This paper examines the impact of natural disasters on the Australian equity market. The data set employed consists of daily price and accumulation returns over the period 31 December 1982 to 1 January 2002 for the All Ordinaries Index (AOI) and a record of forty-two severe storms, floods,...

In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. The data set is the daily log returns of the French CAC 40 index, on the period January 2, October 26, 2007. Under the...

In this paper we explore factors potentially affecting the size of Albanian insurance market, over the period 1999 to 2009. The results of co-integration regression show that GDP and fraction urban population, both one lagged value, size of population and paid claims, both at contemporary value,...

The shipping industry represents an important component of the global economy. In the context of globalization the importance of marine insurance has increased more than even before. Without insurance, ship owners would be subjected to a wide range of risks that they would not be protected from....

U.S. property–liability insurance markets have displayed insurance cycles, with their swings in underwriting profits, for nearly a century. Various hypotheses have been developed to explain these fluctuations, as follows: financial pricing hypothesis, capacity constraint hypothesis, financial...

This study investigates whether the capital market values the efficiency of firms. After tracing stock returns and efficiency changes of 399 listed insurance firms in 52 countries during the 2002-2008 period, the paper reports a positive and statistically significant relationship between profit...

A well-developed insurance sector is necessary for the economic development of an emerging economy like India, as it provides long-term funds for physical and social infrastructure, while simultaneously strengthening risk-taking abilities. The investment requirements for India in the coming...

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...

This contribution starts out by noting a conflict of interest between consumers and insurers. Consumers face positive correlation in their assets (health, wealth, wisdom, i.e. skills), causing them to demand a great deal of insurance coverage. Insurers on the other hand eschew positively...

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...