This paper shows that under some plausible assumptions about the distributions of returns and the utility functions of the investors the CAPM holds in every single period even if investors have multiperiod diverse investment horizons. This hold even when portfolio returns are dependent over...

In automobile insurance the premium rate which the insured must pay increases whenever he files a claim. Here we present the optimal claims strategy of the insured. It is shown that the insured will file a claim only if the damage exceeds some critical value which depends on his premium rate and...