Term structure of discount rates for firms in the insurance industry

DOI10.1016/J.INSMATHECO.2020.09.004zbMath1452.91271OpenAlexW3091772329MaRDI QIDQ2212168

Yanhui Zhao, Xiao Lin, Carmelo Giaccotto

Publication date: 19 November 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.09.004

zbMATH Keywords

discount rateinsurance industryconditional CAPMcost of capital term-structuremulti-period CAPM

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

Cites Work

• Sampling-Based Approaches to Calculating Marginal Densities
• An Intertemporal Capital Asset Pricing Model

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