scholarly journals Asset Pricing Models and Insurance Ratemaking

1990 ◽  
Vol 20 (2) ◽  
pp. 125-166 ◽  
Author(s):  
J. David Cummins
Keyword(s):  
Asset Pricing ◽  
Option Pricing ◽  
Life Insurance ◽  
Continuous Time ◽  
Financial Management ◽  
Arbitrage Pricing Theory ◽  
Pricing Models ◽  
Discounted Cash Flow ◽  
Asset Pricing Models ◽  
Pricing Theory

AbstractThis paper provides an introduction to asset pricing theory and its applications in non-life insurance. The first part of the paper presents a basic review of asset pricing models, including discrete and continuous time capital asset pricing models (the CAPM and ICAPM), arbitrage pricing theory (APT), and option pricing theory (OPT). The second part discusses applications in non-life insurance. Among the insurance models reviewed are the insurance CAPM, discrete time discounted cash flow models, option pricing models, and more general continuous time models. The paper concludes that the integration of actuarial and financial theory can provide major advances in insurance pricing and financial management.

scholarly journals CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia

2020 ◽  
Author(s):  
Cung Huck Khoon ◽  
Ahmadu Umaru Sanda ◽  
G.S Gupta
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Kuala Lumpur ◽  
Pricing Models ◽  
Market Index ◽  
Asset Pricing Models ◽  
Monthly Return ◽  
Pricing Theory

This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and the arbitrage pricing theory, APT. A comparison was performed along the lines of Chen (1983) and the results showed the APT to perform better than the CAP/ in explaining the variations in cross section of returns. The implication for investors is that the market index is but one of several sources of risk, which should be taken into account in any decision governing investment in the stock market.  

3. The classical theory of option pricing

2019 ◽  
pp. 30-60
Author(s):  
Mark H. A. Davis
Keyword(s):  
Asset Pricing ◽  
Option Pricing ◽  
Interest Rates ◽  
Classical Theory ◽  
Stock Prices ◽  
Continuous Time ◽  
Pricing Models ◽  
Black Scholes ◽  
The Difference ◽  
Volatility Surface

‘The classical theory of option pricing’ explains the theory of arbitrage pricing, which is closely related to the Dutch Book Arguments, but which brings in a new factor: prices in financial markets evolve over time and participants are able to trade at any time, instead of just taking bets and awaiting the result. In addition to the general theory, pricing models and methods have been developed for specific markets—foreign exchange, interest rates, and credit. The binomial and continuous-time mathematical models for stock prices are introduced along with the Black–Scholes formula, the volatility surface, the difference between European and American options, and the Fundamental Theorem of Asset Pricing.

Continuous time one-dimensional asset-pricing models with analytic price–dividend functions

2008 ◽  
Vol 42 (3) ◽  
pp. 461-503 ◽  
Author(s):  
Yu Chen ◽  
Thomas F. Cosimano ◽  
Alex A. Himonas
Keyword(s):  
Asset Pricing ◽  
Continuous Time ◽  
Pricing Models ◽  
One Dimensional ◽  
Asset Pricing Models

scholarly journals Inference on Risk Premia in Continuous-Time Asset Pricing Models

2020 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Jean Jacod ◽  
Dacheng Xiu
Keyword(s):  
Asset Pricing ◽  
Continuous Time ◽  
Risk Premia ◽  
Pricing Models ◽  
Asset Pricing Models
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