We show that the dividend growth rate implied by the futures market is informative about (i) the expected dividend growth rate and (ii) the expected dividend risk premium. We model the dividend risk premium and explore its implications for the predictability of dividend growth and aggregate stock returns. We show that accounting for the dividend risk premium strengthens the predictability of di...

We study the relative risk of value and growth stocks. We find that time-varying risk goes in the right direction in explaining the value premium. Value betas tend to covary positively, and growth betas tend to covary negatively with the expected market risk premium. Our inference differs from that of previous studies because we sort betas on the expected market risk premium, instead of on the ...

A competitive market for individual health insurance tends to risk-adjusted premiums. Premium rate restrictions are often considered a tool to increase access to coverage for high-risk individuals in such a market. However, such regulation induces selection which may have several adverse effects. As an alternative approach we consider risk-adjusted premium subsidies. Empirical results of simula...

This study examines the effects on the stock market unitary risk premium and volatility associated with the listing of stock and stock index derivatives in Switzerland. Based on a univariate GARCH (1,1) specification of the stock index variance and a time-varying unitary risk premium representation, we can reject the hypothesis that stock and stock index derivatives listings do not affect the t...

It is well-known that reinsurance can be an effective risk management solution for financial institutions such as the insurance companies. The optimal reinsurance solution depends on a number of factors including the criterion of optimization and the premium principle adopted by the reinsurer. In this paper, we analyze the Value-at-Risk (VaR) based optimal risk management solution using reinsur...

the adverse effect of climate change on agriculture has increased the importance of weather index insurance, particularly in developing countries. by using several econometric models, this study estimated the price and evaluated its effectiveness in rainfall index insurance for rice and wheat in nepal. crop yields associated with seasonal rainfall in three crop reporting districts were applied ...