LDR | | | 00000cab a2200000 4500 |
001 | | | MAP20220034197 |
003 | | | MAP |
005 | | | 20221118142437.0 |
008 | | | 221118e20221205usa|||p |0|||b|eng d |
040 | | | $aMAP$bspa$dMAP |
084 | | | $a7 |
245 | 0 | 0 | $aOn the cost-of-capital rate under incomplete market valuation$cHansjörg Albrecher...[et.al.] |
520 | | | $aIn 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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540 | | | $aLa copia digital se distribuye bajo licencia "Attribution 3.0 International (CC BY NC ND 3.0 )"$f$uhttps://creativecommons.org/licenses/by-nc-nd/3.0/$983 |
650 | | 4 | $0MAPA20080590567$aEmpresas de seguros |
650 | | 4 | $0MAPA20080539900$aTasas |
773 | 0 | | $wMAP20077000727$g05/12/2022 Volumen 89 Número 4 - diciembre 2022 , p. 1139-1158$x0022-4367$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964- |
856 | | | $qapplication/pdf$w1118204$yRecurso electrónico / Electronic resource |