Are Not Arbitrage-Free [Discussion]
   David Ruhm's paper is a welcome addition to the actuarial literature...
9. Distribution-Based Pricing Formulas Are Not Arbitrage-Free [Discussion]
   David Ruhm is entirely correct that risk load formulas based on transforming probability distributions of contract outcomes cannot guarantee arbitrage-free prices...
10. General Properties of Option Prices
    [Discussion]...
11. How Financial Theory Applies to Catastrophe-Linked Derivatives - An Empirical Test of Several Pricing Models
    ...
12. Martingale Approach to Pricing Perpetual American Options
    The method of Esscher transforms is a tool for valuing options on a stock, if the logarithm of the stock price is governed by a stochastic process with stationary and independent increments...
13. Multifactor Explanations of Asset Pricing Anomalies
    Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cash flow/price, book-to-market equity, past sales growth, long-term past return, and short-term past return...
14. Multifactor Portfolio Efficiency and Multifactor Asset Pricing
    The concept of multifactor portfolio efficiency plays a role in Merton's intertemporal CAPM (the ICAPM), like that of mean-variance efficiency in the Sharpe-Lintner CAPM...
15. On arbitrage opportunities on some types of financial market defined by fractional Brownian motion
    The problem of the presence and absence of arbitrage conditions on the three types of (B,S)- market is considered in this paper...
16. On Esscher Transforms in Discrete Finance Models
    ...
17. On the Applicability of the Wang Transform for Pricing Financial Risks
    In an arbitrage-free economy, it is well-known that financial risks can be priced using equivalent martingale measures...
18. Performance measurement with the arbitrage pricing theory: A new framework for analysis
    This paper develops a theory and econometric method of portfolio performance measurement using a competitive equilibrium version of the Arbitrage Pricing Theory...
19. Premium Calculation Implication of Reinsurance without Arbitrage
    A competitive market does not allow arbitrage, but some premium calculation principles one might find on a standard list would create arbitrage possibilities...
20. Premium Calculation Implications of Reinsurance without Arbitrage
    Constraints imposed on premium calculation principles are studied under one aspect of competitive market theory: the impossibility of systematic arbitrage...
21. Premium Calculation without Arbitrage - Author's Reply on the Note by Albrecht
    Albrecht's interesting discussion raises two major points: is an arbitrage free insurance market a reasonable assumption, and are adjusted distribution principles appropriate?...
22. Premium Calculation without Arbitrage? - A Note on a Contribution by G. Venter
    Stimulated by a recent contribution by G...
23. Reinsurance in Arbitrage-Free Markets
    Applies arbitrage-free pricing principles to reinsurance pricing...
24. Risk and Return in an Equilibrium APT : Application of a new Test Methodology
    We use an asymptotic principal components technique to estimate the pervasive factors influencing asset returns and to test the restrictions imposed by static and intertemporal equilibrium versions of the arbitrage pricing theory (APT) on a multivariate regression model...
25. Semiautoregression Approach to the Arbitrage Pricing Theory, A
    This paper develops a semiautoregression approach to estimate factors of the arbitrage pricing theory (APT) which describes asset returns slightly better than the CAPM, although there is still some mispricing in the APT model...

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