PRICE REGULATION IN PROPERTY-LIABILITY INSURANCE - A CONTINGENT-CLAIMS APPROACH

被引：99

作者：

DOHERTY, NA ^{[1
]}

GARVEN, JR ^{[1
]}

机构：

[1] PENN STATE UNIV,COLL BUSINESS ADM,UNIVERSITY PK,PA 16802

来源：

JOURNAL OF FINANCE | 1986年 / 41卷 / 05期

关键词：

D O I：

10.2307/2328162

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：1031 / 1050

页数：20

共 30 条

[1] RISK CONSIDERATIONS IN INSURANCE RATEMAKING [J].

BIGER, N ;

KAHANE, Y .

JOURNAL OF RISK AND INSURANCE, 1978, 45 (01) :121-132

[2] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

[3] ARBITRAGE PRICING THEORY AND UTILITY STOCK RETURNS [J].

BOWER, DH ;

BOWER, RS ;

LOGUE, DE .

JOURNAL OF FINANCE, 1984, 39 (04) :1041-1054

[4] PRICING OF CONTINGENT CLAIMS IN DISCRETE-TIME MODELS [J].

BRENNAN, MJ .

JOURNAL OF FINANCE, 1979, 34 (01) :53-68

[5] PROPERTY-LIABILITY INSURANCE RATE REGULATION - ESTIMATION OF UNDERWRITING BETAS USING QUARTERLY PROFIT DATA [J].

CUMMINS, JD ;

HARRINGTON, S .

JOURNAL OF RISK AND INSURANCE, 1985, 52 (01) :16-43

[6]

CUMMINS JD, 1980, J RISK INSURANCE, V48, P61

[7] A CRITICAL REEXAMINATION OF THE EMPIRICAL-EVIDENCE ON THE ARBITRAGE PRICING THEORY [J].

DHRYMES, PJ ;

FRIEND, I ;

GULTEKIN, NB .

JOURNAL OF FINANCE, 1984, 39 (02) :323-346

[8] YES, THE APT IS TESTABLE [J].

DYBVIG, PH ;

ROSS, SA .

JOURNAL OF FINANCE, 1985, 40 (04) :1173-1188

[9] INVESTMENT-INCOME AND PROFIT MARGINS IN PROPERTY-LIABILITY INSURANCE - THEORY AND EMPIRICAL RESULTS [J].

FAIRLEY, WB .

BELL JOURNAL OF ECONOMICS, 1979, 10 (01) :192-210

[10]

FRIEND I, 1975, AM ECON REV, V65, P900

← 1 2 3 →