Uncertainty affects business cycles and asset prices. We estimate firm-level productivity and decompose total uncertainty risk measured as cross-sectional productivity dispersion into macro uncertainty (an aggregate component) and micro uncertainty (an idiosyncratic component). We find that...

We test whether the diversification of marginal investor affects the underlying firm's cost of equity. We use institutional investor holdings data to identify the marginal investor. Compared with individual investors, institutional investors are more likely to be the marginal investor, given...

We decompose aggregate market variance into an average correlation component and an average variance component. Only the latter commands a negative price of risk in the cross section of portfolios sorted by idiosyncratic volatility. Portfolios with high (low) idiosyncratic volatility relative to...

Purpose: The purpose of this paper is to propose an improved reinsurance pricing framework, which includes a crop yield forecasting model that integrates weather variables and crop production information from different geographically correlated regions using a new credibility estimator, and...

Adverse weather related risk is a main source of crop production loss and a big concern for agricultural insurers and reinsurers. In response, weather risk hedging may be valuable, however, due to basis risk it has been largely unsuccessful to date. This research proposes the Levy subordinated...

We contribute to the non-life experience ratemaking literature by introducing a computationally efficient approximation algorithm for the Bayesian premium in models with dynamic random effect, where the risk of a policyholder is governed by an individual process of unobserved heterogeneity....

Accurate crop yield forecasting is central to effective risk management for many stakeholders, including farmers, insurers, and governments, in various practices, such as crop management, sales and marketing, insurance policy design, premium rate setting, and reserving. This paper rst...