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Asset Pricing Models and Insurance Ratemaking
16 references·1 citing·28 second hop
Asset Pricing Models and Insurance Ratemaking (1990)Asset Pricing Models and Insurance Ratema…Theory of rational option pricing (2005)Theory of rational option pri…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Principles of Corporate Finance. (1981)Principles of Corporate Finan…Financial Theory and Corporate Policy. (1980)Financial Theory and Corporat…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)Equilibrium in Competitive In…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…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…Increasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers (2010)Alternative Models for Estima…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Essays in the Theory of Risk-Bearing. (1972)Job Market Signaling (1973)The Economics of Caste and of the Rat Race and Other Woeful Tales (1976)Health insurance and the demand for medical care: evidence from a randomized experiment. (1987)Liberalization, Moral Hazard in Banking, and Prudential Regulation: Are Capital Requirements Enough? (2000)Signaling in Retrospect and the Informational Structure of Markets (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)The Capital Structure Puzzle (1984)The Determinants of Capital Structure Choice (1988)The theory and practice of corporate finance: evidence from the field (2001)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1976Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information4,984 cited
  • 1981Principles of Corporate Finance.3,634 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1980Financial Theory and Corporate Policy.1,699 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1971Increasing risk II: Its economic consequences

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  • 2010Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers20 cited