index also introduces basis risk since the industry loss and the reinsured company's loss are usually not fully correlated …. The aim of this paper is to simultaneously examine basis risk and pricing of an indemnity-based industry loss warranty … contract, which is done by comparing actuarial and financial pricing approaches for different measures of basis risk. Our …

distorts traders' information acquisition, demands, and perceived equity premium, resulting in a security price mispricing. The … model helps to understand a linkage between liquidity and asset prices, proposes plausible explanations for large price …

aggregate scaled-price ratios - including "value spreads" - as price of risk proxies in time series. Prices in scaled-price … ratios reflect risk premiums (and the price of risk), while the scaling variables control for expected cash flows. They … differ from risk proxies (without a price component) that only predict returns in cross-section. The ratios between each …

I use index prices and options to estimate the pricing kernel's elasticity, which equals the market price of risk. I …