排序方式: 共有26条查询结果,搜索用时 15 毫秒
1.
This paper presents a comprehensive assessment of premiums, reserves and solvency capital requirements (SCRs) for long-term care (LTC) insurance policies using Activities of Daily Living and US data. We compare stand-alone policies, whole life insurance policies with LTC benefit riders (LTC insurance combined with whole life insurance), life care annuities (LTC insurance combined with annuities) and shared LTC insurance in terms of net premium cost and SCRs. Net premiums and best-estimate reserves for base LTC insurance policies are determined using Thiele’s differential equation. Product features such as the elimination period and the maximum benefit period are compared using a simulation-based model. We show how a maximum benefit period can reduce costs and risks for LTC insurance products. SCRs for longevity risk and disability risk are based on the Solvency II standard formula. We quantify the extent to which whole life insurance policies with LTC benefit riders and life care annuities provide lower SCRs than stand-alone LTC insurance policies. 相似文献
2.
The article tests for the presence of short-term continuation and long-term reversal in commodity futures prices. While contrarian strategies do not work, the article identifies 13 profitable momentum strategies that generate 9.38% average return a year. A closer analysis of the constituents of the long–short portfolios reveals that the momentum strategies buy backwardated contracts and sell contangoed contracts. The correlation between the momentum returns and the returns of traditional asset classes is also found to be low, making the commodity-based relative-strength portfolios excellent candidates for inclusion in well-diversified portfolios. 相似文献
3.
Joelle H. Y. Fong Olivia S. Mitchell Benedict S. K. Koh 《The Journal of risk and insurance》2011,78(4):961-982
Although annuities are a theoretically appealing way to manage longevity risk, in the real world relatively few consumers purchase them at retirement. To counteract the possibility of retirees outliving their assets, Singapore's Central Provident Fund, a national defined contribution pension scheme, has recently mandated annuitization of workers’ retirement assets. More significantly, the government has entered the insurance market as a public‐sector provider for such annuities. This article evaluates the money's worth of life annuities and discusses the impact of the government mandate and its role as an annuity provider on the insurance market. 相似文献
4.
Joelle Miffre 《Economic Notes》2002,31(1):125-142
This paper tests whether the variation in expected futures returns reflects rational pricing in an efficient market or weak-form market inefficiency. The issue is investigated by looking at the abnormal performance of a trading rule based on available information. Once one allows for time-varying risk and time-varying risk premia, the investment strategy can be used consistently to generate abnormal returns in seven out of 26 markets. With relatively few exceptions therefore, the predictable movements in futures returns reflect weak-form market efficiency. The paper also shows that wrongly assuming constant expected returns may lead to incorrect inferences regarding market efficiency.
(J.E.L.: G14, G12). 相似文献
(J.E.L.: G14, G12). 相似文献
5.
This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect the former more than the latter. In addition, we find that, perhaps because losers have a higher propensity than winners to disclose bad news, negative return shocks increase their volatility more than they increase those of the winners. The volatility of the losers is also found to respond to news more slowly, but eventually to a greater extent, than that of the winners. 相似文献
6.
This article provides a review of what we know, what we do not know, and what we need to know about the relationship between industrial clusters and corporate social responsibility (CSR) in developing countries. In addition to the drivers of and barriers to the adoption of CSR initiatives, this study highlights key lessons learned from empirical studies of CSR initiatives that aimed to improve environmental management and work conditions and reduce poverty in local industrial districts. Academic work in this area remains embryonic, lacking in empirical evidence about the effects of CSR interventions on the profitability on local enterprises, workers, and the environment. Nor do theoretical frameworks offer clear explanations of the institutionalization and effects of CSR in local industrial districts in the developing world. Other key limitations in this research stream include an excessive focus on export-oriented industrial clusters, the risk that CSR becomes a form of economic and cultural imperialism, and the potential for joint-action CSR initiatives in clusters of small and medium-sized enterprises to offer a new form of greenwashing. From this review, the authors develop a theoretical model to explain why CSR has not become institutionalized in many developing country clusters, which in turn suggests that the vast majority of industrial clusters in developing countries are likely to engage in socially irresponsible behavior. 相似文献
7.
Joelle Latina Roberta Piermartini Michele Ruta 《International Economics and Economic Policy》2011,8(2):177-196
When looking at the conditions of trade in natural resources the world appears upside down: tariff protection in natural resources
sectors is generally lower than for overall merchandise trade, while export restrictions are twice as likely as in other sectors.
On the other hand, tariff escalation is significant in natural resources sectors, where materials in their raw state face,
on average, lower duties than in their processed form. In this paper, we discuss how export taxes and tariff escalation may
be the result of an uncooperative trade policy. Specifically, tariff escalation and export taxes can be “beggar-thy-neighbor”
policies because governments may be tempted to use them to alter the relative price of exports to their advantage (terms-of-trade
effect) or to expand the domestic processing industry at the expenses of foreign production (production relocation effect).
In equilibrium, these policies offset each other in a Prisoners’ Dilemma situation, where trade is inefficiently low. 相似文献
8.
The paper investigates the information content of speculative pressure across futures classes. Long-short portfolios of futures contracts sorted by speculative pressure capture a significant premium in commodity, currency, and equity markets but not in fixed income markets. Exposure to commodity, currency, and equity index futures’ speculative pressure is priced in the broad cross-section after controlling for momentum, carry, global liquidity, and volatility risks. The findings are confirmed by robustness tests using alternative speculative pressure signals, portfolio construction techniques, and subperiods interalia. We argue that there is an efficient hedgers-speculators risk transfer in commodity, currency, and equity index futures markets. 相似文献
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10.
Joëlle Miffre 《期货市场杂志》2004,24(10):945-964
The paper presents a new methodology to estimate time dependent minimum variance hedge ratios. The so‐called conditional OLS hedge ratio modifies the static OLS approach to incorporate conditioning information. The ability of the conditional OLS hedge ratio to minimize the risk of a hedged portfolio is compared to conventional static and dynamic approaches, such as the naïve hedge, the roll‐over OLS hedge, and the bivariate GARCH(1,1) model. The paper concludes that, both in‐sample and out‐of‐sample, the conditional OLS hedge ratio reduces the basis risk of an equity portfolio better than the alternatives conventionally used in risk management. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:945–964, 2004 相似文献