Continuous-time asset-pricing models: Selected results

2005 ◽  
pp. 101-111
Author(s):  
B. A. Jensen
Keyword(s):  
Asset Pricing ◽  
Continuous Time ◽  
Pricing Models ◽  
Asset Pricing Models

scholarly journals Asset Pricing Models and Insurance Ratemaking

1990 ◽  
Vol 20 (2) ◽  
pp. 125-166 ◽  
Author(s):  
J. David Cummins
Keyword(s):  
Asset Pricing ◽  
Option Pricing ◽  
Life Insurance ◽  
Continuous Time ◽  
Financial Management ◽  
Arbitrage Pricing Theory ◽  
Pricing Models ◽  
Discounted Cash Flow ◽  
Asset Pricing Models ◽  
Pricing Theory

AbstractThis paper provides an introduction to asset pricing theory and its applications in non-life insurance. The first part of the paper presents a basic review of asset pricing models, including discrete and continuous time capital asset pricing models (the CAPM and ICAPM), arbitrage pricing theory (APT), and option pricing theory (OPT). The second part discusses applications in non-life insurance. Among the insurance models reviewed are the insurance CAPM, discrete time discounted cash flow models, option pricing models, and more general continuous time models. The paper concludes that the integration of actuarial and financial theory can provide major advances in insurance pricing and financial management.

scholarly journals Inference on Risk Premia in Continuous-Time Asset Pricing Models

2020 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Jean Jacod ◽  
Dacheng Xiu
Keyword(s):  
Asset Pricing ◽  
Continuous Time ◽  
Risk Premia ◽  
Pricing Models ◽  
Asset Pricing Models

Continuous time one-dimensional asset-pricing models with analytic price–dividend functions

2008 ◽  
Vol 42 (3) ◽  
pp. 461-503 ◽  
Author(s):  
Yu Chen ◽  
Thomas F. Cosimano ◽  
Alex A. Himonas
Keyword(s):  
Asset Pricing ◽  
Continuous Time ◽  
Pricing Models ◽  
One Dimensional ◽  
Asset Pricing Models

Implications of Predictability Across Horizons for Asset Pricing Models

2012 ◽  
Author(s):  
Carlo A. Favero ◽  
Fulvio Ortu ◽  
Andrea Tamoni ◽  
Haoxi Yang
Keyword(s):  
Asset Pricing ◽  
Pricing Models ◽  
Asset Pricing Models
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