Insurance companies are increasingly facing losses that have heavy exposure to capital market risks through the issuance of equity-linked insurance policies. In this paper, we determine the continuous premium rate that an insurer charges via the principle of equivalent utility. Using exponential utility, we obtain the resulting premium rate in terms of a risk-neutral expectation. We also consid...

In this paper we study the effects of transaction costs on asset prices. We assume an overlapping generations economy with two riskless assets. The first asset is liquid while the second asset carries proportional transaction costs. We show that agents buy the liquid asset for short-term investment and the illiquid asset for long-term investment. When transaction costs increase, the price of th...

This paper studies the implications for general equilibnum asset pricing of a class of Kreps-Porteus nonexpected utility preferences characterized by a constant intertemporal elasticity of substitution and a constant, but unrelated, coefficient of relative risk aversion. It is shown that relaxing the parametric restriction on tastes imposed by the time-additive expected utility specification do...

India’s Increasing Skill Premium: Role of Demand and Supply The tertiary-secondary (college-high school) wage premium has been increasing in India over the past decade, but the increase differs across age groups. The increase in wage premium has been driven mostly by younger age groups, while older age groups have not experienced any significant increase. This paper uses the demand and supply m...

We study the performance of the Constant Bit Rate (CBR) and the interpolated ON-OFF voice over the differentiated services Internet. Both the Premium and Assured services are tested, and their relative performance is investigated. Using these services, at the DS3 rate, the call handling capacity can be doubled, at the expense of packetization delay and a few milliseconds packet delay. Also, at ...

This paper analyzes the S&P 500 index return variance dynamics and the variance risk premium by combining information in variance swap rates constructed from options and quadratic variation estimators constructed from tick data on S&P 500 index futures. Estimation shows that the index return variance jumps. The jump arrival rate is not constant over time, but is proportional to the variance rat...

Chapter Outline Introduction 61 Background 63 Distributional Effects of Dynamic Pricing 65 Barriers to Dynamic Pricing 69 Unfairness of Flat Rate Pricing 71 Dynamic Pricing in Other Industries 73 Overcoming the Barriers to Dynamic Pricing 74 The Effect of Dynamic Pricing on Low-Income Consumers 75 Accommodating Potential Objections 77 Conclusions 78 Appendix: Quantifying the Hedging Cost Premiu...