中央财政森林保险保费补贴六省试点调研报告

为加快森林保险的发展,根据党中央、国务院有关文件精神,中央财政自2009年7月1日起在福建、江西和湖南三省启动了森林保险保费补贴试点工作,2010年7月1日起试点省又增加了浙江、辽宁和云南三省。我们通过书面调研、实地座谈、深入访谈等方式对试点六省的试点工作进展情况进行了较为广泛和深入的调查研究。同时,对11省的林业部门和人保财险17个省公司开展了问卷调查,并对问卷调查结果进行了统计分析。通过调查研究,总结了中央财政森林保险保费补贴政策试点以来取得的成效和存在的问题,分析了造成问题的原因,并在此基础上提出了政策建议。     

Pricing of the time-change risks

We develop an equilibrium endowment economy with Epstein-Zin recursive utility and a Lévy time-change subordinator, which represents a clock that connects business and calendar time. Our setup provides a tractable equilibrium framework for pricing non-Gaussian jump-like risks induced by the time-change, with closed-form solutions for asset prices. Persistence of the time-change shocks leads to predictability of consumption and dividends and time-variation in asset prices and risk premia in calendar time. In numerical calibrations, we show that the risk compensation for Lévy risks accounts for about one-third of the overall equity premium.     

Capital–Skill Complementarity and Inequality in Sweden

Income inequality increased in Sweden during the 1980s and 1990s, as did the returns to higher education. The main conclusion of this study is that increased income inequality between high‐ and low‐skilled workers is demand driven and is due to the presence of capital–skill complementarity in production. Increased investments in new, more efficient capital equipment, along with a slowdown in the growth rate of skilled labor, have raised the ratio of effective capital inputs per skilled worker, which, in turn, has increased the relative demand (and market return) for skilled labor through the capital–skill complementarity mechanism.     

RISK, SEASONALITY AND THE ASYMMETRIC BEHAVIOUR OF STOCK RETURNS

For some time there has been a puzzle surrounding the seasonal behaviour of stock returns. This paper demonstrates that there is an asymmetric relationship between systematic risk and return across the different months of the year for both large and small firms. In the case of both large and small firms systematic risk appears to be priced in only two months of the year, January and April. During the other months no persistent relationship between systematic risk and return appears to exist. The paper also shows that when systematic risk is priced, the size of the systematic risk premium is higher for large firms than for small firms and varies significantly across the months of the year.     

DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS1

This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk-neutral measures, characteristics of default can be uniquely determined by the prices of contracts involving default-prone securities.     

开发人禽流感险是适应市场勇于创新的表现

当下正是人们普遍关注禽流感疫情之时，民生人寿和华安财险两家保险公司先后推出专门针对人禽流感的定期人寿保险，引起了保险界极大关注，褒贬不一，批评者认为这是哗众取宠；保费没有精算基础；发生大规模赔付怎么办。本文却认为推出人禽流感保险是新兴保险公司适应市场勇于创新的很好表现，开展特色业务一般都是通过经验估计制定费率，尔后在实践中不断调整和完善；在国家和整个社会全体动员积极预防禽流感的情况下，导致疫情大规模扩散引发大规模保险赔付的概率微乎其微，不存在影响其它险种客户利益的情况。     

THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS1

The note deals with the pricing of American options related to foreign market equities. the form of the early exercise premium representation of the American option's price in a stochastic interest rate economy is established. Subsequently, the American fixed exchange rate foreign equity option and the American equity-linked foreign exchange option are studied in detail.     

Determinants of stock market volatility and risk premia

Summary. We show the dynamics of diverse beliefs is the primary propagation mechanism of volatility in asset markets. Hence, we treat the characteristics of the market beliefs as a primary, primitive, explanation of market volatility. We study an economy with stock and riskless bond markets and formulate a financial equilibrium model with diverse and time varying beliefs. Agents states of belief play a key role in the market, requiring an endogenous expansion of the state space. To forecast prices agents must forecast market states of belief which are beliefs of others hence our equilibrium embodies the Keynes Beauty Contest. A market state of belief is a vector which uniquely identifies the distribution of conditional probabilities of agents. Restricting beliefs to satisfy the rationality principle of Rational Belief (see Kurz, 1994, 1997) our economy replicates well the empirical record of the (i) moments of the price/dividend ratio, risky stock return, riskless interest rate and the equity premium; (ii) Sharpe ratio and the correlation between risky returns and consumption growth; (iii) predictability of stock returns and price/dividend ratio as expressed by: (I) Variance Ratio statistic for long lags, (II) autocorrelation of these variables, and (III) mean reversion of the risky returns and the predictive power of the price/dividend ratio. Also, our model explains the presence of stochastic volatility in asset prices and returns. Two properties of beliefs drive market volatility: (i) rationalizable over confidence implying belief densities with fat tails, and (ii) rationalizable asymmetry in frequencies of bull or bear states.This research was supported by a grant of the Smith Richardson Foundation to the Stanford Institute for Economic Policy Research (SIEPR). We thank Kenneth Judd for constant advice which was crucial at several points in the development of this work. We also thank Kenneth Arrow, Min Fan, Michael Magill, Carsten Nielsen, Manuel Santos, Nicholas Yannelis, Ho-Mou Wu and Woody Brock for comments on earlier drafts. The RBE model developed in this paper and the associated programs used to compute it are available to the public on Mordecai Kurzs web page at http://www.stanford.edu/ mordecai.This revised version was published online in January 2005 with corrections to the Cover date.     

GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES1

We consider a pure exchange economy consisting of a single risky asset whose dividend drift rate is modeled as an Omstein-Uhlenbeck process, and a representative agent with power-utility who, in equilibrium, consumes the dividend paid by the risky asset. Endogenously determined interest rates are found to be of the Vasicek (1977) type the mean and variance of the equilibrium stock price are stochastic and have mean-reverting components A closed-form solution for a standard call option is determined for the case of log-utility. Equilibrium values have interesting implications for the equity premium puzzle observed by Mehra and Prescott (1985)     

The Corporate Governance Premium,Returns, and Mutual Funds

Mutual funds with a preference for strong corporate governance (CG) have performance similar to mutual funds with a preference for weak CG. We find a direct relation between overall mutual fund CG preference and the corporate governance premium (CGP). Furthermore, the investment preferences of mutual funds forecast the change in the CGP. We provide evidence that the investment activities of institutional investors can affect stock performance, and that shifts by institutional investors in CG preference impact the appearance of the CGP.