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Nascimento, Sílvia Mendes Barata Pinto do. "Methodologies for the calculation of non-life premium provisions in solvency II environment." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7732.
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Mestrado em Ciências ActuariaisNo regime de Solvência II, é estabelecido um novo conceito na avaliação das provisões técnicas, nomeadamente para as provisões para prémios. Estas provisões estão relacionadas com sinistros que ocorrem depois da data de fecho do exercício, decorrentes de apólices em vigor, e durante o restante período de cobertura das mesmas. Para tal, é necessário projetar os cash flows de todos os futuros montantes pagos de sinistros e despesas de gestão dos mesmos, cash flows de despesas de administração das apólices em vigor e cash flows de prémios futuros expetáveis dessas mesmas apólices. A avaliação destas provisões deve ter em conta o valor temporal do dinheiro, a melhor estimativa não deve incluir margens de prudência e deve ser calculada como a soma do valor atual dos custos futuros subtraída do valor atual dos prémios futuros esperados. Neste contexto, a presente dissertação tem como principal objetivo apresentar diferentes metodologias para o cálculo destas provisões nos ramos Não Vida e analisar o impacto das fronteiras dos contratos e do fracionamento dos prémios no cálculo das mesmas, para duas linhas de negócio, Automóvel Responsabilidade Civil e Automóvel Outras Coberturas. Sendo uma recente área de investigação, três diferentes metodologias são propostas e os resultados obtidos, para as linhas de negócio consideradas, são analisados e comparados com as provisões equivalentes existentes em Solvência I, em termos de ganhos/perdas no nível de fundos próprios.
Under the Solvency II regime, a new concept in the valuation of technical provisions is established, namely for the premium provisions. These provisions relate to claims events occurring after the valuation date and during the remaining in-force coverage period of policies. The cash flow projection should comprise all future claims payments and claims management expenses arising from those events, cash flows arising from ongoing administration of the in-force policies and expected future premiums stemming from those contracts. The valuation of such provisions should take account of the time value of money, the best estimate (B.E.) should not include margins and the calculation should be done summing the present value of all future costs subtracted by the present value of all expected future premiums. In this context, this dissertation aims to present different methodologies to calculate Non-Life premium provisions and to analyse the impact of the contract boundaries of the policies and the number of instalments of the premiums on its calculation, for two lines of business (LoBs), Motor Vehicle Liability Insurance and Other Motor Insurance. As this is a recent investigation area, three different methodologies are proposed and the results, for the LoBs considered, are analysed and compared with the Solvency I equivalent provisions, in terms of gains/losses on the level of own funds.
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Khan, Zainul Abedin. "Risk premiums associated with exculpatory clauses." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/tape17/PQDD_0022/MQ31392.pdf.
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Dorbor, Sylvia Saygbay Diamond. "Attribution-based parametric insurance: towards affordable premiums." Master's thesis, Faculty of Science, 2021. http://hdl.handle.net/11427/32627.
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To deal with the adverse impacts of climate change, index-based or parametric insurance has been recognized as an adaptation technique to compensate farmers for economic losses from extreme weather events. The insurance can be either private or sovereign. African Risk Capacity Insurance (ARC Ltd) offers the latter to African countries against drought events through contingency planning, risk pooling and transfer facilities. While the ARC insurance initiative seems promising, the current approaches used to estimate risk and determine premiums do not consider the change in risk from anthropogenic climate change. As the frequency of extreme weather events changes, the price of insurance premiums is likely to rise. Representing a cutting-edge science from weather to impact attribution, this study links attribution modelling with parametric insurance modelling to quantify how the probability of drought events has changed due to human influence on the climate system and translates the impacts into actual costs. To quantify this change, global climate models consisting of both factual and counterfactual world (with and without human forcing of climate, respectively) experiments were post-processed and used as rainfall inputs into an insurance risk modelling software, Africa RiskView. Estimated response costs needed for drought assistance in a world with and without climate change were calculated in Malawi, Zimbabwe, Senegal and Mauritania for the last 30 years. The empirical cumulative distribution function plots show that the distributions of models that represent the counterfactual natural world estimate lesser drought-affected population and lower response costs for assistance than those of the factual world distributions. The results suggest that climate change is likely to increase the price of insurance premiums. Therefore, there is a need for blended financing models that integrate international climate funds generated on a responsibility-based approach to cater for the added cost brought in by climate change.
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Spadafora, Stacy E. "Marine Insurance Liability: An Analysis of Mutuality vs. Fixed Premiums." Thesis, Virginia Tech, 2002. http://hdl.handle.net/10919/35263.
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This paper deals with the pricing differences between a mutual co-operative underwriting system and a fixed-premium underwriting system in providing coverage for marine liability. There has been much debate in recent years within the marine liability underwriting industry over which method fosters more competition, and hence, lower premiums for shipowners who are required to carry such coverage in order to operate. This paper will look at the current mutual marine insurance industry (Protection & Indemnity Associations or P&I Clubs) to compare its pricing both before and after the entry into the market of the fixed-premium underwriters, using data from 1985-2000 that encompasses both a major loss cycle and normal cyclical pricing variations. This analysis will hopefully provide information on whether mutual premium levels for the P&I Clubs differed substantially with the entry of the fixed-price competitors. This is important for the individual shipowners belonging to these mutual underwriting associations, because any variation in premium pricing could mean the potential for either great savings or tremendous losses.Master of Arts
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Posner, George. "Do Seat Belt Laws Drive Up Insurance Premiums?" Scholarship @ Claremont, 2012. http://scholarship.claremont.edu/cmc_theses/423.
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If you have to wear a seat belt when you drive, are you safer? Intuitively, it may seem that the answer is yes. After all, if you are wearing a seat belt and get in an accident, you are half as likely to die, and 62% of fatal accident victims were not wearing seat belts at the time of accident. The Centers for Disease Control and Prevention, the National Highway and Transportation Safety Administration, the Governors' Highway Safety Administration, and many other organizations highly recommend wearing seat belts. The NHTSA claims that in 2010 alone, approximately 12,500 deaths were prevented by seat belt use alone. Seat belt laws clearly reduce the chance of death to vehicle occupants in a given auto accident.
In response to these findings, the federal government has made the release of highway funds to states contingent on the passage of state laws mandating seat belt adoption. Laws mandating seat belt use, along with extensive campaigns to raise public awareness, have caused seat belt use to rise from 69% in 1998 to 88% in 2009. As of this writing, laws mandating the use of seat belts when driving have been passed in every state save New Hampshire. Intuitively, this should make roads safer because seat belts make an accident more survivable.
Does wearing a seat belt, however, make that accident more likely to occur in the first place? If a driver wears a seat belt now and I didn't before, does he feel safe enough to take more risk? In this paper, I examine this question using insurance premiums as a proxy for the likelihood of an accident. The rest of the paper is organized as follows. Section 2 offers background information, including a framework with which to interpret a driver’s actions and a review of the relevant literature. Section 3 contains details on the data analyzed. Section 4 covers the results of my preliminary data analysis, model specifications, and robustness checks. Section 5 concludes.
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Sun, Guohong. "Risk premiums and their applications in ruin probabilities." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0002/MQ41784.pdf.
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Pitselis, Georgios. "On robust credibility models for premiums, including weighted regression." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape11/PQDD_0023/NQ38826.pdf.
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Loker, Randall (Randall David). "Height premiums for seaside community condominiums : an empirical analysis." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/33197.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Architecture, 2005.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (leaf 54).
This thesis investigates the value that condominium buyers in oceanfront communities place on how high above the ground their home will be. It is assumed that buyers will pay a premium for height, but to date no study has been performed to quantify what that value is, and how it changes throughout the height of a given building. A semi-log regression equation is employed to isolate the impact of vertical location on price, and as expected, price does increase with floor height. The regression results conclude that for oceanfront buildings, condominium prices (relative to floors 1-10) are 6.1% higher for floors 11-20, 12.8% higher for floors 21-30 and 13.5% higher for floors 31-40. For buildings on Biscayne Bay or the intercoastal waterway, condominium prices are 7.7% higher for floors 11-20, relative to the ground floors, and 9.1% higher for floors 21-30. The data for this study comes from the Miami Beach, Florida MLS database including transactions occurring from June 2003 through May 2004 on condominiums within a 5-mile radius of South Beach, the area's most valuable real estate. The results should be applicable to other oceanside communities, but not necessarily to urban centers where the relationship between height and view is likely to be significantly different.
by Randall Loker.
S.M.
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Duvenage, Andrew Jonathan. "Determinants of premiums in acquisitions of JSE listed companies." Diss., University of Pretoria, 2011. http://hdl.handle.net/2263/25816.
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The success of an acquisition is not measured solely through market reaction or the ability to integrate the target, but also by the ability of acquiring firms to conclude the transaction at a price that does not fully erode the net present value benefits of the transaction. The aim of this research is to identify factors that result in and influence the premiums that are paid in acquisitions. The research then aims to analyse these independent variables in terms of their influence on acquisition premiums. Out of 11,927 transactions by JSE listed companies during the years 2000 – 2009, only 30 transactions met the defined sample criteria. Target firm characteristics, acquiring firm characteristics, and transaction characteristics were investigated to assess the predictive power of the independent variables as individual factors and as components of a multivariate framework that explain the premiums paid in corporate acquisitions on the JSE. Only two independent variables, namely managerial performance and acquiring firm leverage, were identified as significantly predictive variables for either market value or book value premiums through the use of more than one analytical technique. Results were not consistent across both book value premiums and market value premiums, and it was found that conflicting results materialised when different techniques were used to analyse the data. The conclusion of the study is that the variables analysed had limited predictive ability; there was a high incidence of outlying data, which significantly influenced the results of the study; and that the sample was smaller than ideal, and it would be advisable for further studies to get a larger sample by either changing the sample criteria, or by looking at data over a longer time period.Dissertation (MBA)--University of Pretoria, 2011.
Gordon Institute of Business Science (GIBS)
unrestricted
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Malik, Mahfuja. "The impact of targets' social performance on acquisition premiums." Thesis, Boston University, 2014. https://hdl.handle.net/2144/11128.
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Thesis (Ph.D.)--Boston UniversityThis study examines whether the corporate social responsibility (CSR) performance of the target firms influences the acquisition premiums paid by the acquirers. Using U.S. public merger and acquisition (M&A) deals, I found that acquisition premiums increase in the targets' perceived CSR quality, an effect incremental to previously documented drivers of such premiums. These findings are robust to (1) using four proxies for CSR measures, and (2) using three proxies for acquisition premiums. Greater value-enhancing and synergistic capabilities of targets with superior quality CSR, acquirers' environmental, social and reputational risk protection needs, and market imperfections- related incorrect valuation of CSR activities are possible explanations for this observed positive association between targets' CSR and acquisition premiums. Analysis specific to each CSR attribute reveals that targets' environmental performance has positive and the strongest effects on acquisition premiums. In addition, superior-quality community and diversity influence acquisition premiums significantly and positively. However, this analysis does not indicate any consistent association between target firms' product attributes and acquisition premiums. Additionally and perhaps more strikingly, this investigation reports a significant negative association between targets' employee relations and acquisition premiums. Additional tests document that the positive association between target firms' perceived CSR quality and acquisition premiums is stronger for acquirers with high quality CSR and large targets. Overall, in this study, I combine the CSR and M&A literature by demonstrating that superior quality CSR performance affects acquisition premiums positively. Thus, this study expands our understanding of the value-enhancing role of CSR by studying the M&A market.
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Salinas, Patricia Carrión. "Calculation of gratuity and kidnap for ransom insurance premiums." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/20088.
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Mestrado em Actuarial ScienceEste relatório é o resultado de um estágio de seis meses realizado em March R.S. como parte do mestrado em ciências atuariais. O trabalho realizado durante o estágio ajudou a colocar em prática os conceitos atuariais estudados durante os primeiros anos e meio do mestrado. O relatório se concentra no benefício de gratificação e no seguro de seqüestro para resgate, onde o objetivo de cada parte é calcular os prêmios usando valores aleatórios. Este relatório consiste em três capítulos, e cada um deles começa apresentando a cobertura da apólice e, em seguida, detalhando cada produto. No terceiro capítulo, é feita uma extensa pesquisa de mercado sobre o Kidnap for Ransom Insurance, onde é levantada a questão de como as seguradoras avaliam esse tipo de seguro e, em seguida, usando métodos atuariais, são fornecidas algumas respostas. Para esse tipo de seguro, um determinado portfólio é levado em consideração e, usando a base de razão de perda, os métodos MLE e GLM para calcular o valor esperado das gravidades e o número de sinistros, o prêmio é calculado. Por outro lado, o prêmio de gratificação é calculado usando a fórmula pura de doação. Uma vez encontrado o prêmio para um determinado portfólio, ele é comparado com as diferentes cotações fornecidas por algumas companhias de seguros que citaram esse seguro usando o mesmo conjunto de dados usado para este relatório.
This report is a result of a six months internship held at March R.S. as a part of the Master's in Actuarial Science. The work done during the internship helped put into practice the actuarial concepts studied during the first one and a half years of the Master's. The report focuses on Gratuity Benefit and Kidnap for Ransom insurance, where the objective for each part is to calculate the premiums using random values. This report consists of three chapters, and each of them begins by introducing the policy coverage and then getting into more details for each product. In the third chapter, and extended market research on Kidnap for Ransom Insurance is done, where the question of how the insurers price this kind of insurance is raised and then using actuarial methods some answers are given. For this kind of insurance, a given portfolio is taken into account, and by using the loss ratio basis, MLE and GLM methods to calculate the expected value of severities and the number of claims, the premium is calculated. On the other hand, the Gratuity premium is calculated using the pure endowment formula. Once the premium for the given portfolio is found, it is compared with the different quotations given by some insurance companies that quoted this insurance using the same data set that was used for this report.
info:eu-repo/semantics/publishedVersion
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Zimbidis, Alexandros A. "Control theory and insurance systems." Thesis, City University London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.287673.
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Akkam, Nawras, and Ambele Bih Norberter Andusa. "The First Time Assurance on Sustainability Reports and Risk Premiums." Thesis, Umeå universitet, Företagsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-114730.
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The economic utility of sustainability has been a recent domain under scrutiny by several academicians. More specifically, researchers have investigated the positive effects of sustainability reporting on firms from different angles. One of these angles is sustainability’s effect on firms’ prestige in the market, which is inevitably connected to market indicators, such as, risks and returns. Consequently, this research paper is positioned as a complement to previous researchers’ work within the field of sustainability reporting and its positive effects on firms. This paper’s foremost aspiration is to fill a knowledge gap in research by finding empirical evidence whether the first time assurance on sustainability reports causes a lower subsequent cost of equity capital. For this matter, the researchers’ methodology was deductive in nature, which relied on investigating established theories that are connected to the two dimensions of the research question; cost of equity capital and assurance on sustainability reports. This investigation formed the researchers’ theoretical schemata upon which they both neglected certain theories in favour of others and formed a verifiable theoretical research hypothesis. In this research, Sweden, a country known for its dedication for sustainability, was chosen as a market from which a sample was collected. The researchers conducted their study in a panel format where the same information about 44 different companies was collected on several years. Due to the fact that the number of listed firms that had been reporting their sustainability reports was quite moderate, a census study was convenient and applicable. The researchers ended up with a sample of 44 firms that constituted 352 observations, which formed the basis for the statistical inference. The empirical study employed several regression models of panels to reach the most representative model that fitted the data in hand. Also, to guarantee higher quality results the fitted model, the Two- way Error Component Fixed-effects Model, was tested for heteroskedasticity, cross- sectional correlation, autocorrelation and non-stationarity. This model revealed a relatively low explanatory power that drove the researchers to interpret their statistical findings with great caution. At a specific level of statistical significance, the regression model revealed a significant correlation between assurance on sustainability reports and a subsequent lower cost of equity capital. This result was refuted at higher levels of significance. Thus, the researchers were able to answer the research question affirmatively, to a certain extent, and to demonstrate that the research’s results verify the underpinnings of neo-institutional and signalling theories.
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Kim, Bonghan. "A study of risk premiums in the foreign exchange market." Connect to resource, 1994. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1265035198.
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Foran, Nicholas(Nicholas Joseph). "Bay Area Walk score premiums : unlocking value through neighborhood trends." Thesis, Massachusetts Institute of Technology, 2017. http://hdl.handle.net/1721.1/113477.
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Thesis: S.M. in Real Estate Development, Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate, 2017Cataloged from PDF version of thesis.
Includes bibliographical references (pages 40-43).
The digital age of real estate provides access to new data and techniques to evaluate properties. Real estate brokerage and technology firms are assembling this data to produce user-friendly scores that serve as powerful metrics to identify real estate trends and evaluate buyer behavior. This paper examines Redfin's "Walk score" that measures a location's walkability to amenities like grocery stores or parks and uses a hedonic pricing model to find the $/square-foot premium for high Walk scores in three communities in the San Francisco Bay Area. The data is composed of residential transactions from 2014 to early 2016 that are analyzed at the neighborhood level and normalized to improve the precision of the hedonic model. This neighborhood lens produces a more robust analysis than the broader data sets used in the majority of prior Walk score research. The results shown in this paper demonstrate that a high Walk score is highly correlated with increased property values in a broad range of communities with diverse socioeconomic characteristics. This study includes a framework for using Walk scores (and several related scores) by discussing the composition of the scores, economic principles underpinning them and the critical assumptions for hedonic regressions using Walk scores. These considerations are critical to assessing the real premium of Walk scores. The paper concludes with an analysis method for investors to use walk scores to identify real estate home-buying trends, find under-valued property and create development programs that leverage and build upon walkability.
by Nicholas Foran.
S.M. in Real Estate Development
S.M.inRealEstateDevelopment Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate
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Waldie, Kyle. "Determinants of risk premiums on forward contracts for Kansas wheat." Thesis, Kansas State University, 2014. http://hdl.handle.net/2097/17379.
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Master of ScienceDepartment of Agricultural Economics
Mykel Taylor
Forward contracts are one of the main tools used by producers to manage price risk because forward contracts shift the risk from producers to the grain elevator offering the contract. The elevators protect themselves from this risk by hedging, leaving them susceptible to basis risk, which they offset by adding a risk premium to the forward contracts they offer producers. This risk premium is affected by increased volatility and by differences in elevator-specific characteristics at elevator locations across Kansas. This study replicates the results in Taylor, Tonsor, and Dhuyvetter (2013) and adds a set of elevator-specific characteristics to measure their effect on risk premiums. A random effects generalized least squares model is estimated due to the data gathered being panel data. The contribution of this study is to further examine the drivers of risk premiums in forward contracts for Kansas wheat. The results indicate that all of the elevator-specific characteristics in the data set have a statistically significant impact on the value of risk premiums on forward contracts for Kansas wheat. The results also confirm the findings in Mallory, Etienne, and Irwin (2012) and Taylor, Tonsor, and Dhuyvetter (2013) that increased volatility post 2007 caused increases in risk premiums. The risk premiums after the structural break in 2007 increased by $0.069695/bushel, as the average risk premium prior to 2008 was $0.158682/bushel, while the average risk premium after 2007 was $0.228378/bushel.
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McKay, Sarah Michele. "Understanding Organic Prices: An Analysis of Organic Price Risk and Premiums." Thesis, Virginia Tech, 2016. http://hdl.handle.net/10919/71677.
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Organic food products are produced without synthetic chemicals, including herbicides, pesticides, and fertilizers. Food grown in organic systems that are certified organic by the United States Department of Agriculture command a price premium, whether it is direct to consumer via farmers markets or in conventional grocery stores. Organic food and food products are representing a relatively larger portion of overall food sales in recent years, and the demand for organic meat has also increased. However, there is a lack of available U.S.-grown organic grains and soybeans to feed the growing number of organic certified livestock to produce organic meat to meet this demand. This shortage results from many factors, yet is primarily due to organic production requirements for significantly more land and operating capital when compared to conventionally grown counterparts. There is a lack of information detailing the relative costs and returns of organic grain production, and, limited understanding of organic premiums. The overall goal of this study is to examine differences in price levels between organic and conventional corn, soybeans, wheat, oats, and barley between 2007 and 2015, as well as factors that may affect the organic premium. For organic grain and soybean producers, study findings reveal that the least risky organic commodities to grow include corn and soybeans, especially if sold in the cash market. However, the author suggests that growers may consider growing wheat, barley, and oats if they have a buyer willing to contract in advance to ensure a premium and reduce price risk. For purchasers of organic grains and soybeans, including major food companies as well as livestock producers, it is recommended they continue to study developments in organic grain supplies as producers continue to consider adoption of organic production methods.Master of Science
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Florig, Stephan [Verfasser], and M. [Akademischer Betreuer] Ulrich. "The Term Structure of Dividend Risk Premiums / Stephan Florig ; Betreuer: M. Ulrich." Karlsruhe : KIT-Bibliothek, 2019. http://d-nb.info/1197138730/34.
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McDonald, Jennifer. "Factors influencing premiums on local wines: an exploratory assessment of Kansas wine." Thesis, Kansas State University, 2016. http://hdl.handle.net/2097/32727.
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Master of AgribusinessDepartment of Agricultural Economics
Vincent R. Amanor-Boadu
While understanding consumer decisions about food choices is complex, the nature of wines makes it even more difficult to decipher how consumers arrive at their choices. Given the perceived importance of "local", how willing are consumers to pay for locally-produced wine? And, what characteristics of the wine influence the premium that consumers pay for it? These are the two related questions that this research seeks to address. The research uses a case study approach to explore how five wine characteristics of local Kansas wine influence the premium consumers are willing to pay. The five characteristics are appearance, aroma, body, taste and finish. The study uses four pairs of wine in the following groups: sweet white, dry white, semi-sweet red and dry red. Each pair is made up of a Kansas wine and a non-Kansas wine. A very well-defined set of focus group participants were invited to taste these wine without knowing the identity of the wines and score them according to their characteristics and then provide an indication of how much they are willing to pay. The case results indicate that the focus group participants were willing to discount Kansas wines in all cases of the four pairs. The factors affecting the discount were finish for sweet white wines, appearance for sweet red wines, taste and aroma for dry white and dry red wines. The implication of this exploratory case study is that while most local residents proclaim their willingness to pay a premium for local wines, when tested against national or international competitors, consumers are unwilling to pay a premium for these local wines because the local wines lack the desired quality the international wines have. The information is important because it provides direction for an entrepreneur seeking to develop local wines to focus on understanding and addressing the characteristics which influence consumers' willingness to pay a premium even as she determines which particular wines current players in the local Kansas industry has the potential to be competitive if they address the characteristics upon which they are penalized by consumers. This, despite this being an exploratory case study, it provides important direction for entrepreneurial action.
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Nikolova, Silviya Mroz Thomas A. "Health insurance transitions of SCHIP-eligible children in response to higher public premiums." Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2010. http://dc.lib.unc.edu/u?/etd,2957.
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Thesis (Ph. D.)--University of North Carolina at Chapel Hill, 2010.Title from electronic title page (viewed Jun. 23, 2010). "... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Department of Economics." Discipline: Economics; Department/School: Economics.
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Kaufman, Daniel Joseph. "Factors affecting the magnitude of premiums paid to target shareholders in corporate acquisitions /." Connect to resource, 1986. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1265131756.
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Fauntleroy, Ronald A. "An analysis of the marriage and dependency premiums among active duty Navy personnel." Monterey, California. Naval Postgraduate School, 2005. http://hdl.handle.net/10945/10030.
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MBA Professional ReportWithin the Navy, married active duty service members and unwed single sailors with dependents are entitled to receive additional benefits compared to their single counterparts. The majority of these benefits are received through increases in the service member's Basic Allowance for Housing, Family Separation Allowance and medical coverage for spouses and dependents. This study estimates how much these increases cost the Navy. Data acquired from the Center for Defense Manpower Data Center and the Center for Naval Analyses are used to determine the average increase in BAH, FSA and medical coverage costs for married sailors and unwed single sailors with dependents. Surprisingly, the pay premium for being married or having dependents ranges from only 4 percent to only 10 percent for all enlisted ranks of E-5 and above and for all officer ranks. This premium is well below the marriage premium in the civilian labor market. Also, it is far below the pay increment received from advancement to the next paygrade.
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Carlsson, Frida, and Malin Strömberg. "Is there a Real Estate Portfolio Premium? : An Empirical Analysis of Portfolio Premiums." Thesis, KTH, Fastigheter och byggande, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-298065.
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This thesis aims to explore if the existence of portfolio price premiums can be verified and if they differ in time and over property segments. The purpose is to contribute with valuable insights within the field of portfolio premiums in the real estate industry. In order to explore this further a regression model was developed. The model includes six portfolio variables controlling for size in the aspect of transactional value and number of properties included in the portfolio. We further test if the premium varies over property segments and over time. The data was provided by Cushman & Wakefield and consists of 825 property transactions. The results show that a portfolio premium for small, medium and large portfolios with a transactional value over 500 million SEK, and a discount on small portfolios with a transactional value below 500 million SEK is present. The premium was found to be 17.5% for small portfolios, 16.8% for medium sized and 26.3% for large portfolios. While premiums were found for portfolios with a transactional value over 500 million SEK an 13.7% discount was found for small portfolios with a transaction value below 500 million SEK. Which indicates that investors are willing to pay a premium, but only for larger portfolios. Furthermore, the only segment test with significant results were residential and industrial of which residential indicated a discount on small and medium portfolios with a transactional value over 500 million SEK and industrial indicated a discount on small portfolios with a transactional value over 500 million SEK. The test of variation of a portfolio premium over time gave mixed results and showed that investors payed a premium for medium and large portfolios with a transactional value over 500 million SEK during 2010 - 2015.Detta masterarbete syftar till att undersöka fenomenet portföljpremier och bidra till utökad kunskap om premier och möjliga förklaringar till varför de uppkommer. Författarna har undersökt om det går att kvantifiera den påstådda portföljpremien och om denna skiljer sig över fastighetsegmenten och tid. Syftet med arbete är att bidrag med värdefulla insikter och kunskap om portföljpremier inom fastighetsbranschen. För att kunna besvara frågeställningen utvecklade författarna en regressionsmodell. Modellen innehöll sex portföljvariabler som bland annat kontrollerade för storlek i förhållande till transaktionsvärde samt antal fastigheter inkluderade i portföljen. För att undersöka om premien varierade över fastighetssegment och med tid utfördes fem olika segmentstest och två års tester. Data som användes i regressionerna tillhandahölls av Cushman & Wakefield. Resultatet av studien visar att det finns en portföljpremie på små, medelstora och stora fastighetsportföljer med ett transaktionsvärde över 500 millioner kronor. Premien noterades till 17,5% för små portföljer, 16,8% för medelstora portföljer och 26,3% för stora portföljer. Medans en premie noterades för portföljer med ett transaktionsvärde över 500 millioner kronor kunde en rabatt om 13,7% hittas för små portföljer med etttransaktionsvärde under 500 millioner kronor. Segmenttesten som genomfördes gav blandade resultat. De test som gav signifikanta resultat var segmentstest för industri och bostäder. Resultatet av regressionen visade att det finns en rabatt för små och medelstora bostadsportföljer med ett transaktionsvärde överstigande 500 millioner kronor samt en rabatt för små industriportföljer med ett transaktionsvärde över 500 millioner kronor. Utöver segmentstesten gjordes även två tester där författarna testade om premien varierade över tid. Likaså här gav testerna blandade resultat. Det kan konstateras att en premie återfinns för portföljer handlade under perioden 2010 - 2015.
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Kadiric, Samir [Verfasser]. "International Bond Markets, Risk Premiums and Brexit: Theory and Empirical Findings / Samir Kadiric." Wuppertal : Universitätsbibliothek Wuppertal, 2021. http://d-nb.info/1237355540/34.
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Kaufman, Daniel Joseph Jr. "Factors affecting the magnitude of premiums paid to target shareholders in corporate acquisitions." The Ohio State University, 1986. http://rave.ohiolink.edu/etdc/view?acc_num=osu1265131756.
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McGinley, Susan. "Analyzing Crop Insurance Rates: Research Offers New Ways to Set Premiums for Farmers." College of Agriculture and Life Sciences, University of Arizona (Tucson, AZ), 2002. http://hdl.handle.net/10150/622241.
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Afonso, Maria de Lourdes Belchior. "Evaluation of ruin probabilities for surplus processes with credibility and surplus dependent premiums." Doctoral thesis, Instituto Superior de Economia e Gestão, 2008. http://hdl.handle.net/10400.5/1113.
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Doutoramento em Matemática Aplicada à Economia e GestãoIn this dissertation we present a method for the numerical evaluation of the ruin prob¬ability in continuous and finite time for a classical risk process where the premium can change from year to year. A major consideration in the development of this methodology is that it should be easily applicable to large portfolios. Our method is based on the simu¬lation of the annual aggregate claims and then on the calculation of the ruin probability for a given surplus at the start and at the end of each year. We calculate the within-year ruin probability assuming first a Brownian motion approximation and, secondly, a translated gamma distribution approximation for aggregate claim amounts. We will check the accuracy of our method by comparing our results applied to the classical risk process with the results of Wikstad (1971) and Seal (1978b) in finite and continuous time. We also check its accuracy in the case of exponential and mixed expo¬nential claim amounts by choosing a very long time horizon and comparing results with exact results for infinite time ruin. We apply our method to three different risk models where the premium is set at the start of each year but can change from year to year. For each model aggregate claims have a compound Poisson distribution with either a fixed or a variable Poisson parameter for the claim number process. For the first model the premium in each year is a function of the surplus level at the start of that, or an earlier, year. The premium rate is set so that the probability of ultimate ruin from that time is approximately equal to a pre-determined value. We will use De Vylder's (1978) approximation to achieve that. For the second and third models we consider a portfolio of risks which satisfy the assumptions of the Btihlmann or Btihlmann-Straub credibility models with the pure premium updated each year in accordance with these models.
E proposto um método para o cálculo da probabilidade de ruina em tempo contínuo e horizonte finito para um processo de Poisson composto onde o premio e constante ao longo de cada período de tempo (ano), mas depende da informação passada de indemnizacoes agregadas anuais. Em funçao disso, o premio e ajustado anualmente, passando a ser variavel de período para período. Um dos grandes contributos deste trabalho e o facto da metodologia apresentada ser facilmente aplicavel a carteiras de grande dimensao. O metodo e baseado na simulacão das indemnizacoes agregadas anuais e no calculo da probabilidade de ruína dado um determi¬nado montante de reserva no início e no fim do período. Este calculo da probabilidade de ruína e aproximado de duas formas: primeiro usando um movimento Browniano adequado e depois uma aproximaçao a distribuído gama deslocada. A coerencia dos resultados produzidos pelo modelo e testada comparando os resultados produzidos para o modelo clíassico de risco com o modelo-base e com os resultados exactos obtidos por Wikstad (1971) e por Seal (1978), em tempo contínuo e horizonte finito. O metodo e aplicado a tres modelos de risco diferentes em que o premio e actualizado no ínicio do ano. Para cada modelo as indemnizaçcãoes agregadas seguem uma distribuiçcãao de Poisson composta em que processo do nímero de sinistros tem o parâmetro de Poisson fixo ou variavel. No primeiro modelo o premio e definido como função do nível de reserva em algum momento anterior. O coeficiente de carga para o premio anual e determinado em cada caso de forma a probabilidade em horizonte infinito, partindo da reserva incial considerada, ser aproximadamente um valor pré-definido para o modelo classico. Para tal, e utilizada a aproximacão de De Vylder (1978). No segundo e terceiro modelos considera-se uma carteira que satisfaz as hipóteses dos modelos de credibilidade de Bühlmann e Bühlmann-Straub sendo o premio anual actualizado de acordo com estes modelos.
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Keller, Annett. "Applying robust scale M-estimators to compute credibility premiums in the large claim case /." Berlin : Logos-Verl, 2008. http://d-nb.info/990567257/04.
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Mirando, Anthony M. "Social Equity Ignored: An Examination of LEED Rental Premiums in the Multi-Family Market." Kent State University / OhioLINK, 2021. http://rave.ohiolink.edu/etdc/view?acc_num=kent1627557232122465.
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Mandrik, Carter A. "An Information Processing Perspective on Between-Brand Price Premiums: Antecedents and Consequences of Motivation." Diss., Virginia Tech, 1999. http://hdl.handle.net/10919/27359.
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This dissertation examines between-brand price premiums from an information processing perspective. A literature review is conducted in which price premiums are shown to depend on consumerâ s ability, motivation and opportunity to process information relevant to making between-brand judgments of value. A conceptual model is developed that incorporates these three constraints on brand information processing, but focuses on the antecedents of the motivation construct. An experiment is conducted that tests the effects on information processing of four antecedents to motivation: involvement, brand evaluation motive, economic concern, and need for cognition. Results show that involvement interacts with motive in its effect on information processing amount, but not on processing style. Need for cognition is positively related to both amount and style of processing, but the economic concern results were mixed. Finally, implications of the results are discussed and future research directions suggested.Ph. D.
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Robinson, Spenser J. "Investigations into the Robustness of Sustainable Real Estate Premiums and Commercial Real Estate Econometrics." Cleveland State University / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=csu1375785731.
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Balau, Eunice Alexandra Madeira. "Premiums and reserves in life insurance policies : the worst-case scenario and Solvency II." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7832.
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Mestrado em Ciências ActuariaisAs reservas de capital representam um instrumento fundamental no processo de gestão de risco das empresas de seguros, sendo utilizadas no cálculo do capital económico e regulamentar. Como o valor das reservas e dos prémios é fortemente influenciado pelos pressupostos atuariais utilizados, a escolha adequada das bases técnicas é um dos temas de principal interesse para as Companhias de Seguros e para as Entidades Reguladoras. O principal objetivo deste trabalho é o estudo de um método de construção de cenários biométricos para o cálculo de reservas e prémios, adotando uma posição conservadora em relação às bases técnicas de segunda ordem, seguindo a orientação de dois trabalhos fundamentais neste domínio, Christiansen (2010) e Milbrodt and Stracke (1997). Este cenário é determinado através da resolução de um problema de maximização da reserva prospetiva que nos permite definir as bases biométricas de primeira ordem que representam o pior caso do ponto de vista do Segurador. As apólices do ramo vida são descritas pelo modelo Markoviano de estados múltiplos, sendo as reservas prospetivas calculadas recorrendo à equação de Thiele. O novo regime de solvência da União Europeia, Solvência II, também recorre à noção de piores cenários, por forma a quantificar os requisitos de capitais no ramo vida, embora com uma definição diferente. Assim, um objetivo adicional, e também importante, deste trabalho é procurar integrar o método estudado no enquadramento estabelecido pelo projeto Solvência II.
Reserves are a fundamental tool in insurance risk management since they are used to determine the economic or regulatory capital required for insurers to remain solvent. As the values of reserves and premiums are strongly dependent on the actuarial assumptions used, the choice of the adequate elements of the technical basis is a major concern of both regulators and insurance companies. The main purpose of this work is to study a method for the construction of biometric worst-case scenarios that allow premiums and reserves to be on the safe side with respect to given confidence bands for the biometric second-order basis, following the essential works of Christiansen (2010) and Milbrodt and Stracke (1997). This scenario is obtained by solving a maximization problem for the prospective reserve that allows one to find the worst-case biometric valuation basis from the insurer's point of view. In life insurance, policies are often described by the multi-state Markov model of life contingencies and the prospective reserves computed using Thiele's equation. The new solvency regime of the European Union, Solvency II, also uses worst-case scenarios, although constructed in a different way, in order to quantify the solvency capital requirements for life insurance business. Thus, a further important purpose of this thesis is to integrate the method in study under the Solvency II framework.
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Ferraz, Cordeiro Isabel Maria. "A stochastic model for the analysis of permanent health insurance claims by cause of disability." Thesis, Heriot-Watt University, 1998. http://hdl.handle.net/10399/1207.
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Ferreira, Carla Sofia da Silva. "In what extent can toy premiums promote healthy eating habits?: A study with school-age children." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11865.
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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and EconomicsToy premiums, as well as other marketing tools, can be used to promote healthy eating habits on children. As children grow, their appreciation for healthy meals and toys decreases, however their enjoyment for collections increases. Thus, we would expect toy premiums to be ineffective or effective but to a lower extent on promoting healthy eating behaviors as children grow old. The study consisted on presenting children with one of three conditions: see an image of healthy food; see an image of a toy premium (non-collectible, collectible or superfluous collectible); or see a picture of healthy food paired with a toy premium. Afterwards, we measured children’s attitudes towards healthy food and toy premiums and their purchase intention of the healthy meal. As a result, pairing healthy food with toy premiums was not effective on promoting healthy eating behaviors, being the main reason the initial high attitude towards healthy. Additionally, no relevant differences on attitudes between younger and older children were found.
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Semenka, Tomáš. "Výběr vhodné varianty financování nového zařízení." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2008. http://www.nusl.cz/ntk/nusl-221727.
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This thesis deals with the selection of the best funding method of purchasing new punching press TruPunch 5000 for company AZ Klima, s.r.o. This work includes analysis of current leasing and credit options on the Czech market and their evaluation in accordance to given kriteria as well. The goal of the thesis is to select the most appropriate funding method.
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Mesa, Yohanna. "Approximate reinsurance premiums." Thesis, 2002. http://spectrum.library.concordia.ca/1729/1/MQ68412.pdf.
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Insurance is a risk transfer mechanism, which allows individuals and firms to reduce the uncertainty about their future cash flows. It provides financial compensation for the effects of misfortune through the establishment of a fund, into which all insured pay premiums and from which benefits are paid when insured events occur. These uncertainty is usually modeled through two distinct components the claim frequency and the claim severity, since in any given year, neither the number of claims nor their severity is known in advance. The usual stochastic insurance model is thus a random sum called the aggregate claims, where the random number of variables summed represents the claim frequency, while each variable summed represents the claims severities. Each play an important role in the model. Usually it is difficult to obtain the exact aggregate claims distribution, although it is important to researchers and practitioners in actuarial science. Several approximations have been suggested to this purpose. In particular, Chaubey et al. [3] proposed a new inverse gaussian-gamma mixture approximation. The main goal of this thesis is to study approximation methods to calculate stop-loss reinsurance premiums, including a proposal based on the inverse gaussian-gamma mixture approximation. Various graphical and numerical illustrations are given in support of our conclusions.
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"Essays on Prosocial Price Premiums." Doctoral diss., 2016. http://hdl.handle.net/2286/R.I.38516.
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abstract: In two independent and thematically connected chapters, I investigate consumers' willingness to pay a price premium in response to product development that entails prosocial attributes (PATs), those that allude to the reduction of negative externalities to benefit society, and to an innovative participatory pricing design called 'Pay-What-You-Want' (PWYW) pricing, a mechanism that relinquishes the determination of payments in exchange for private goods to the consumers themselves partly relying on their prosocial preferences to drive positive payments. First, I propose a novel statistical approach built on the choice based contingent valuation technique to estimate incremental willingness to pay (IWTP) for PATs that accounts for consumer heterogeneity, dependence in the decision making processes, and incentive compatibility. I validate the approach by estimating IWTP for a variety of PATs and contrast the theoretical and managerial benefits of using the proposed approach over extant techniques used in the literature for this purpose. Second, I propose a general and flexible statistical modeling framework for estimating PWYW payments that exceed zero. It relies on the joint estimation of three types of consumer decision processes namely, the consumer propensity to default to an explicit price recommendation, the propensity to pay a least legitimate price, and the payment of a freely-chosen non-zero payment. Of particular interest is the model's ability to account for a wide variety of design constraints such as the setting of price bounds, explicit price recommendations, and the provision of a menu of discrete prices to choose from. I validate the approach by estimating PWYW payments for a variety of products such as music licenses, snacks, and sports tickets. I specifically examine and report the differential impact of three managerially controllable variables namely, 'payment anonymity', 'information on payment recipients' and 'information of product value/quality'.Dissertation/Thesis
Doctoral Dissertation Business Administration 2016
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Chen, Pei-Yu, and 陳珮瑜. "The Taxation of Bond Premiums." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/75524407892033786153.
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碩士國立臺灣大學
法律學研究所
102
A controversy about the taxation of bond premiums arises when bonds are purchased at a premium. The competent tax collection authorities and taxpayers have different views on whether the bond premiums can be amortized as deductions of the interest income. The paper intends to explore the controversies using the allocation of costs and expenses principle. Under the current tax laws and regulations, the net income is derived by deducting costs and expenses from the gross income, which is a manifestation of the Ability-to-Pay Principle. The paper first explores the definition of costs and expenses, and argues that the bond premium by its nature should be considered part of the cost to acquire the economic gains of bonds. If the bond premium is deductible from the taxable income and non-taxable income, taxpayers will enjoy the treatment of double tax exemptions, which will violate the fairness principle in taxation. As a result, it is crucial to clarify how to allocate costs and expenses between the taxable income and non-taxable income. In addition, the way taxpayers invest in bonds determines the type of payments they will receive. Held-to-maturity bonds only incur interest income, without gains derived from the securities transactions. Therefore, in the case of held-to-maturity bonds, the total cost of bond premium should be allocated to the interest income. Consequently, the view that the bond premium should be amortized is more reasonable. With regard to bonds sold before maturity, the bonds will incur interest income and gains derived from the securities transactions. The paper first examines the J.Y. Interpretation NO.493, which promulgates the principle about how to allocate the costs and expenses between the taxable income and non-taxable income derived from stock investments. It moves on to compare the similarities and differences between bond investments and stock investments to see if the allocation principle of stock investments is applicable to bond premiums. The greatest difference between bond investments and stock investments is that bonds as fixed-income securities have different costs from those of stock investments. In other words, the cost of a bond is the sum of the present value of its future cash payments between the transaction date and the maturity date while the cost of a stock is its history cost. Given the difference between bond investments and stock investments, it is necessary to make adjustments to the allocation principle of stock investments before applying to it to bond investments. In conclusion, the interpretation that bond premiums should be amortized complies with the allocation principle promulgated by the J.Y. Interpretation NO.493. The paper concludes that it is reasonable to amortize the bond premium in the taxation of bond investments.
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Engstrom, Eric C. "Essays on financial market risk premiums /." 2005. http://www.gbv.de/dms/zbw/547151977.pdf.
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Handika, Rangga. "Risks and Risk Premiums in Commodity Markets." Doctoral thesis, 2014. http://hdl.handle.net/11858/00-1735-0000-0022-5E37-6.
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Die vorliegende Arbeit untersucht Risikofaktoren und Risikoprämien in Rohstoffmärkten und beinhaltet vier empirische Studien. Die ersten zwei Studien konzentrieren sich dabei auf Risikoprämien von verbundenen Terminmärkten für Elektrizität in Australien. In der dritten Studie wird ein Modell zur Beschreibung von extremen Preissprüngen bei Strom entwickelt. Die vierte Studie untersucht schließlich Risikoprämien in der Convenience Yield auf Rohstoffmärkten. (Für eine detailliertere Beschreibung der einzelnen Studien wird auf die jeweilige englische Zusammenfassung verwiesen.)
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Chen, Wen-Shih, and 陳文昰. "Mortgage Insurance Premiums and the Business Cycle." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/42067723568164271888.
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碩士東海大學
財務金融學系
99
This research first refines the pricing formula for mortgage insurance (MI) contracts proposed in Bardhan, Karapandža, and Urošević (2006) (BKU (2006)) by re-identifying the setting of conditional losses to insurers. Since the business-cycle property is well observed in housing prices, this research further develops a closed-form solution for valuing MI contracts with business-cycle effects based on the regime-switching option pricing model proposed in Duan, Popova, and Ritchken (2002). Results of real-time analysis show that the ability of the regime-switching model in identifying the business cycle underlying home prices is superior in the U.S. market, and the fair premium of MI contracts with the business-cycle property is higher than that without the property in Quarter 4, 2010. It indicates that incorporating the regime-switching property in valuing MI contracts may facilitate to reduce the losses of insurance companies which are commonly observed in the last three years.
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Lai, Yu Fen, and 賴玉分. "Premiums on Convertible Bonds in Taiwan Market:Empirical Analysis." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/42556399692864884776.
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Lei, Debra. "Explaining the Excess Spread Premiums on Catastrophe Bonds." 2008. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-1407200816262700.
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Tu, Mang-Wei, and 杜曼瑋. "Corporate Social Responsibility and M&A Premiums." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/r77t5w.
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碩士國立臺灣大學
會計學研究所
107
This study investigates the association between targets’ CSR and M&A premiums by using a domestic sample of 904 M&A deals in the U.S. In line with the shareholder theory and capabilities-based theory, this research finds a significant and negative relation between targets’ CSR and premiums, suggesting targets’ CSR engagement destroys the value of the firm in M&A deals. In addition, a positive moderating effect of firm performance on the impact of targets’ CSR on premiums is revealed. The result indicates higher profitability and operating ability alleviate the acquirer’s concern toward targets’ CSR. Overall, this study adds to the body of literature on the effect of CSR under the context of M&A and sheds light on the adverse influence of CSR in deal valuation.
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Lei, Debra, and 雷祖琦. "Explaining the Excess Spread Premiums on Catastrophe Bonds." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/92320968114556412873.
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碩士國立臺灣大學
財務金融學研究所
96
The purpose of this article is to explain the excess spread premiums of CAT bonds, i.e., the risk premiums investors ask. Issuing data of nonlife CAT bonds during 1997 and 2007 are analyzed. We find that the probability of exhaustion (POE) is the factor investors care most. Moreover, the pricing behavior has changed after Hurricane Katrina, the first publicly acknowledged CAT bond with total loss of principal. While more emphasis has been put on POE, the offering size of the bond and the rating become less informative for the price of the bond.
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Chu, Chun Yu, and 朱俊宇. "Research on the development of deposit insurance premiums." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/44455460247334661686.
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Liu, Wei-Tsen, and 劉威岑. "The Quadratic Relationship between Premiums and Acquirers’ Stock Returns." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/55396806338968517089.
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碩士國立臺灣大學
財務金融學研究所
99
According to existing literature, the synergy hypothesis considers the merger premium to be positively correlated with the acquirer’s returns; on the other hand, the overpayment hypothesis states the opposite. In this paper, we suggest a quadratic relationship between merger premiums and short-run abnormal returns of acquirers, a possible mixture of the two hypotheses. We analyze 2148 M&As from 1993 to 2007 in the United States. To ascertain the results, we divide the sample into different groups, positive premium, negative premium, bull markets and bear markets and find that for positive premium cases, the overpayment hypothesis generally prevails, but when the magnitude of the premium rises over 101%, the synergy hypothesis manifests, and this magnitude is lower in bull markets and higher in bear markets; on the other hand, synergy hypothesis can be observed within merger premiums between -33% and 0% for operations with negative premiums, and this range is wider in bear markets but not clear in bull markets.
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Chu, Hsiang-Hui, and 朱香蕙. "Risk Premiums in the Term Structure of Interest Rates." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/31724996256500297511.
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博士國立臺灣大學
財務金融學研究所
95
This dissertation investigates the risk premiums that are involved in the term structure of interest rates. Many factors may influence the risk premiums, including liquidity risk, credit risk, market risk, operation risk and legal risk. Among these risks, liquidity risk and credit risk are frequently discussed. This dissertation explores how the two risks influence the risk premiums in the term structure of interest rates. This dissertation comprises three chapters to discuss the term structure of interest rates. Particularly, it explores how the liquidity risk and credit risk affect the risk premium and how to evaluate it. Pricing the interest rate swap spreads induced by the liquidity risk is discussed in chapter two. In chapters three and four discuss two models for valuing credit derivatives. Chapter two in this dissertation, “Term Structure of Interest Rate Swap Spreads--Consistent with Current Term Structure of Interest Rates and Analytical Solution,” follows Grinblatt’s idea that attributes the IRS spreads to the liquidity risk and overcomes the drawback for the inconsistency between the theory and empirical studies of Grinblatt (2001). This study assumes that the short rate and liquidity follow the Hull-White (1990b) model and computes the term structure of swap spreads, which can be exactly consistent with today’s term structure. The empirical results of this paper are comparable to those of Grinblatt (2001), and the model fits quite well the sample of actual IRS spreads. In addition, the empirical results conducted for out-samples indicate that this model has the capacity to accurately forecast the future trend of out-sample IRS spreads. However, the accuracy of the predictions of future IRS spreads for out-samples remains inadequate. The chapter three in this dissertation, “A Generalized Markov Model for the risk premium adjustment” expands the state space to incorporate the credit rating changes into the model, and thus a more generalized risk premium adjustment function is achieved. For example, suppose credit rating for a firm is divided into three grades A, B and C, where A represents the highest credit class, B the second highest, and C the lowest credit class. If the credit rating of firms that are currently rated B, they may probably derive from C B, B B or A B. Despite the firms are rated B, it must be noted that they have turned to B from different grades, and that will give investors different feelings of the credit risk. In the model given, the risk premium adjustment function for the three different firms C B, B B or A B should be different. Therefore, if the information of the credit rating changes is incorporated into the model, it will be a more generalized structure for pricing the credit derivatives. The chapter four in this dissertation, “A Generalized Markov Chain Model with Stochastic Default Rate for Valuation of Credit Spreads”, introduces a general stochastic matrix to discuss the shortcomings in Kodera’s model.
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Hsieh, Chia-Fan, and 謝佳帆. "Research of Default-Risk Premiums for High-Yield Bonds." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/17523913985452169298.
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碩士淡江大學
財務金融學系
88
The dollar value of default risk (DVDR) is measured by subtracting the observed trading price of a risky corporate bond from a Cox-Ingersoll-Ross model value of a corresponding pseudo-default-free bond. From an option pricing perspective, DVDR can be viewed as the value of a put option on the firm's risky assets .For the reason, this research uses the option valuation framework to identify and investigate the factors affecting the cross-sectional differences in individual high-yield bonds' default risk. The DVDR of an individual high-yield bond is hypothesized to be related to the bond rating, the time to maturity of the bond, the size of the issuing firm, the volatility of firm value, and the dividend yield of the issuing firm. In our empirical results, we find the effect of time to maturity increase as the bond rating drops. Firm size effect is negatively related to the bond rating. The market assigns a higher DVDR to compensate for the DVDR of corporate bonds is similar to the "small company effect" in the case of return on equity. Besides, the empirical results in the case of the first four factors are consistent with the predictions form a put option perspective. And there is only a weaker positive relationship between DVDR and dividend yield.
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Chih-Chia, Wang, and 王芝家. "A trail of labor insurance premiums and pension expenses." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/14682487899569430411.
Full textAbstract:
碩士國立臺北大學
統計學系
102
The improvement of medical technology and the promotion of environmental hygiene cause the life of people are extended significantly in Taiwan. In recent years, the longevity and population-aging rate of Taiwan is nearly at the top of the world. Also, life expectancy increases year by year. The average of male first zero-year-old life expectancy increased from 53.05 to 76.43 years old (from 1950 to 2012) and that of female increased from 55.69 to 82.82 years old. These mean the increasing rate are 44.7% and 48.72% respectively. The Ministry of Interior of Taiwan Government compiles annual abridged life table regularly. The maximum age in the compiled abridged life table is set on 85 years old, so the mortalities over 85 years old are not available. In order to evaluate the annuity for labor insurance, the mortalities over 85 years have to be predicted. This study adopts Gompertz models for mortality, and annual abridged life tables compiled by government are used to estimate the parameters of Gompertz models first. Then predict the mortalities of 85 to 100 years old from 1981 to 2011, and the mortalities of abridged life tables extended to 100 years old from 1981 to 2011. Finally, simple linear regression models are applied to estimate the parameters of Gompertz models from 2012 to 2021 and a predicted mortalities of year 50 to 100 from 2012 to 2021 are also established. Once a complete abridged life tables from 1981 to 2021 is obtained, different return on investment rates and genders are took into account to find the impacts on the life annuity due to the increasing of life expectancy. The present value of all annual premium of a laborer paid and present value of gains including insurance of death claim and all annuities received evaluated at the year of him/her beginning to work are calculated. Then, the ratios of presented value of total insurance paid and total gains are calculated in different return on investment rates and genders. The decreasing of mortality rate will be a trend in the future. The result of this research shows that annuities received will be fewer and fewer for laborer. To prevent the financial dilemma for labor insurance in the future, the government should raise many financial resources, or planning a feasible policy to safeguard the living of retired laborers.