On the cost-of-capital rate under incomplete market valuation

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<dc:date>2022-12-05</dc:date>
<dc:description xml:lang="es">Sumario: In this paper we discuss the concept of the cost-of-capital (CoC) rate for an insurance company as an equilibrium in the economic triangle of policyholders, shareholders, and the regulator. This provides a possible rationalization and an economic foundation for a quantity that is widely used in practice but whose value is typically neither technically nor economically well justified. We show how it can be well founded in such a triangular equilibrium. Under a simple one-period model and a valuation procedure of a two-price economy for illiquid assets we provide a corresponding economic-theoretical quantification for the CoC rate. The resulting rates are illustrated by a number of concrete numerical examples.

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<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/181668.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">https://creativecommons.org/licenses/by-nc-nd/3.0/</dc:rights>
<dc:subject xml:lang="es">Empresas de seguros</dc:subject>
<dc:subject xml:lang="es">Tasas</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">On the cost-of-capital rate under incomplete market valuation</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 05/12/2022 Volumen 89 Número 4 - diciembre 2022 , p. 1139-1158</dc:relation>
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