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A Universal Framework for Pricing Financial and Insurance Risks
8 references·16 citing·37 second hop
A Universal Framework for Pricing Financial and Insurance Risks (2002)A Universal Framework for Pricing Financi…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Options, Futures and Other Derivatives (2003)Options, Futures and Other De…A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Class of Distortion Operato…Modelling Extremal Events (1997)Modelling Extremal EventsAn Economic Premium Principle (1980)An Economic Premium PrincipleThe valuation of options for alternative stochastic processes (1976)The valuation of options for …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…Valuation of longevity-linked life annuities (2017)Valuation of longevity-linked…Applied Conic Finance (2016)Applied Conic FinancePricing and securitization of multi-country longevity risk with mortality dependence (2012)Pricing and securitization of…Mortality Regimes and Pricing (2011)Mortality Regimes and PricingSecuritization, structuring and pricing of longevity risk (2009)Securitization, structuring a…On the pricing of longevity-linked securities (2009)On the pricing of longevity-l…Multivariate Tweedie distributions and some related capital-at-risk analyses (2009)Multivariate Tweedie distribu…Modeling Mortality With Jumps: Applications to Mortality Securitization (2009)Modeling Mortality With Jumps…Longevity bond premiums: The extreme value approach and risk cubic pricing (2009)Longevity bond premiums: The …Securitization of catastrophe mortality risks (2007)Securitization of catastrophe…Association and heterogeneity of insured lifetimes in the Lee–Carter framework (2007)Association and heterogeneity…Tail Variance Premium with Applications for Elliptical Portfolio of Risks (2006)Tail Variance Premium with Ap…Survivor Swaps (2006)Survivor SwapsRisk measurement with equivalent utility principles (2006)Risk measurement with equival…Capital Allocation Survey with Commentary (2004)Capital Allocation Survey wit…Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model (2003)Equilibrium Pricing Transform…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Liquidity Preference as Behavior Towards Risk (1958)Optimal rules for ordering uncertain prospects (1975)Coherent Measures of Risk (1999)Weighted premium calculation principles (2007)Weighted risk capital allocations (2008)Optimal Reinsurance Arrangements Under Tail Risk Measures (2009)Survivor Bonds: Helping to Hedge Mortality Risk (2001)Securitization of Longevity Risk in Reverse Mortgages (2008)On Pricing and Hedging the No-Negative-Equity Guarantee in Equity Release Mechanisms (2009)The New Life Market (2013)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Risk measures and comonotonicity (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)On convex principles of premium calculation (1985)Actuarial bridges to dynamic hedging and option pricing (1996)Insurance Risk and Ruin (2005)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1997Modelling Extremal Events4,397 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 1980An Economic Premium Principle332 cited

Cited by

  • 2006Tail Variance Premium with Applications for Elliptical Portfolio of Risks168 cited
  • 2006Survivor Swaps158 cited
  • 2009On the pricing of longevity-linked securities131 cited
  • 2009Modeling Mortality With Jumps: Applications to Mortality Securitization124 cited
  • 2007Securitization of catastrophe mortality risks102 cited
  • 2009Securitization, structuring and pricing of longevity risk94 cited
  • 2007Association and heterogeneity of insured lifetimes in the Lee–Carter framework88 cited
  • 2011Mortality Regimes and Pricing

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83 cited
  • 2006Risk measurement with equivalent utility principles77 cited
  • 2012Pricing and securitization of multi-country longevity risk with mortality dependence69 cited
  • 2004Capital Allocation Survey with Commentary68 cited
  • 2009Longevity bond premiums: The extreme value approach and risk cubic pricing64 cited
  • 2003Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model61 cited
  • 2016Applied Conic Finance58 cited
  • 2009Multivariate Tweedie distributions and some related capital-at-risk analyses51 cited
  • 2017Valuation of longevity-linked life annuities48 cited