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

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      <subfield code="a">On the cost-of-capital rate under incomplete market valuation</subfield>
      <subfield code="c">Hansjörg Albrecher...[et.al.]</subfield>
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      <subfield code="a">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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      <subfield code="g">05/12/2022 Volumen 89 Número 4 - diciembre 2022 , p. 1139-1158</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
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