Assuming insurable events are generated by a marked point process, this article develops a framework in which insurance markets are dynamically complete in the sense of Kreps (1982). Insurance contracts can then be priced using the techniques of intertemporal finance: the equlibrium price of an...

We develop a new approach to modeling the volatility of stock prices that overcomes well-known problems with using realized volatility as a proxy for integrated volatility. Using high-frequency data for SPY, an exchange-traded fund that tracks the S&P 500, we estimate the parameters of a...