This paper examines whether a specific risk premium associated with “odious” sovereign debt issued by dictators exists. Bondholders could indeed require a premium to compensate for the higher default risk due to the odious character of the debts. The paper quantifies the risk premium required by investors to hold debts which could be denounced as odious and analyses ...

The object of this paper is to model and forecast both objective volatility and its associated risk premium using a non-Gaussian state space approach. Option and spot market information on the unobserved volatility process is captured via nonparametric, ‘model-free’ measures of option-implied and spot price-based volatility, with the two measures used to define a bivariate observation equation ...

the study investigates consumers’ preference for cowpea reflected in the nigerian markets through price discounts and premiums that consumers pay for different cowpea characteristics. the price data used for this study were obtained through a market survey. a common data collection protocol was employed. every month, between october 2009 to december 2010, five cowpea samples per seller were bou...

Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle is an interesting topic. This paper discusses the optimal reinsurance problem with the insurer’s risk measured by distortion risk measure and the reinsurance premium calculated by a general principle including expected premium principle and Wang’s premium principle as its speci...

Executive compensation has increased dramatically over the past 15 years, but so has forced CEO turnover. We argue that part of the development of CEO pay can be explained by the adverse consequences that forced turnover implies for a CEO. We find that for the CEOs of the largest US corporations, a one percentage point increase in exogenous turnover risk is associated with $40,000 to $90,000 mo...

1 This paper has bene…ted from communications with Steve Matthews on related issues. and suggestions. Any remaining errors are our own. A de…ning feature of the premium auctions is that the seller commits to o¤ering a share of pro…t, called " premium, " to a number of highest bidders when the auction ends successfully. This paper analyzes an English premium-auction (EPA) model in a setting that...

This paper discusses the conditions under which a risk premium is incorporated in the forward exchange rate. A new condition for the existence of a risk premium is proposed. We show that earlier models of the risk premium, which emphasize either the role of net foreign investment or of the relative supplies of ‘outside* assets, are not suited for assessing the effects of changes in macroeconomi...

Market reform of health insurance is proposed to increase coverage and reduce growth in spending by providing an incentive to choose low-cost plans. However, having a choice of plans could result in risk segmentation. Risk-adjusted payments have been proposed to address risk segmentation but are criticized as ineffective. An alternative to risk adjustment is to subsidize premiums, as in the Fed...

In this paper we provide a framework that explains how the market risk premium, defined as the difference between forward prices and spot forecasts, depends on the risk preferences of market players and the interaction between buyers and sellers. In commodities markets this premium is an important indicator of the behavior of buyers and sellers and their views on the market spanning between sho...

We propose a new approach to measuring long-run inflation risk, the inflation risk premium, and inflation expectations for the UK over the period 1985–2012. By adding long-term bond futures to the information set of inflation-indexed and nominal bonds, inflation risk is measured as an incremental time-varying covariance obtained from a trivariate GARCH model with dynamic conditional correlation...