This paper studies the equilibrium asset pricing implications of time-varying (Knightian) uncertainty regarding economic fundamentals. The paper argues that uncertainty and its variation are important for jointly explaining the equity premium, risk-free rate, and the large variance premium embedded in the “high” price of options. A calibration of the model is able to simultaneously match salien...

In this paper, we aim to determine an optimal insurance premium rate for health-care in deterministic and stochastic SEIR models. The studied models consider two standard centres characterised by migration fluxes vaccination of population. is calculated using the basic equivalence principle. Even simple set-up, there are non-intuitive results that illustrate how depends on rates, severity a dis...

This paper reports estimates of the UK “college premium” for young graduates across successive cohorts from large cross section datasets for the UK pooled from 1994 to 2006 a period when the higher education participation rate increased dramatically. This implies that graduate supply considerably outstripped demand which ought to imply a fall in the premium. We find no significant fall for men ...

BANKS, FINANCIAL LIBERALIZATION AND THE ‘INTEREST RATE PREMIUM PUZZLE’ IN EAST ASIA

In this paper, we study the optimization problem confronted by an insurance firm whose management can control its cash-balance dynamics by adjusting the underlying premium rate. The firm’s objective is to minimize the total deviation of its cash-balance process to some pre-set target levels by selecting an appropriate premium policy. We study the problem in a general framework assuming the stat...

This paper examines time-series properties of exchange rate changes, the forward premium and the forward bias in the context of a variant of Svensson’s cash-in-advance model. The model is solved and simulated using realistic forcing processes whose law of motion is estimated from U.S.-Japan data and then approximated by a Markov chain. Although method of moments estimation shows that the over-i...