178 research outputs found
Empirical Tests of Models of Catastrophe Insurance Futures
No full textThe authors empirically investigate models of insurance futures derivatives contracts. In the fall of 1993 the Chicago Board of Trade (CBOT) started trading a contract designed to scrutinize catastrophic risk, which is currently done in the reinsurance markets. There are obvious advantages to trading on organized exchanges (standardization, liquidity, much reduced credit risk, etc.) as opposed to OTC markets. There has so far been little academic on these contracts. In this paper we look at the price history for the first two years within the context of a pricing model of Aase [1995]. This paper was presented at the Financial Institutions Center's May 1996 conference on "
Kunnskapsgrunnlag for regional utviklingsplan: perspektiv, metodar og analysar i ein samproduksjonsprosess i Vestland fylke
No full textNotatet presenterar perspektiv, metodar og resultat frå arbeidet med kunnskapsgrunnlaget for Utviklingsplan for Vestland 2024-2028 regional planstrategi, på oppdrag for Vestland fylkeskommune. Kunnskapsgrunnlaget sitt hovuddokument er Utfordringsrapport for utviklingsplan for Vestland 2024-2028 regional planstrategi, som ligg til grunn for politisk behandling. Dette notatet gjer greie for heilskapen i prosjektet, som handlar om berekraftig regional utvikling, og korleis forskingsmiljøet har samprodusert kunnskapsgrunnlaget saman med fylkeskommunen.
Dokument i kunnskapsgrunnlaget:
NIBR-rapport 2023:3 Vestland fylke og regionane - nokre eigenskapar og utviklingstrekk ved samfunn og berekraft. Forfattar: Knut Onsager NIBR.
Utfordringsrapport for utviklingsplan for Vestland 2024-2028 regional planstrategi. Publisert av Vestland fylkeskommune. https://www.vestlandfylke.no/planlegging/regional-planlegging/kunnskapsgrunnlag-utivklingsplan-2024-2028/
Vestlandsscenarier 2040. Forfattar: Jan Dietz. Publisert av Vestland fylkeskommune. https://www.vestlandfylke.no/planlegging/regional-planlegging/kunnskapsgrunnlag-utivklingsplan-2024-2028/
NIBR-notat 2023:107. Kunnskapsgrunnlag for regional utviklingsplan: perspektiv, metodar og analysar i ein samproduksjonsprosess i Vestland fylke. Forfattarar: Heidi Bergsli, Jan Dietz, Knut Onsager, Lars Chr. Monkerud og Aase Kristine Lundberg.publishedVersio
Long Dated Life Insurance and Pension Contracts
No full textWe discuss the "life cycle model" by first introducing a credit market with only biometric risk, and then market risk is introduced via risky securities. This framework enables us to find optimal pension plans and life insurance contracts where the benefits are state dependent. We compare these solutions both to the ones of standard actuarial theory, and to policies offered in practice. Two related portfolio choice puzzles are discussed in the light of recent research, one is the horizon problem, the other is related to the aggregate market data of the last century, where theory and practice diverge. Finally we present some comments on longevity risk and cohort risk.The life cycle model; pension insurance; optimal life insurance; longevity risk; the horizon problem; equity premium puzzle
Pareto Optimal Insurance Policies in the Presence of Administrative Costs
No full textIn his classical article in The American Economic Review, Arthur Raviv (1979) examines Pareto optimal insurance contracts when there are ex-post insurance costs c induced by the indemnity I for loss x. Raviv’s main result is that a necessary and sufficient condition for the Pareto optimal deductible to be equal to zero is c'(I) = 0 for all I >= 0. We claim that another type of cost function is called for in household insurance, caused by frequent but relatively small claims. If a fixed cost is incurred each time a claim is made, we obtain a non-trivial Pareto optimal deductible even if the cost function does not vary with the indemnity. This implies that when the claims are relatively small, it is not optimal for the insured to get a compensation since the costs outweighs the benefits, and a deductible will naturally occur. We also discuss policies with an upper limit, and show that the insurer prefers such contracts, but the insured does not. In Raviv’s paper it was also shown that policies with upper limits are dominated by policies with no upper limit, when there are ex-post costs to insurance. We show that the result is right, but the proof is wrong.Pareto optimal risk sharing; administrative costs in insurance; household insurance; XL-contracts
The Nash Bargaining Solution vs. Equilibrium in a Reinsurance Syndicate
No full textWe compare the Nash bargaining solution in a reinsurance syndicate to the competitive equilibrium allocation, focusing on uncertainty and risk aversion. Restricting attention to proportional reinsurance treaties, we find that, although these solution concepts are very different, one may just appear as a first order Taylor series approximation of the other, in certain cases. This may be good news for the Nash solution, or for the equilibrium allocation, all depending upon one’s point of view. Our model also allows us to readily identify some properties of the equilibrium allocation not be shared by the bargaining solution, and vice versa, related to both risk aversions and correlations.Nash’s Bargaining Solution; Equilibrium; Pareto Optimal Risk Exchange; Reinsurance Treaties; Uncertainty; Risk Aversion; Correlations; Multinormal Universe
The equity premium and the risk free rate in a production economy. A new perspective
No full textWe study a competitive equilibrium in a production economy, i.e., a system of prices at which firms’ profit maximizing production decisions and individuals’ preferred affordable consumption choices equate supply and demand in every market. We derive the equilibrium price of the firm and the equilibrium short term interest rate, the optimal consumption in society, as well as the risk premium on equity. Both a linear, and a nonlinear production technology are considered. For the linear one applied to the Standard and Poor’s composite stock price index for the last century, a risk premium of 0.062 corresponds to a relative risk aversion of 2.27. The model provides a riskfree interest rate for the period of 0.8%. The nonlinear model, however, highlights a hedging demand for the investors related to the real economy, which would, if taken into account, make the stock market of the last century less risky than it was perceived to be.Competitive equilibrium; production economy
The investment horizon problem: A resolution
No full textIn the canonical model of investments, the optimal fractions in the risky assets do not depend on the time horizon. This is against empirical evidence, and against the typical recommendations of portfolio managers. We demonstrate that if the intertemporal coefficient of relative risk aversion is allowed to depend on time, or the age of the investor, the investment horizon problem can be resolved. Accordingly, the only standard assumption in applied economics/finance that we relax in order to obtain our conclusion, is the state and time separability of the intertemporal felicity index in the investor’s utility function. We include life and pension insurance, and we also demonstrate that preferences aggregate.The investment horizon problem; complete markets; life and pension insurance; dynamic programming; Kuhn-Tucker; directional derivatives; time consistency; aggregation
Insider trading with partially informed traders
No full textThe single auction equilibrium of Kyle's (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle's assumption that the quantity traded by the noise traders is independent of the asset value, we assume that the noise traders are able to correlate their trade with the true price. This has several implications for the equilibrium, one being that the insider's expected profits decrease as the noise traders' ability to correlate positively improve. In the limit, the noise traders do not lose on average, and the insider makes zero expected profits. When the correlation is negative, we interpret this as manipulation. In this case the insider makes the highest expected profits, and the informativeness of prices is at its minimum.Insider trading; asymmetric information; strategic trade; correlated trade; partially informed noise traders
The equity risk premium: a solved puzzle : an emperical study of the recursive utility model with estimates for the wealth portfolio
No full textIn this thesis, we calibrate recursive utility models in discrete and continuous time, and find a
range of plausible preference parameters for the utility discount rate (), the relative risk
aversion and the elasticity of intertemporal substitution in consumption (EIS). When
challenging the consumption-based asset pricing model based on expected utility with our
collected data, we provide evidence for an ongoing equity premium puzzle in The United
States. Our results indicate that deriving the risk-free rate and risk premium by using recursive
utility, rather than expected utility, is a promising way to resolve the puzzle. We consider the
market portfolio to be an unfavourable proxy for wealth, argued by the low stock
participation as a consequence of inequality. Instead, we use our own estimates for the wealth
portfolio.nhhma
China : the next chapter in the Norwegian salmon adventure? : an exploratory study of Norwegian salmon exports to China
No full textThe purpose of this thesis is to explore and understand Norwegian salmon exporters’ perception
of the profitability and the approach to succeed in the Chinese market. We chose to explore
this topic due to the special circumstances that arose in the aftermath of the announcement
of a normalised bilateral relation between China and Norway. We have examined how
Norwegian salmon exporters assess the attractiveness of the Chinese market, and whether they
find it desirable to enter with Norwegian salmon. We have also investigated which factors that
may influence the success of Norwegian salmon exporters in China.
We have used a qualitative research methodology to get an in-depth understanding of how
Norwegian salmon exporters perceive and approach the Chinese seafood market. The data for
our research was primarily collected by interviewing eight Norwegian salmon export companies,
using a semi-structured interview technique. We wanted a diverse group of interview
subjects to get a more representative sample, and therefore chose companies that varied based
on the attributes size, geographical location, degree of former China experience, and whether
the exporter sold salmon from different producing countries.
In our study we found that Norwegian salmon exporters have high expectations for the Chinese
market, but there are some major issues that they need to be aware of and able to adapt to, in
order to make China a profitable market. Through the interviews we identified and analysed
six factors that may impact the success of Norwegian salmon exporters in China. These were:
presence, relations, approach to new relations, human resources, types of contract, and branding
and reputation. As further research, we suggest that a longitudinal study with subsequent
empirical testing should be conducted on the six identified factors, when more trade data on
Norwegian salmon to China are available.nhhma
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