Due to the highly skewed and heavy-tailed distributions associated with the insurance claims process, we evaluate the Rubinstein-Leland (RL) model for its ability to improve the cost of equity estimates of insurance companies because of its distribution-free feature. Our analyses show that there...

This study tests two major theories of insurer underwriting cycles and extends the hypotheses to explain insurers’ reserving behaviors. By applying a simultaneous equations model to cross-sectional and time-series firm-level data, this study proposes that insurers’ net investment income can...

Purpose – The paper aims to examine theoretically valuation of weather derivatives and their hedging roles in corporate risk management. Design/methodology/approach – The paper introduces an extended financial market model in which the weather risk is included as an independent random...

Purpose – The paper aims to examine theoretically valuation of weather derivatives and their hedging roles in corporate risk management. Design/methodology/approach – The paper introduces an extended financial market model in which the weather risk is included as an independent random...