On the cost-of-capital rate under incomplete market valuation
Objetos digitales
| Tag | 1 | 2 | Value |
|---|---|---|---|
| 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. | ||
| 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 |