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Crisis Sentiment in the U.S. Insurance Sector

Irresberger, Felix - 2016

We use internet search volume data to measure idiosyncratic and market-wide crisis sentiment to explain insurer stock return volatility. We find that market-level crisis sentiment was a significant predictor of stock return volatility of U.S. insurers between 2006 and 2010. Higher levels of...

Persistent link: https://www.econbiz.de/10013006941

Income volatility and household commercial insurance allocation

Guo, Wei - In: Finance research letters 66 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10015057701

Measuring consumption smoothing in CEX data

Gervais, Martin; Klein, Paul - 2009

Persistent link: https://www.econbiz.de/10003899141

Measuring consumption smoothing in CEX data

Gervais, Martin; Klein, Paul - In: Journal of monetary economics 57 (2010) 8, pp. 988-999

Persistent link: https://www.econbiz.de/10008904997

The volatility and price sensitivities of managerial stock option portfolios and corporate hedging

Knopf, John Donald; Nam, Jouahn; Thornton, John H. - In: The journal of finance : the journal of the American … 57 (2002) 2, pp. 801-813

Persistent link: https://www.econbiz.de/10001684732

Essays on price dynamics and consumer search

Lewis, Matthew Stephen - 2004

Persistent link: https://www.econbiz.de/10003549631

Ambiguity and Volatility : Asset Pricing Implications

Pataracchia, Beatrice - 2011

Using a simple dynamic consumption-based asset pricing model, this paper explores the implications of a representative investor with smooth ambiguity averse preferences [Klibanoff, Marinacci and Mukerji, Econometrica (2005)] and provides a comparative analysis of risk aversion and ambiguity...

Persistent link: https://www.econbiz.de/10013127171

Unit-linked life insurances as a form of protection for the future

Homa, Magdalena - In: Economic and environmental studies : a journal for … 17 (2017) 1, pp. 35-46

, they are frequently seen as uneconomical products, which is caused mainly by the fact that insurance policies compensations … of such insurance types, carry out an accurate valuation of the unit-linked insurance portfolio, as well as to … investigate financial surplus in relation to a traditional insurance with guaranteed sum. …

Persistent link: https://www.econbiz.de/10011688820

What Goes into Risk Neutral Volatility? Empirical Estimates of Risk and Subjective Risk Preferences

Figlewski, Stephen - 2019

Under Black-Scholes (BS) assumptions, empirical volatility and risk neutral volatility are given by a single parameter, which captures all aspects of risk. Inverting the model to extract implied volatility from an option's market price gives the market's forecast of future empirical volatility....

Persistent link: https://www.econbiz.de/10012902982

The high frequency risk attitude implied by the volatility risk premium

Zhu, Chao; Zhang, Yuwei; Yi, Zhen - In: Economics letters 207 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10013170635

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