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Journal articles on the topic 'Portfolio Premiums'

Author: Grafiati

Published: 29 June 2021

Last updated: 29 July 2025

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1

Falin, Gennady I. "On the Optimal Pricing of a Heterogeneous Portfolio." ASTIN Bulletin 38, no. 01 (2008): 161–70. http://dx.doi.org/10.2143/ast.38.1.2030408.

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We apply simple geometrical arguments to show that well-known approaches to determine the premium in insurance contract minimize a weighted squared differences both between the individual premiums and the individual claims and between the total premiums for classes of homogeneous risks and total claims from these blocks of business.

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Falin, Gennady I. "On the Optimal Pricing of a Heterogeneous Portfolio." ASTIN Bulletin 38, no. 1 (2008): 161–70. http://dx.doi.org/10.1017/s0515036100015117.

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We apply simple geometrical arguments to show that well-known approaches to determine the premium in insurance contract minimize a weighted squared differences both between the individual premiums and the individual claims and between the total premiums for classes of homogeneous risks and total claims from these blocks of business.

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3

Vilar-Zanón, José L., and Cristina Lozano-Colomer. "On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation." ASTIN Bulletin 37, no. 02 (2007): 405–28. http://dx.doi.org/10.2143/ast.37.2.2024074.

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This paper addresses the Bayesian estimation of the shape parameter of Pareto distributions, and its application to premium calculation of large claims excess of loss (XL) reinsurance contracts. It studies the use of the generalized inverse Gaussian (GIG) as a Pareto prior conjugate, a family that contains as a particular case the gamma distribution. An exact credibility formula is deduced allowing the calculation of individual reinsurance premiums. These are premiums suited to the excesses history of a sole portfolio. A family of predictive distributions for the excesses is derived. We apply

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Vilar-Zanón, José L., and Cristina Lozano-Colomer. "On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation." ASTIN Bulletin 37, no. 2 (2007): 405–28. http://dx.doi.org/10.1017/s0515036100014938.

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This paper addresses the Bayesian estimation of the shape parameter of Pareto distributions, and its application to premium calculation of large claims excess of loss (XL) reinsurance contracts. It studies the use of the generalized inverse Gaussian (GIG) as a Pareto prior conjugate, a family that contains as a particular case the gamma distribution. An exact credibility formula is deduced allowing the calculation of individual reinsurance premiums. These are premiums suited to the excesses history of a sole portfolio. A family of predictive distributions for the excesses is derived. We apply

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5

Hsieh, Heng-Hsing, and Kathleen Hodnett. "Cross-Sector Style Analysis Of Global Equities Based On The Fama And French Three-Factor Model." International Business & Economics Research Journal (IBER) 11, no. 2 (2012): 161. http://dx.doi.org/10.19030/iber.v11i2.7156.

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Although the ability of the Fama and French (1993) 3-factor model in explaining style-based portfolio returns have been widely tested, no such test has been conducted on sector-based portfolios. The study conducted by Hsieh and Hodnett (2011) indicate that the resource sector yields significant abnormal returns under the capital asset pricing model (CAPM) over the period from 1999 to 2009. In addition, the book value-to-market ratio and market capitalization are found to have pervasive effects on the pricing of sector returns for global equities. Motivated by this insight, we undertake to test

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Sehgal, Sanjay, and Vidisha Garg. "Cross-sectional Volatility and Stock Returns: Evidence for Emerging Markets." Vikalpa: The Journal for Decision Makers 41, no. 3 (2016): 234–46. http://dx.doi.org/10.1177/0256090916650951.

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Executive Summary Cross-sectional volatility measures dispersion of security returns at a particular point of time. It has received very little focus in research. This article studies the cross-section of volatility in the context of economies of Brazil, Russia, India, Indonesia, China, South Korea, and South Africa (BRIICKS). The analysis is done in two parts. The first part deals with systematic volatility (SV), that is, cross-sectional variation of stock returns owing to their exposure to market volatility measure ( French, Schwert, & Stambaugh, 1987 ). The second part deals with unsyst

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Newell, Graeme, John MacFarlane, and Roger Walker. "Assessing energy rating premiums in the performance of green office buildings in Australia." Journal of Property Investment & Finance 32, no. 4 (2014): 352–70. http://dx.doi.org/10.1108/jpif-10-2013-0061.

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Purpose – Green office buildings have recently taken on increased significance in institutional property portfolios in Australia and globally. The key issue from an institutional investor perspective is the assessment of whether green office buildings add value. Using an extensive portfolio of green office buildings, the purpose of this paper is to empirically assess the level of energy rating premiums in the property performance of green office buildings in Australia. Design/methodology/approach – Using a portfolio of over 200 green office buildings in Australia benchmarked against a comparab

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Küçükosman, Asiye, and Sümeyye Uzun. "The Causality Relationship between Credit Default Swaps (CDS) and Portfolio Investments: The Case of Türkiye." Ekonomi Politika ve Finans Arastirmalari Dergisi 9, no. 3 (2024): 462–83. http://dx.doi.org/10.30784/epfad.1535924.

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This study examines the causality relationship between portfolio investments and credit default swaps (CDS) in Türkiye. Analysing the dynamics between portfolio investments and CDS premiums, two important variables for financial markets is critical to understanding how risk perception and investment decisions are affected. While portfolio investments are generally considered an indicator of the confidence of foreign investors in the country's economy, CDS premiums are an important risk measure that reflects the country's debt risk and the risk perception of market participants. In this context

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Szymańska, Anna. "THE APPLICATION OF BŰHLMANN-STRAUB MODEL TO THE ESTIMATION OF NET PREMIUM RATES DEPENDING ON THE AGE OF THE INSURED IN THE MOTOR THIRD LIABILITY INSURANCE." Statistics in Transition new series 18, no. 1 (2017): 151–65. http://dx.doi.org/10.59170/stattrans-2017-008.

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One of the basic variables used in the process of tariff calculation of premiums in motor liability insurance is the age of the insured. In this type of insurance offered by insurers operating on the Polish market, this variable is taken into account in the ratemaking by discounts and increases in assigned premium, known as the net premiums rates. The aim of this work is to propose a method of rate estimation of net premiums in the groups of the motor third liability insurance portfolio of individuals created by the age of the insured. For the premium estimation, one of the maximum likelihood

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Chung, Yi-Tsai, Tung Liang Liao, and Yi-Chein Chiang. "The selection of popular trading strategies." Managerial Finance 41, no. 6 (2015): 563–81. http://dx.doi.org/10.1108/mf-05-2014-0121.

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Purpose – The relative performance of five popular nonzero-investment strategies, including Size, book-to-market ratios, earnings-to-price (E/P) ratios, cash flow-to-price (CF/P) ratios and dividend-to-price ratios, and their corresponding zero-investment strategies (also known as premiums) are first examined altogether for equally weighted (EW) and value-weighted (VW) methods to check whether a certain strategy (or some strategies) could be recommended to portfolio managers as the best (better) strategy (strategies). The paper aims to discuss these issues. Design/methodology/approach – This p

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Kousenidis, Dimitrios V., Dimitrios I. Maditinos, and Željko Šević Šević. "The Premium/Discount Of Closed-End Funds As A Measure Of Investor Sentiment: Evidence From Greece." Journal of Applied Business Research (JABR) 27, no. 4 (2011): 29. http://dx.doi.org/10.19030/jabr.v27i4.4655.

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<p>We examine the proposition that the premium/discount (PD) of Greek closed-end funds (CEFs) is an accurate proxy for the small-investor sentiment risk. We find that the average PD explains the returns of portfolios of large capitalization and low book-to-market ratio stocks. In this context, we are unable to confirm a link between the perceived PD anomaly and the small size effect. Moreover, we show that the explanatory power of the PD for portfolio returns depends on the form of the asset pricing model used in the regression analysis. Finally, in terms of predictive ability, we find e

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Alasadi, Bushra Mohamed Sami. "Impact of Market Risk Premium on Share Fair Value." International Journal on Economics, Finance and Sustainable Development 6, no. 4 (2024): 12–20. http://dx.doi.org/10.31149/ijefsd.v6i4.5270.

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This research investigates how the market risk premium influences the fair value of shares traded on the Iraq Stock Exchange using the CAPM model to estimate the required rate of return. The study incorporates the risk-free rate (RF), market portfolio return (RM), and beta-processed risk premium. It addresses the knowledge gap in understanding the risk premium's impact on fair value calculation, a crucial component of the required rate of return. Employing statistical methods, including correlation coefficient measurement and simple and multiple regression analyses, the study demonstrates a si

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Oyakapeli, Oscar, Cynthia Ikamari, and Anthony Karanjah. "Premium Estimation of General Insurance Contracts Using Buhlmann Credibility Model." Asian Journal of Probability and Statistics 26, no. 5 (2024): 64–71. http://dx.doi.org/10.9734/ajpas/2024/v26i5619.

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Insurance coverage is reliant on appropriate premium determination, a focus addressed in this study through the application credibility theory. The aim was to compute short-term insurance premiums by leveraging authentic data from general insurance contracts as published in the IRA annual reports spanning from 2013 to 2021. The study employed the Buhlmann credibility model to derive net credible premiums for 13 non-life insurance contracts, assuming constant changes in business volumes. The estimation of credibility premiums was conducted by initially calculating within and between-portfolio v

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Afonso, Lourdes B., Alfredo D. Egídio dos Reis, and Howard R. Waters. "Numerical Evaluation of Continuous Time Ruin Probabilities for a Portfolio with Credibility Updated Premiums." ASTIN Bulletin 40, no. 1 (2010): 399–414. http://dx.doi.org/10.2143/ast.40.1.2049236.

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AbstractThe probability of ruin in continuous and finite time is numerically evaluated in a classical risk process where the premium can be updated according to credibility models and therefore change from year to year. A major consideration in the development of this approach is that it should be easily applicable to large portfolios. Our method uses as a first tool the model developed by Afonso et al. (2009), which is quite flexible and allows premiums to change annually. We extend that model by introducing a credibility approach to experience rating.We consider a portfolio of risks which sa

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Bányai, Attila, Tibor Tatay, Gergő Thalmeiner, and László Pataki. "The Impact of Rebalancing Strategies on ETF Portfolio Performance." Journal of Risk and Financial Management 17, no. 12 (2024): 533. http://dx.doi.org/10.3390/jrfm17120533.

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This research explores the efficacy of rebalancing strategies in a diversified portfolio constructed exclusively with exchange-traded funds (ETFs). We selected five ETF types: short-term U.S. Treasury bonds, U.S. equities, global commodities, U.S. real estate investment trusts (REITs), and a multi-strategy hedge fund. Using a 10-year historical period, we applied a unique simulation model to generate random portfolios with varying asset weights and rebalancing tolerance bands, assessing the impact of rebalancing premiums on portfolio performance. Our study reveals a significant positive correl

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16

Boscaljon, Brian. "Quantifying Unique Individual Portfolio Insurance Premiums." Journal of Wealth Management 15, no. 1 (2012): 72–81. http://dx.doi.org/10.3905/jwm.2012.15.1.072.

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Bühlmann, Hans. "Premium Calculation from Top Down." ASTIN Bulletin 15, no. 2 (1985): 89–101. http://dx.doi.org/10.2143/ast.15.2.2015021.

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This paper is intended to show how premiums are related to the stability criterion imposed on a portfolio of risks and to the dividend requirements for the capital invested into the insurance operation. The point is that premium calculation should be seen as a consequence of the strategic concepts adopted by the insurance carrier.

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18

Zaks, Yaniv, Esther Frostig, and Benny Levikson. "Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level." ASTIN Bulletin 36, no. 01 (2006): 161–85. http://dx.doi.org/10.2143/ast.36.1.2014148.

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Consider a portfolio containing heterogeneous risks, where the policyholders’ premiums to the insurance company might not cover the claim payments. This risk has to be taken into consideration in the premium pricing. On the other hand, the premium that the insureds pay has to be fair. This fairness is measured by the distance between the risk and the premium paid. We apply a non-linear programming formulation to find the optimal premium for each class so that the risk is below a given level and the weighted distance between the risk and the premium is minimized. We consider also the dual probl

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19

Zaks, Yaniv, Esther Frostig, and Benny Levikson. "Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level." ASTIN Bulletin 36, no. 1 (2006): 161–85. http://dx.doi.org/10.1017/s0515036100014446.

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Consider a portfolio containing heterogeneous risks, where the policyholders’ premiums to the insurance company might not cover the claim payments. This risk has to be taken into consideration in the premium pricing. On the other hand, the premium that the insureds pay has to be fair. This fairness is measured by the distance between the risk and the premium paid. We apply a non-linear programming formulation to find the optimal premium for each class so that the risk is below a given level and the weighted distance between the risk and the premium is minimized. We consider also the dual probl

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20

Qiu, Haiyang. "Investment Portfolio with Convex Optimization and Risk Adjustment Using Multi-Factor Model and Multi-Armed Bandit Algorithm." Advances in Economics, Management and Political Sciences 104, no. 1 (2024): 63–76. http://dx.doi.org/10.54254/2754-1169/104/2024ed0075.

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This paper examines the creation of investment portfolios through convex optimization, multifactor models, and the multi-armed bandit (MAB) algorithms, focusing on the KL-UCB strategy to optimize decisions in uncertain settings. It explores the impact of systematic risk factors using the Fama-French three-factor model, estimating the influence of market, size, and value premiums via linear regression. The use of Monte Carlo simulation is detailed for generating potential asset allocations and calculating their expected returns, volatility, and Sharpe ratios. The optimize minimize function from

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Qiu, Haiyang. "Investment Portfolio with Convex Optimization and Risk Adjustment Using Multi-Factor Model and Multi-Armed Bandit Algorithm." Advances in Economics, Management and Political Sciences 102, no. 1 (2024): 28–41. http://dx.doi.org/10.54254/2754-1169/102/2024ed0075.

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This paper examines the creation of investment portfolios through convex optimization, multifactor models, and the multi-armed bandit (MAB) algorithms, focusing on the KL-UCB strategy to optimize decisions in uncertain settings. It explores the impact of systematic risk factors using the Fama-French three-factor model, estimating the influence of market, size, and value premiums via linear regression. The use of Monte Carlo simulation is detailed for generating potential asset allocations and calculating their expected returns, volatility, and Sharpe ratios. The optimize minimize function from

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22

Prombutr, Wikrom, and Chanwit Phengpis. "Behavioral-related firm characteristics, risks and determinants of stock returns." Review of Accounting and Finance 18, no. 1 (2019): 95–112. http://dx.doi.org/10.1108/raf-03-2017-0060.

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PurposeThis paper aims to investigate a relatively new anomaly of investment growth and revisits well-known anomalies of size and value. It aims to answer two main research questions. First, can covariance risks (i.e. factor loadings) be excluded from being determining variables that drive return premiums and explain stock returns? Second, from a behavioral finance standpoint, the authors examine whether using firm characteristics is a more practical and accessible approach and also meets the necessary and sufficient conditions to analyze stock returns.Design/methodology/approachThe authors cr

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23

Tao, Yuexi. "Introduction and Applications of the Investment Clock Theory." Highlights in Business, Economics and Management 24 (January 22, 2024): 704–8. http://dx.doi.org/10.54097/33zfwt32.

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This paper is based on the broad asset allocation theory proposed by Merrill Lynch & Co. known as the ''Merrill Lynch Investment Clock Theory.'' Further asset allocation optimisation and decision making on the Merrill Lynch Investment Clock Theory, starting with forecasting recessions and inflation, combined with yield curve term spreads and risk premiums. Further, according to the literature, it is found that the term spread, and risk premium indices have good prediction results for recession. But simply considering these is not enough, need to introduce term spreads and risk premiums int

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Gonçalves, Andrei S., Chen Xue, and Lu Zhang. "Aggregation, Capital Heterogeneity, and the Investment CAPM." Review of Financial Studies 33, no. 6 (2019): 2728–71. http://dx.doi.org/10.1093/rfs/hhz091.

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Abstract A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio level to match with portfolio-level stock returns. Working capital forms a separate productive input besides physical capital. The model simultaneously fits the value, momentum, investment, and profitability premiums and partially explains positive stock-fundamental return correlations, the procyclical and short-term dynamics of the momentum and prof

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Kaas, R., A. E. van Heerwaarden, and M. J. Goovaerts. "On Stop-Loss Premiums for the Individual Model." ASTIN Bulletin 18, no. 1 (1988): 91–97. http://dx.doi.org/10.2143/ast.18.1.2014963.

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AbstractIt is shown how the upper bounds for stop-loss premiums (and approximations to tail probabilities) obtained by replacing the individual model for a portfolio of risks by the collective model can be improved upon at the cost of only slightly more computer time. The method used is simply to keep a restricted number of large risks as they are instead of approximating them by a compound Poisson distribution. In a real-life example, the relative error in the stop-loss premium is shown to be reduced drastically by keeping only 10 out of 743 risks unchanged.

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Loyara, Vini Yves Bernadin, Remi Guillaume Bagré, Frédéric Béré, and Diakarya Barro. "STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS." Advances and Applications in Discrete Mathematics 28, no. 1 (2021): 49–74. http://dx.doi.org/10.17654/dm028010049.

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27

Diacogiannis, George, and David Feldman. "Linear Beta Pricing with Inefficient Benchmarks." Quarterly Journal of Finance 03, no. 01 (2013): 1350004. http://dx.doi.org/10.1142/s2010139213500043.

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Current asset pricing models require mean-variance efficient benchmarks, which are generally unavailable because of partial securitization and free float restrictions. We provide a pricing model that uses inefficient benchmarks, a two-beta model, one induced by the benchmark and one adjusting for its inefficiency. While efficient benchmarks induce zero-beta portfolios of the same expected return, any inefficient benchmark induces infinitely many zero-beta portfolios at all expected returns. These make market risk premiums empirically unidentifiable and explain empirically found dead betas and

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Shanmugham, R., and Zabiulla. "Pricing Efficiency of Nifty BeES in Bullish and Bearish Markets." Global Business Review 13, no. 1 (2012): 109–21. http://dx.doi.org/10.1177/097215091101300107.

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This article examines the pricing efficiency of Nifty BeES in bullish and bearish market conditions using high frequency data for a period of seven years. It seeks to address three questions. First, does the portfolio manager of Nifty BeES follow its benchmark replication strategy across different market conditions? Second, whether the portfolio manager minimizes the portfolio return volatility relative to the benchmark volatility. Third, whether the magnitude of premiums/discounts varies in bullish and bearish market conditions. Our findings suggest a significant difference in alpha-generatio

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Maheshe, Crispin Bukanga, and Mabela Makengo Matendo Rostin. "Optimal Reinsurance for the Solvency of Automobile Portfolio: Application to Sub-Saharan Africa." InPrime: Indonesian Journal of Pure and Applied Mathematics 6, no. 2 (2024): 124–34. https://doi.org/10.15408/inprime.v6i2.38325.

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This paper examines actuarial strategies to maintain the solvency of automobile insurance portfolios in sub-Saharan Africa, where motor insurance is mandatory and a significant revenue source, representing approximately 60% of total premiums in the CIMA (the Inter-African Conference on Insurance Markets) region. Poorly managed auto insurance portfolios risk pushing insurers toward insolvency, necessitating proactive financial measures. The study evaluates a priori and a posteriori pricing methods, concluding that neither approach alone sufficiently mitigates solvency risks due to the portfolio

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Kimura, Takeshi, and David H. Small. "Quantitative Monetary Easing and Risk in Financial Asset Markets." Topics in Macroeconomics 6, no. 1 (2006): 1–54. http://dx.doi.org/10.2202/1534-5998.1274.

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In this paper, we empirically examine the portfolio-rebalancing effects stemming from the policy of “quantitative monetary easing” recently undertaken by the Bank of Japan when the nominal short-term interest rate was virtually at zero. Portfolio-rebalancing effects resulting from the open market purchase of long-term government bonds under this policy have been statistically significant. Our results also show that the portfolio-rebalancing effects were beneficial in that they reduced risk premiums on assets with counter-cyclical returns, such as government and high-grade corporate bonds. But,

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31

Szymańska, Anna. "The distribution of the number of claims in the third party’s motor liability insurance." Statistics in Transition new series 14, no. 3 (2013): 507–16. http://dx.doi.org/10.59170/stattrans-2013-032.

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In the automobile insurance tarification consists of two stages. The first step is to determine the net premiums on the basis of known risk factors, called a priori ratemaking. The second stage, called a posteriori ratemaking is to take into account the driver's claims history in the premium. Each step usually requires the actuary's selection of the theoretical distribution of the number of claims in the portfolio. The paper presents methods of consistency evaluation of the empirical and theoretical distributions used in motor insurance, illustrated with an example of data from different Europ

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Lim, Christine, and Felix Chan. "An Empirical Modelling of New Zealand Hospitality and Tourism Stock Returns." ISRN Economics 2013 (February 26, 2013): 1–10. http://dx.doi.org/10.1155/2013/289718.

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This paper examines the factor risk premiums of stock returns for the hospitality and tourism companies in New Zealand. The Arbitrage Pricing Theory (APT) approach is used to investigate the expected return for stock portfolio with respect to market, macro (i.e., money supply and discount rate), and tourism factor sensitivities. Monthly stock prices, market index, tourism, and macroeconomic data are used in the study. The results indicate that the risk premiums for international tourism demand and term premium (proxy for discount rate) are positively significant at the 5% level. A one unit inc

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Kaufmann, Johannes, Philipp Artur Kienscherf, and Wolfgang Ketter. "Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios." Energies 13, no. 14 (2020): 3578. http://dx.doi.org/10.3390/en13143578.

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With an increasing share of renewable energy resources participating in electricity markets, there is a growing dependence between renewable power production and clearing prices of spot markets. Modeling this dependence using bivariate analysis can result in underestimation of market risks and adverse effects for stakeholders’ risk management. To enable an undistorted risk assessment, we are using a copula approach to precisely and jointly model electricity prices and infeed volumes of wind power. We simulate the case of wind farm operators using power purchase agreements (PPAs) to shift the p

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Szymańska, Anna Edyta. "The Application of Bühlmann‑Straub Model with Data Correction for the Estimation of Net Premium Rates in Bonus‑Malus Systems of the Motor Third Liability Insurance." Acta Universitatis Lodziensis. Folia Oeconomica 4, no. 336 (2018): 7–22. http://dx.doi.org/10.18778/0208-6018.336.01.

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One of the elements used in the process of tariff calculation of premiums in motor liability insurance is a bonus‑malus system. This systems takes into account the “claims ratio” by means of increases and discounts of the base premium called net premium rates. The aim of this work is to propose an estimation method of the net premium rates in the bonus‑malus classes of the motor third‑party liability insurance portfolio of individuals. The Bühlmann‑Straub model was used for the premium estimation. In order to improve the credibility of the estimated premium rates, a data correction in the clas

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35

Alasadi, Bushra Mohamed Sami. "Impact of Market Risk Premium on Fair Share Value Exploration." International Journal on Economics, Finance and Sustainable Development 6, no. 5 (2024): 19–31. http://dx.doi.org/10.31149/ijefsd.v6i5.5278.

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This research explores the influence of the market risk premium on the fair value of shares traded on the Iraq Stock Exchange, employing the CAPM model to estimate the required rate of return. The CAPM model incorporates the risk-free rate (RF), market portfolio return (RM), and beta-processed risk premium. The study aims to quantify the impact of the risk premium on fair value, a critical component in determining the required rate of return. Statistical analysis, including correlation coefficients and regression analyses, was conducted to examine the relationships among the variables. The res

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Minoiu, Camelia, Andres Schneider, and Min Wei. "Why Does the Yield Curve Predict GDP Growth? The Role of Banks." Finance and Economics Discussion Series, no. 2023-049 (July 2023): 1–62. http://dx.doi.org/10.17016/feds.2023.049.

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We provide evidence on the effect of the slope of the yield curve on economic activity through bank lending. Using detailed data on banks' lending activities coupled with term premium shocks identified using high-frequency event study or instrumental variables, we show that a steeper yield curve associated with higher term premiums (rather than higher expected short rates) boosts bank profits and the supply of bank loans. Intuitively, a higher term premium represents greater expected profits on maturity transformation, which is at the core of banks’ business model, and therefore incentivizes b

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Kelly, Hugh F. "Ex post to ex ante: using some lessons from the global financial crisis to prepare for future risk." Journal of Property Investment & Finance 35, no. 6 (2017): 541–55. http://dx.doi.org/10.1108/jpif-10-2016-0082.

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Purpose The purpose of this paper is to develop benchmarking standards for risk premiums in capitalization rates and commercial mortgage rates, to examine the impact of investor choice of property type and geographic markets on those risk premiums, and to supplement the quantitative analysis with historical and behavioral decision-making factors. Design/methodology/approach Using data sets extending from 1Q 1995 to 2Q 2016, a range of risk premiums is calculated and norms established at the 65th and 35th percentiles by property type and investment position. Relative levels of the risk premiums

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Baghlaf, Naif, Rozina Shaheen, and Lindos E. Daou. "Explaining REIT returns in emerging economies: A Fama-French approach with foreign investment and political stability." International Journal of ADVANCED AND APPLIED SCIENCES 12, no. 1 (2025): 7–18. https://doi.org/10.21833/ijaas.2025.01.002.

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This study examines the applicability of the Fama-French 3-factor model to Real Estate Investment Trusts (REITs) in emerging economies using monthly data from January 2016 to December 2023 for 23 REITs across five emerging markets. A Generalized Method of Moments (GMM) (system) approach assesses the impact of 12 explanatory variables, including traditional factors like market, value, size, and momentum premiums, as well as emerging market-specific factors such as the Morgan Stanley Capital International (MSCI) Emerging Markets Currency Index and Bloomberg Commodity Ex-Agriculture Index. Contro

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Khataybeh, Mohammad A., Mohamad Abdulaziz, and Zyad Marashdeh. "Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets." Applied Economics Quarterly: Volume 65, Issue 2 65, no. 2 (2019): 115–37. http://dx.doi.org/10.3790/aeq.65.2.115.

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Abstract This paper examines the conditional risk-return relationship caused by the impact of using realized returns as a proxy for expected returns, which requires a separation of negative and positive market premiums. Following the methodology of Pettengill et al. (1995), we test the cross sectional relationship between beta and realized returns on the Amman Stock Exchange (ASE) for ten beta sorted portfolio over the period of January 1993 to December 2016. The empirical results suggest that the traditional two-pass approach produces an insignificant relationship between beta and realized re

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Kanapeckas, Jonas. "Forecasting bond returns using asymmetric regression and investment management." Nonlinear Analysis: Modelling and Control 3 (December 3, 1998): 79–99. http://dx.doi.org/10.15388/na.1998.3.0.15259.

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The first section of this research formulates the forecasting task important for managing investment portfolio as well as discusses certain statistical data. The second section is devoted to potential regressors frequently used to forecast risk premiums of bonds, this section extensively use the ideas presented in article [4]. The third section includes the research of asymmetry of relation between risk premiums and regressors. The fourth section is devoted to the investigation of applicability received results in practice.

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Erol, Isil, and Tanja Tyvimaa. "Explaining the premium to NAV in publicly traded Australian REITs, 2008–2018." Journal of Property Investment & Finance 38, no. 1 (2019): 4–30. http://dx.doi.org/10.1108/jpif-06-2019-0078.

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Purpose The purpose of this paper is to explore the levels and determinants of net asset value (NAV) premiums/discounts for publicly traded Australian Real Estate Investment Trust (A-REIT) market during the last decade. A-REITs were severely affected by the global financial crisis as S&P/ASX 200 A-REIT index-listed property stocks experienced 47 per cent discount to NAV, on average, in 2008–2009 crisis. Since 2013, A-REIT sector has exhibited a strong recovery from the financial crisis and traded at high premiums to date. Understanding the relationship between pricing in the public and pri

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Khan, Fahim Ullah, Ahmad Fraz, and Asif Ali. "Financial Distress premium in Pakistan’s Banking Stocks." NICE Research Journal 13, no. 4 (2020): 127–46. http://dx.doi.org/10.51239/nrjss.v13i4.236.

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This paper examines the role of financial distress premium in explaining the stock returns of banking sector in Pakistan using the sample of twenty listed banks for the period of 2008 to 2018. The study has used two methodologies. Firstly, multifactor model approach of Fama and French (1992) is used to test the financial distress premium (additional risk factor) where portfolio returns are regressed with factor premiums in time series framework. Fama and French (1993) argue that the relationship between the stock return and the selected characteristics occur for that reason these characteristi

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Imene, Ouchen, Sadoun Ahmed, Metiri Farouk, and Remita Mohamed Riad. "On bayesian bonus-malus premium under linex loss function with applications." STUDIES IN ENGINEERING AND EXACT SCIENCES 5, no. 2 (2024): e6226. http://dx.doi.org/10.54021/seesv5n2-061.

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The majority of bonus-malus systems (BMS) determine the premium for each policyholder solely based on their claim frequency. Adopting this method would be unjust. A driver who files a claim for small damage cannot be subjected to the same penalties as a driver responsible for a claim involving significant damage. To achieve a balance in the portfolio between good and bad drivers, a new portion of the premium is computed as a compromise. To do this, the claim severity is created and assessed to provide a fair premium. The consideration was determined by taking into account both the quantity and

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Hertig, Joakim. "A Statistical Approach to IBNR-Reserves in Marine Reinsurance." ASTIN Bulletin 15, no. 2 (1985): 171–83. http://dx.doi.org/10.2143/ast.15.2.2015027.

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AbstractThe run off-pattern of long-term reinsurance treaties is described by means and standard deviations of logarithmic increments of premiums and loss ratios in a normal distribution. From this description forecasts of ultimate claims and current IBNR-reserves are derived, with associated distributions and confidence limits. Aggregation from individual treaties to portfolio level is proposed by normal approximation. Security loading of IBNR-reserves is proposed by a contingency reserve at portfolio level.

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Olivieri, Annamaria, and Ermanno Pitacco. "Time Restrictions on Life Annuity Benefits: Portfolio Risk Profiles." Risks 10, no. 8 (2022): 164. http://dx.doi.org/10.3390/risks10080164.

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Due to the increasing interest in several markets in life annuity products with a guaranteed periodic benefit, the back-side effects of some features that may prove to be critical either for the provider or the customer should be better understood. In this research, we focus on the time frames defined by the policy conditions of life annuities. While the payment phase coincides with the post-retirement period in the traditional annuity product, arrangements with alternative time frames are being offered in the market. Time restrictions, in particular, could be welcomed both by customers and pr

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Byun, Kiwoong, Baeho Kim, and Dong Hwan Oh. "Default Clustering Risk Premium and its Cross-Market Asset Pricing Implications." Finance and Economics Discussion Series, no. 2023-055 (August 2023): 1–32. http://dx.doi.org/10.17016/feds.2023.055.

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This study examines the market-implied premiums for bearing default clustering risk by analyzing credit derivatives contracts on the CDX North American Investment Grade (CDX.NA.IG) portfolio between September 2005 and March 2021. Our approach involves constructing a time series of reference tranche rates exclusively derived by single-name CDS spreads. The default clustering risk premium (DCRP) is captured by comparing the original and reference tranche spreads, with the former exceeding the latter when investors require greater compensation for correlated defaults at the portfolio level. The f

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Syed Yusoff Alhabshi, Sharifah Farah, Zamira Hasanah Zamzuri, and Siti Norafidah Mohd Ramli. "Monte Carlo Simulation of the Moments of a Copula-Dependent Risk Process with Weibull Interwaiting Time." Risks 9, no. 6 (2021): 109. http://dx.doi.org/10.3390/risks9060109.

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The widely used Poisson count process in insurance claims modeling is no longer valid if the claims occurrences exhibit dispersion. In this paper, we consider the aggregate discounted claims of an insurance risk portfolio under Weibull counting process to allow for dispersed datasets. A copula is used to define the dependence structure between the interwaiting time and its subsequent claims amount. We use a Monte Carlo simulation to compute the higher-order moments of the risk portfolio, the premiums and the value-at-risk based on the New Zealand catastrophe historical data. The simulation out

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Khandelwal, Vinay, Prashant Sharma, and Varun Chotia. "ESG Disclosure and Firm Performance: An Asset-Pricing Approach." Risks 11, no. 6 (2023): 112. http://dx.doi.org/10.3390/risks11060112.

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Disclosing information on environmental, social, and governance (ESG) parameters is voluntary for most firms across the world. Companies disclose their performance on ESG datapoints due to two main reasons—(i) to gain the trust of stakeholders through increased transparency and (ii) to comply with regulations imposed by governments and investment houses. Using a dataset of companies disclosing ESG parameters during 2014–2021 from the S&P BSE 500 index, this study investigates the role of ESG disclosure on firm performance. We divide the constituent securities into three factors—size, value

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BIAGINI, FRANCESCA, and JAN WIDENMANN. "PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS." International Journal of Theoretical and Applied Finance 15, no. 04 (2012): 1250025. http://dx.doi.org/10.1142/s0219024912500252.

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This paper provides a new approach for modeling and calculating premiums for unemployment insurance products. The innovative modeling concept consists of combining the benchmark approach with its real-world pricing formula and Markov chain techniques in a doubly stochastic setting. We describe individual insurance claims based on a special type of unemployment insurance contracts, which are offered on the private insurance market. The pricing formulas are first given in a general setting and then specified under the assumption that the individual employment-unemployment process of an employee

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Lau, John W., Tak Kuen Siu, and Hailiang Yang. "On Bayesian Mixture Credibility." ASTIN Bulletin 36, no. 02 (2006): 573–88. http://dx.doi.org/10.2143/ast.36.2.2017934.

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We introduce a class of Bayesian infinite mixture models first introduced by Lo (1984) to determine the credibility premium for a non-homogeneous insurance portfolio. The Bayesian infinite mixture models provide us with much flexibility in the specification of the claim distribution. We employ the sampling scheme based on a weighted Chinese restaurant process introduced in Lo et al. (1996) to estimate a Bayesian infinite mixture model from the claim data. The Bayesian sampling scheme also provides a systematic way to cluster the claim data. This can provide some insights into the risk characte

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