Results 1 to 10 of about 9,057 (304)
Downside Variance Risk Premium [PDF]
SSRN Electronic Journal, 2015 We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside variance risk premium is the main component of the variance risk premium, and that the skewness risk ...
Bruno Feunou +2 more
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Determination of the natural disaster insurance premiums by considering the mitigation fund reserve decisions: An application of collective risk model [PDF]
Decision Science Letters, 2022 In Indonesia, natural disasters cases have significantly increased from time to time and have the largest impact on economic losses. To avoid losses in the future due to natural disasters, the insurance company needs to estimate the risk and ...
Sukono Sukono +6 more
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The Variance Risk Premium in Equilibrium Models [PDF]
SSRN Electronic Journal, 2020 Abstract The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The variance risk premium is positive and shows only moderate persistence. High variance risk premiums coincide with the left tail of the consumption growth distribution shifting down. These facts, together with risk-
Bekaert, Geert +2 more
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Time-consistent robust investment-reinsurance strategy with common shock dependence under CEV model. [PDF]
PLoS ONEThis paper investigates the optimal robust equilibrium investment and reinsurance strategy in a model with common shock dependent claims for an ambiguity-averse insurer (AAI). Suppose that the insurance company can purchase proportional reinsurance whose
Lu Li, Zhijian Qiu
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Cyber Insurance Premium Setting for Multi-Site Companies under Risk Correlation
Risks, 2023 Correlation in cyber risk represents an additional source of concern for utility and industrial infrastructures, where risks may be introduced by connected systems. A major means of reducing risk is to transfer it through insurance.
Loretta Mastroeni +2 more
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Term structure of interest rates with short-run and long-run risks
Journal of Finance and Data Science, 2022 We find that interest rate variance risk premium (IRVRP) — the difference between implied and realized variances of interest rates — is a strong predictor of U.S.
Olesya V. Grishchenko +2 more
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Credit Variance Risk Premiums [PDF]
SSRN Electronic Journal, 2019 AbstractThis paper studies variance risk premiums in the credit market using a novel data set of swaptions quotes on the CDX North America Investment Grade and High‐Yield indices. The returns of credit variance swaps are negative and economically large, irrespective of the credit rating class.
Manuel Ammann, Mathis Moerke
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The Capital Asset Pricing Model
Encyclopedia, 2021 The capital asset pricing model (CAPM) is an influential paradigm in financial risk management. It formalizes mean-variance optimization of a risky portfolio given the presence of a risk-free investment such as short-term government bonds.
James Ming Chen
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Bond Variance Risk Premiums [PDF]
Review of Finance, 2017 Abstract This paper studies variance risk premiums in the Treasury market. We first develop a theory to price variance swaps and show that the realized variance can be perfectly replicated by a static position in Treasury futures options and a dynamic position in the underlying. Pricing and hedging is robust even in the underlying jumps.
Choi, Hoyong, Mueller, P, Vedolin, A
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THE RISK PREMIUM IN THE FOREIGN EXCHANGE MARKET. THE APPLICATION OF ARCH-IN-MEAN MODEL
Quantitative Methods in Economics, 2020 Forward premium anomaly is one of the most popular puzzles in the theory of international finance. The phenomenon is explained by, among others, the existence of non-zero risk premium in the foreign exchange market. The paper applies ARCH-in-mean models
Katarzyna Czech
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