oil industry is the largest economic sector in the country. but despite the insurance role in the energy insurance sector, the insurance industry’s share in the oil and energy presents an inappropriate combination. latest analysis and surveys show that during the last three years the premium experience a negative growth in each year with respect to its previous year and it also shows the premiu...

In textbook expositions of the equity-premium, riskfree-rate and variability-mismatch puzzles, growth rates are typically normally distributed. But then simply recognizing that the implied distribution conditional on realized data is Student-t entails a startling antipuzzle reversal, in which the opposite inequalities need explaining. This paper shows that hidden structural parameters add to po...

The paper presents an analysis of the impact of pension plan funding on workers’ saving and portfolio behaviour. It shows that the impact of pension plan funding and asset allocation on the economy’s technology choices depends upon the constraints facing worker’s in the capital market. The failure of equivalence propositions between defined benefit and defined contribution pension plans derives...

In conventional rational expectations expositions of the “equity premium puzzle,” “riskfree rate puzzle,” and “variability mismatch puzzle,”the subjective distribution of future growth rates is essentially made to mimic its past sample moments. This paper shows that the unobservable nature of structural growth parameters adds to expectation beliefs a permanent thick-tailed background layer of u...

We provide a model-free framework for studying the dynamics of state vector and its risk prices. Specifically, we derive frequency domain decomposition unconditional asset return premium in general setting with log-affine stochastic discount factor (SDF). Importantly, show that cospectrum between returns SDF only displays dependencies through prices can be inferred from covariances (portfolio) ...

We propose target date funds modified to exploit stock return predictability driven by the variance risk premium. The portfolio rule of these tactical (TTDFs) is extremely simplified relative optimal one, making it easy implement and communicate investors. show that saving for retirement in TTDFs generates economically large welfare gains, even after we introduce turnover restrictions transacti...

Hedesström, T. M. (2006). The psychology of diversification: Novice investors’ ability to spread risks. Department of Psychology, Göteborg University, Sweden In order to reduce risk, portfolio theory prescribes holding a stock portfolio that is diversified across industries and countries. This thesis investigates novice investors’ ability to compile well-diversified portfolios and to what exten...

this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...

investors use different approaches to select optimal portfolio. so, optimal investment choices according to return can be interpreted in different models. the traditional approach to allocate portfolio selection called a mean - variance explains. another approach is markov chain. markov chain is a random process without memory. this means that the conditional probability distribution of the nex...

Insurance is a business of risks. Identifying and understanding areas of risk is an important task performed by an insurer. An assessment of risk is used to set the appropriate premium for insurance policies. This paper describes a KDD exercise which uses decision tree techniques to identify significant areas of risk within an insurance portfolio. The real world dataset used contains informatio...