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- W157446938 abstract "In a competitive market, what should the rate of return on insurance companies’ equity be? What premiums should insurance companies charge? Traditionally, the answers to these questions have been based on actuarial and accounting concepts.1 More recently financial models of the insurance firm have been developed. Ferrari (1968) suggested a descriptive model which allowed an algebraic expression for the rate of return on equity as a function of the premiums charged to be derived. Combining this with the capital asset pricing model (CAPM) meant that an equilibrium value for the return on equity and the corresponding level of premiums could be found. This model is known as the insurance CAPM.2 The development of other asset pricing models in finance has also led to insurance counterparts. Thus the Arbitrage Pricing Theory, and option pricing models have been used to derive the return on equity and the level of premiums.3 Although the approaches based on asset pricing models have advantages compared to those based on traditional actuarial and accounting concepts, they are not ideal. One of the most important problems is that they are not well suited for finding premiums when an insurance company has multiple divisions. The difficulty is that it is not clear how earnings on reserves should be allocated among the various divisions of the firm." @default.
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- W157446938 date "1993-01-01" @default.
- W157446938 modified "2023-10-02" @default.
- W157446938 title "Estimating Divisional Cost of Capital for Insurance Companies" @default.
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- W157446938 doi "https://doi.org/10.1007/978-94-011-2208-5_6" @default.
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