Motivated by the empirical evidence of the long-range dependency found within the Greek motor insurance market, we formulate a particular stochastic pricing model in a continuous framework. We assume the structure of a competitive insurance market where the business volume of each company is directly related to the existing relativity between the company’s premium and the market’s average premi...

A goal of this paper is to make sense of the seemingly puzzling behavior of interest rates and inflation and the role of central banks in that behavior during and after the Great Recession, particularly in the United States. To this end, we construct a model in which government debt plays a key role in exchange, and can bear a liquidity premium. If asset market constraints bind, then there need...

Our objective in this article is to study analytically the effect of borrowing constraints on asset returns in an economy where agents are heterogenous with respect to their risk aversion. We use asymptotic analysis to characterize the equilibrium in a general equilibrium exchange economy with an arbitrary number of agents who differ in their risk aversion and face limits on borrowing. We find ...

In the light of regime switching and volatility clustering in the dynamics of SHIBOR, regime-switching CIR model (RSCIR) and regime-switching GARCH CIR model (RSCIR-GARCH) are established by introducing regime-switching and GARCH specifications into CIR model successively. Then, a contrast study among CIR, RSCIR and RSCIR-GARCH models is performed based on SHIBOR sample data, which indicates th...

Where trade is decentralized and information is imperfect, an urban housing market should be organized into separate market segments. Units in more active market segments should sell at a premium if households value asset liquidity. Evidence from the Hong Kong housing market strongly supports the joint hypothesis of market segmentation and transaction-based liquidity effects in the housing mark...

The relation between the volatilities of pricing kernels associated with different currencies and the volatility of the exchange rate between the currencies is derived under the assumption of integrated capital markets, and the volatilities of the pricing kernels are related to the foreign exchange risk premium. Time series of pricing kernel volatilities are estimated from panel data on bond yi...

A main goal of the Affordable Care Act is to provide Americans with access to affordable coverage in the individual market, achieved in part by pro­moting competition among insurers on premium price and value. One primary mechanism for meeting that goal is the establishment of new individual health insurance marketplaces where consumers can shop for, compare, and purchase plans, with subsidies ...