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The Valuation of Multiple Claim Insurance Contracts
14 references·3 citing·40 second hop
The Valuation of Multiple Claim Insurance Contracts (1992)The Valuation of Multiple Claim Insurance…ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)ALTERNATIVE CHARACTERIZATIONS…The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value (1990)The Stop-Loss Start-Gain Para…Risk‐Based Premiums for Insurance Guaranty Funds (1988)Risk‐Based Premiums for Insur…Price Regulation in Property‐Liability Insurance: A Contingent‐Claims Approach (1986)Price Regulation in Property‐…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Option Pricing when the Underlying Asset Earns a Below-Equilibrium Rate of Return: A Note (1984)Option Pricing when the Under…The Determination of Fair Profits for the Property‐Liability Insurance Firm (1982)The Determination of Fair Pro…Consistent Regulatory Policy under Uncertainty (1982)Consistent Regulatory Policy …Handbook of Financial Economics. (1980)Handbook of Financial Economi…MARKET RISK ADJUSTMENT IN PROJECT VALUATION (1978)MARKET RISK ADJUSTMENT IN PRO…An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)An analytic derivation of the…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The valuation of unit-linked policies with or without surrender options (2005)The valuation of unit-linked …An Asian Option Approach to the Valuation of Insurance Futures Contracts (1998)An Asian Option Approach to t…The Valuation of Option Features in Retirement Benefits (1995)The Valuation of Option Featu…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Asset Prices in an Exchange Economy (1978)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Optimum consumption and portfolio rules in a continuous-time model (1971)Capital and risk in property-liability insurance markets (1996)The Impact of Firm Risk on Property-Liability Insurance Prices (1996)Capital Allocation for Insurance Companies (2001)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Theory of Bank Risk Taking and Competition Revisited (2005)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)How does capital affect bank performance during financial crises? (2013)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Rational Insurance Purchasing: Consideration of Contract Nonperformance (1990)Statistical and Financial Models of Insurance Pricing and the Insurance Firm (1991)Pricing and capital allocation in catastrophe insurance (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Capital Market Equilibrium with Restricted Borrowing (1972)The Value of Flexibility: The Case of a Dual-Fuel Industrial Steam Boiler (1993)Real Options and Product Life Cycles (1999)Valuing the option to invest in an incomplete market (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Option Pricing With V. G. Martingale Components1 (1991)Pricing and Hedging American Options: A Recursive Integration Method (1996)Randomization and the American Put (1998)Brownian Motion and Stochastic Calculus (2007)Trading Costs and Returns for Us Equities: The Evidence from Daily Data (2003)Is there a risk–return trade‐off? Evidence from high‐frequency data (2006)Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach (2007)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1977An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory1,923 cited
  • 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
  • 1988Risk‐Based Premiums for Insurance Guaranty Funds284 cited
  • 1986Price Regulation in Property‐Liability Insurance: A Contingent‐Claims Approach234 cited
  • 1978MARKET RISK ADJUSTMENT IN PROJECT VALUATION202 cited
  • 1980Handbook of Financial Economics.174 cited
  • 1984Option Pricing when the Underlying Asset Earns a Below-Equilibrium Rate of Return: A Note147 cited
  • 1982Consistent Regulatory Policy under Uncertainty105 cited
  • 1982The Determination of Fair Profits for the Property‐Liability Insurance Firm100 cited
  • 1990The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value91 cited

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  • 1995

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The Valuation of Option Features in Retirement Benefits
36 cited
  • 1998An Asian Option Approach to the Valuation of Insurance Futures Contracts33 cited
  • 2005The valuation of unit-linked policies with or without surrender options29 cited