Consumption-based asset pricing in insurance markets : yet another puzzle?

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      <subfield code="a">Consumption-based asset pricing in insurance markets</subfield>
      <subfield code="b">: yet another puzzle?</subfield>
      <subfield code="c">Alexander Braun, Daliana Luca, Hato Schmeiser</subfield>
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      <subfield code="a">Although insurance is the typical textbook example for an asset that negatively correlates with consumption, the suitability of the classical consumption-based asset pricing model with power utility to explain historical premiums and claims has not yet been tested. We fill this gap by fitting it to propertycasualty market data for Australia, Italy, the Netherlands, the United States, and Germany. In doing so, we reveal yet another asset pricing anomaly. More specifically, the consumption-based model implies even larger relative risk aversion coefficients in the insurance sectors than in the equity markets of the aforementioned countries. To solve this puzzle, we draw on the loss aversion and narrow framing approach by Barberis, Huang, and Santos (2001) as well as the second-degree expectation dependence framework by Dionne, Li, and Okou (2015), with encouraging results.</subfield>
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      <subfield code="g">02/09/2019 Volumen 86 Número 3 - septiembre 2019 , p. 629-661</subfield>
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