Evaluating density forecasts from models of stock market returns

Density forecasts have become important in finance and play a key role in modern risk management. Using a flexible density forecast evaluation framework that extends the Berkowitz likelihood ratio test this paper evaluates in- and out-of-sample density forecasts of daily returns on the DAX, ATX and S&P 500 stock market indices from models of financial returns that are currently widely used in the financial industry. The results indicate that GARCH-t models produce good in-sample forecasts. No model considered in this study delivers fully acceptable out-of-sample forecasts. The empirical findings emphasize that proper distributional assumptions combined with an adequate specification of relevant conditional higher moments are necessary to obtain good density forecasts.     

Asset management in the German insurance industry: the quality of interest rate forecasts

Chopra and Ziemba (J.?Portf. Manag. 19: 6?C11, 1993) show that for asset only allocations the return forecasts are more important than assumptions about the variance-covariance matrix of the returns. Following Basse et al. (ZVersWiss 96: 617?C648, 2007) the same holds true for the asset liability management (ALM) of insurance companies. Given the high quotas of bonds in the real as well as optimized insurance portfolios, interest rate forecasts are of exceptional importance. Therefore this paper examines some of these estimates for the European market using techniques of time series analysis. A?set of criteria for the evaluation of the forecasts is presented. While some results seem to be quite favorable for forecasters, others indicate that none of the analyzed forecasts seems to provide relevant information about the future development. There is lot of evidence showing that interest rates are very difficult to predict. Some hints clearly point towards herd behavior among forecasters.     

Option augmented density forecasts of market returns with monotone pricing kernel

Basic financial theory indicates that the ratio of the conditional density of the future value of a market index and the corresponding risk neutral density should be monotone, but a sizeable empirical literature finds otherwise. We therefore consider an option augmented density forecast of the market return obtained by transforming a baseline density forecast estimated from past excess returns so as to monotonize its ratio with a risk neutral density estimated from current option prices. To evaluate our procedure, we compare baseline and option augmented monthly density forecasts for the S&P 500 index over the period 1997–2013. We find that monotonizing the pricing kernel leads to a modest improvement in the calibration of density forecasts. Supplementary results supportive of this finding are given for market indices in France, Germany, Hong Kong, Japan and the UK.     

Simultaneous borrowing of information across space and time for pricing insurance contracts: An application to rating crop insurance policies

Changing climate and technology can often lead to nonstationary losses across both time and space for a variety of insurance lines including property, catastrophe, health, and life. As a result, naive estimation of premium rates using past losses will tend to be biased. We present three successively flexible data‐driven methodologies to nonparametrically smooth across both space and time simultaneously, thereby appropriately incorporating possibly nonidentically distributed data into the rating process. We apply these methodologies in estimating U.S. crop insurance premium rates. Crop insurance, with global premiums totaling $4.1 trillion in 2018, is an interesting application as losses exhibit both temporal and spatial nonstationarity. We find significant borrowing of information across both time and space. We also find all three methodologies improve both the stability and accuracy of crop insurance premium rates. The proposed methods may be of relevance for other lines of insurance characterized by spatial and/or temporal nonstationary losses.     

湖南保险代理公司业务转型趋势及风险探析

随着寿险业务经营理念的不断深入,加之资本市场运作的推动以及公司持续发展的需要,湖南的部分保险代理公司已经逐渐向代理寿险业务转型。尽管湖南寿险专业代理机构采取了精英模式、华康模式、泛华模式等不同的经营管理模式,但都呈现出资金实力相对比较强,分支机构建设力度较大,盈利周期普遍较长,合作模式和渠道单一,从业人员素质不高等共同特点。监管机构必须高度关注寿险专业代理机构发展过程中存在的风险,及时采取应对措施,以促进湖南保险业持续健康发展。     

商业风险涉“关联”信用保险免责任

中国信保专家指出：尽管关联交易是当今市场经济中常见的交易形式,有其产生及存在的必然性,但关联交易种类繁多而复杂,且究其根本,因关联方存在利益上的一致性,其交易亦属内部交易的性质,故客观上必然成为不公平及滥用权利等现象滋生的土壤,变为相关内部控制人获取不正当利益（如转移定价、抽逃资本或利润）的手段     

A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices

We compare density forecasts of the S&P 500 index from 1991 to 2004, obtained from option prices and daily and 5-min index returns. Risk-neutral densities are given by using option prices to estimate diffusion and jump-diffusion processes which incorporate stochastic volatility. Three transformations are then used to obtain real-world densities. These densities are compared with historical densities defined by ARCH models. For horizons of two and four weeks the best forecasts are obtained from risk-transformations of the risk-neutral densities, while the historical forecasts are superior for the one-day horizon; our ranking criterion is the out-of-sample likelihood of observed index levels. Mixtures of the real-world and historical densities have higher likelihoods than both components for short forecast horizons.     

盈利预测审核问题浅析

从近几年注册会计师执业的实际情况看,许多人对盈利预测审核还缺乏足够的认识,某些因素仍严重影响着注册会计师盈利预测审核的质量.本文就此展开分析,以期抛砖引玉.     

投资连结保险产品设计及推广分析

投资连结保险的产品设计独特,将其保障功能与投资功能分开,一方面为消费者提供了调整保险和投资计划的便利,另一方面也使之与资本市场的走势密切相关。我国寿险市场上的供给方存在资本市场繁荣时过多引导消费者关注投资收益,边缘化其保险功能的问题;需求方则由于对投资连结保险产品收益的刚性预期,不能接受产品收益下降的情况。两方面共同的结果是导致投资连接保险成为寿险市场上的不稳定因素。为促使投资连接保险在我国的健康发展,应当强调投资连接保险的保障功能;针对销售导向进行实质的约束;利用税收对市场进行引导等。     

The accuracy of management dividend forecasts in Australia

Dividends have direct cash flow consequences for investors and are important for signalling reasons. Consequently, investors, analysts and managers typically forecast future dividends and report them in various ways. Yet the accuracy of dividend forecasts has been largely neglected in empirical finance. We examine the accuracy of managers' dividend forecasts in Australian IPO prospectuses (a companion paper examines the analysts' dividend forecasts). Managers' dividend forecasts are optimistically biased. Nevertheless, they are substantially more accurate and less biased than their earnings counterparts. Differences in retained ownership and the predictability of earnings help explain why some dividend forecasts are more accurate than others.     

Value relevance of analyst earnings forecasts in emerging markets

Even though research in accounting and finance has extensively examined the role of financial analysts in developed economies, this issue has not been thoroughly examined in an emerging market setting. In this paper, I examine whether, following a market opening, analyst forecast accuracy and the market's reliance on analyst forecasts increase with time. Accuracy is expected to increase over time as analysts exert more effort and gain valuable forecasting experience. Results indicate that time is positively related to analyst forecast accuracy after controlling for a number of other firm and country characteristics. Second, I posit that time should also be related to the market's propensity to use analyst forecasts to form earnings expectations. As markets open and investors become more sophisticated, the reliance on analyst forecasts should also increase. Results are consistent with this expectation. In particular, I find that in the first sub-period earnings expectations based on random walk exhibit greater relative information content than earnings expectations based on analyst forecasts. This pattern is reversed in the third sub-period where analyst forecast errors better explain returns. Incremental information content tests produce similar results. Future research should further investigate the relation between financial analysts and other important market characteristics in emerging economies.     

The role of analyst forecasts in the momentum effect

We evaluate the extent to which sell-side equity analysts can facilitate market efficiency when there is increasing uncertainty about a stock's future value. The prevalence of the 52-week-high momentum anomaly, that can be largely attributed to information uncertainty, provides a setting for examining the value and timing of analysts' earnings forecast revisions. Our study finds that analysts can provide value-relevant signals to investors by picking up indicators of momentum. The ability to identify under or over-valued stocks suggests that analysts are important information intermediaries in the price-continuation momentum effect. However, we also observe pervasive asymmetric reaction to good and bad news throughout our study that is consistent with incentive-driven reporting and optimistic biases. Nevertheless, analysts' forecast revisions are informative at different stages to re-establish stock prices back to their fundamental valuation.     

保险公司电子商务初探

电子商务作为网络经济的支付工具，已经逐渐被市场认可。随着计算机网络技术的发展，电子商务已日臻完善，在企业经营活动中，以高效率、低成本的非凡表现赢得使用者一致好评，电子商务已成为网络经济的好助手。电子商务是企业通过操作计算机完成产品交易的平台，它是现代网络经济的产物，然而，无论是经营模型，还是商品交易经验，电子商务在各个领域的应用还需要不断完善。对于以传统方式经营的保险公司，如何建立电子商务平台，是保险公司在未来业务发展中需要认真研究和探讨的新课题。众所周知，保险公司是以营销员卖保单或政府对部分险…     

Strategic distortions in analyst forecasts in the presence of short-term institutional investors

We document that analysts cater to short-term investors by issuing optimistic target prices. Catering dominates among analysts at brokers without an investment banking arm as they face lower reputational cost. The market does not see through the analyst catering activity and their forecasts lead to temporary stock overpricing that short-term institutional investors exploit to offload their holdings to retail traders. We also report evidence consistent with catering brokers being rewarded with more future trades channelled through them. Our study identifies a new source of conflicts of interest in analyst research originating from the ownership composition of a stock.     

电子商务技术在保险行业的应用

保险电子商务作为一种新型的经营方式和商业模式,在降低保险企业经营成本,创造新的营销手段和合作关系等方面发挥着重要作用。国内保险公司竞相开通了各自富有特色的保险电子商务网站,网上保险业务也呈现出蓬勃发展之势。随着保险电子商务网站内容建设逐步趋于多元化,客户对网站提供的各类服务提出了较高的要求,个性化服务、全天候服务已提上议事日程。以客户为中心的保险电子商务营销模式的建立,要求依靠先进的电子商务技术来实施。一、保险电子商务门户网站建设保险电子商务门户网站作为传统销售渠道的开拓与延伸,为客户提供了方便快捷的…     

电子签名在保险业务中的应用

在传统商务交易中，为了保证交易的安全与真实，一份书面合同或公需要由当事人或负责人签字或盖章，以便让交易双方识别是谁签的合同，并能保证签字或盖章的人认可合同的内容，在法律上才能承认这份合同是有效的。签名有两个功能：标识签名人和表示签名人对件内容的认可，而在电子商务的虚拟世界中，合同或件是以电子件的形式表现和传递的。在电子件上，传统的手写签名和盖章是无法进行的，必须由技术手段替代，电子签名应运而生。     

Optimal insurance in the presence of reinsurance

This paper studies an optimal insurance and reinsurance design problem among three agents: policyholder, insurer, and reinsurer. We assume that the preferences of the parties are given by distortion risk measures, which are equivalent to dual utilities. By maximizing the dual utility of the insurer and jointly solving the optimal insurance and reinsurance contracts, it is found that a layering insurance is optimal, with every layer being borne by one of the three agents. We also show that reinsurance encourages more insurance, and is welfare improving for the economy. Furthermore, it is optimal for the insurer to charge the maximum acceptable insurance premium to the policyholder. This paper also considers three other variants of the optimal insurance/reinsurance models. The first two variants impose a limit on the reinsurance premium so as to prevent insurer to reinsure all its risk. An optimal solution is still layering insurance, though the insurer will have to retain higher risk. Finally, we study the effect of competition by permitting the policyholder to insure its risk with an insurer, a reinsurer, or both. The competition from the reinsurer dampens the price at which an insurer could charge to the policyholder, although the optimal indemnities remain the same as the baseline model. The reinsurer will however not trade with the policyholder in this optimal solution.     

Sources of growth in international insurance services

The purpose of this paper is to analyse international insurance services. It defines international insurance services in the context of the new definition of trade in financial services. Cross-border trade and foreign direct investment in insurance services are categorised into four distinct groups, based on the movement of providers and receivers of insurance services. The empirical results of a model of the movement of providers in insurance services indicate that insurance premiums and the national income of the host countries contribute to the expansion of multinational insurance companies. Furthermore, bilateral trade, labor costs, economic growth and the cost of capital are also contributing to the expansion of international insurance services. In addition, the empirical results indicate that FDI in banking is a complement to the expansion of international insurance services.     

保险业CRM系统应用分析

2004年12月11日,按照三年前的中国入世承诺,中国保险业开始全面对外资开放,中国保险业将全面与国际保险体系接轨。这既是一个发展机遇同时也是一个严峻的考验。入世后,国内保险行业面临的最大问题就是如何寻找一个合理、有效的经营管理模式,利用本土化优势,扬长避短,不断提高和