Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

The Financial Benefit For Insurers : Mediate in Personal Injuries Disputes

Resolving insurance disputes can focus only on quantum. Where insurers adopt integrative solutions they can enjoy cost savings and higher customer satisfaction. An integratively managed process can expand the negotiation options. The potential inherent in plaintiff’s emotions to resolve matters on an emotional basis, rather than an economic one, is explored. Using research, the author demonstrates how mediations are more likely to obtain integrative outcomes than unmediated conferences. Using a combination of governmental reports, published studies and academic publications, the paper demonstrates how mediation is more likely to foster an environment where the parties communicate and cooperate. Research is employed to demonstrate where mediators can reduce hostilities, in circumstances where negotiating parties alone would likely fail. Generally the paper constructs an argument to support the proposition that mediation can offer insurers an effective mechanism to reduce costs and increase customer satisfaction. INTRODUCTION Mediation can offer insurers an effective mechanism to reduce costs and increase customer satisfaction. This paper will first demonstrate the differences between distributive and integrative outcomes. It is argued insurer’s interest can be far better served through obtaining an integrative solution. The paper explains how the mediator can assist both parties to obtain an integrative outcome. Simultaneously the paper explores the extreme difficulties conference participants face in obtaining an integrative outcome without a mediator in an adversarial climate. The mediator’s ability to assist in the facilitation of integrative information exchange, defuse hostilities and reality check expectations is discussed. The mediator’s ability to facilitate in this area is compared to the inability of conference participants to achieve similar results. This paper concludes, the potential financial benefit offered by integrative solutions, combined with the ability of mediation to deliver such outcomes where unmediated conferences cannot deliver, leads to the recommendation that insurers opt for a mediation to best serve their commercial interests.

Accountability of insurers under s 54: Striking the balance between commerciality and consumer protection

Section 54 of the Insurance Contracts Act 1984 (Cth) continues to occupy a prominent position in insurance-related litigation. This section which imposes a concept of causation, or prejudice to the insurer, to restrict an insurer’s reliance upon contractual terms to avoid liability for particular claims, is often before the courts. This note focuses upon the recent High Court of Australia decision in Maxwell v Highway Hauliers Pty Ltd [2014] HCA 33.

The laws, ordinances and institutions of the Admiralty of Great Britain Civil and Military : comprehending, I. Such antient naval laws and customs as are still in use. II. An abstract of the Statutes in force relating to maritime affairs and commerce III. The Marine Treaties at large IV. A critical account of naval affairs and commerce, from the Reign of Alfred the Great. V. The present state of the navy, and of the officers, offices, ships [et]c. thereof. : interspers'd with dissertations, notes and comments for the use of the officers of the navy, masters of ship, mariners, merchants, insurers, and the trading part of the Nation in general : with a preface giving a more particular Account of the Nature, use and desing of this work : in two volumes ...

Mode of access: Internet.

Personal lines premiums in Illinois : results of a survey of private passenger automobile and homeowners insurers.

"November 1991."

Biztosítók kockázatdiverzifikációja (Risk diversification of insurers)

A biztosítók működését általában több homogén részállományból összetevődő heterogén biztosítási állomány jellemzi. A részállományok alkotta biztosítási portfólió esetében a kockázatdiverzifikáció vizsgálható a teljes állományra, illetve a részállományokra összesített kockázatok különbségeként, és elemezhető a kockázat és hozam kapcsolata alapján is. A biztosítók működésének főbb sajátosságait tartalmazó modellben azt mutatjuk meg, hogy a biztosítási portfólió esetében tapasztalható kockázatdiverzifikációs hatások milyen mértékben hasonlítanak a klasszikusnak számító, befektetésekkel foglalkozó Markowitz-féle portfólióelmélet által leírtakra. Modellünk alapján megállapítható: számos hasonlóságon túl a biztosító működési sajátosságai következtében a hatékony biztosítási portfóliók, illetve az optimális befektetési arányok meghatározása egyedi tulajdonságokkal jellemezhető. / === / Insurance is generally characterized by a heterogeneous insurance population made up of several (homogeneous) sub-populations. Risk diversification in the "insurance portfolio" containing these sub-populations can appear as a difference between the risk of the total population and the sum of the risks of the separate sub-populations, and it can also be analysed based on the relation of risk and return. Examining these aspects of risk diversification with a model covering the main features of insurance activity, the study analyses how far the risk diversification effects of the insurance portfolio resemble the results of classical Markowitz portfolio theory. Based on the results from the study's theoretical model, it appears that alongside several similarities, there are some individual features in the determination of "efficient insurance portfolios" and optimal investment weights.

Biztosítási és pénzügyi kockázat együttes hatása a biztosítók szolvencia-számításánál (Common effect of insurance and financial risk in the solvency calculation of insurers)

A Szolvencia II néven említett új irányelv elfogadása az Európai Unióban új helyzetet teremt a biztosítók tőkeszükséglet-számításánál. A tanulmány a biztosítók működését modellezve azt elemzi, hogyan hatnak a biztosítók állományának egyes jellemzői a tőkeszükséglet értékére egy olyan elméleti modellben, amelyben a tőkeszükséglet-értékek a Szolvencia II szabályok alapján számolhatók. A modellben biztosítási illetve pénzügyi kockázati "modul" figyelembevételére kerül sor külön-külön számolással, illetve a két kockázatfajta közös modellben való együttes figyelembevételével (a Szolvencia II eredményekkel való összehasonlításhoz). Az elméleti eredmények alapján megállapítható, hogy a tőkeszükségletre vonatkozóan számolható értékek eltérhetnek e két esetben. Az eredmények alapján lehetőség van az eltérések hátterében álló tényezők tanulmányozására is. ____ The new Solvency II directive results in a new environment for calculating the solvency capital requirement of insurance companies in the European Union. By modelling insurance companies the study analyses the impact of certain characteristics of insurance population on the solvency capital based on Solvency II rules. The model includes insurance and financial risk module by calculating solvency capital for the given risk types separately and together, respectively. Based on the theoretical results the difference between these two approaches can be observed. Based on the results the analysis of factors in°uencing the differences is also possible.

Some critical legal issues affecting insurance transaction globally

Increasingly, major insurers and reinsurers are operating on a global basis. For example, General Re Corporation and Cologne Re operate in almost 150 countries : see "General Re Corporation 1999 Annual Report". This is also true for the world's major brokers, and the emergence of large broking conglomerates such as Aon and Marsh are good examples of global service providers. Against the background of this increasingly global insurance market with global participants, there are a range of common legal issues in this article but a selection of certain critical matters are canvassed in the secitons below. First there are a range of regulatory issues that must be addressed. Secondly globalisation of the industry does create added incentive for a common legal regime to cover the formation of insurance transactions and the resolution of disputes about claims, coverage and termination. In this contect codifcation of insurance laws is a critical issue. Thirdly, major advances in genetic research and biotechnology over recent years have resulted in a dramatic increase in the availability of genetic testing. These developments have given rise to concerns worldwide about the potential for misuse of genetic information by third parties such as insurers and employers. Fourthly, the essence of an insurance transaction is the transference of risk from one person to anther. It is generally accepted that this transference should occur in informed circumstances and without undue advantage being bestowed upon either party. Finally this article will consider some legal matter in relation to transacting insurance on the internet

Disclosure under the prescribed insurance contracts regime : Section 35 of the Insurance Contracts Act 1984 and consumer protection revisited

Section 35 of the Insurance Contracts Act 1984 requires insurers offering insurance policies in six prescribed areas "to clearly inform" prospective insureds of any departure their policies may constitute from the standard covers established by the Act and its accompanying Regulations. This prescribed insurance contracts regime was designed to remedy comprehension problems generated by the length and complexity of insurance documents and to alleviate misunderstanding over the terms and conditions of individual policies. This article examines the rationale underpinning s 35 and the prescribed insurance contracts regime and looks at the operation of the legislation with particular reference to home contents insurance in Australia. It is argued that the means whereby disclosure of derogation from standard cover may be effected largely negates the thrust of the prescribed insurance contract reform. Recommendations to address these operational deficiencies are made.

Enhancing business continuity management capacities in the insurance industry : a Southeast Asian perspective

As a resilience enhancing practice, business continuity management (BCM) can play an important role in aiding preparation of the insurance industry for coping with the losses incurred by major discontinuity incidents: regardless of cause. Acknowledging the increasing frequency of unpredictable man-made disasters and natural catastrophes, the insurance industry would benefit from examining and implementing, where suitable, key elements of BCM. Such strategic decisions would assist insurers and re-insurers collectively to enhance mutual capability to respond to, and recover from, the impact of significant losses. This paper presents a comparison of opinions about BCM practitioners in both retail and re-insurance companies on the importance of generic continuity practices with actual levels of BCM practice across the two industry groups in Southeast Asia. It suggests means by which multi-lateral cooperation across Asian economies and between retail and re-insurance market segments might enhance the viability of the insurance industry in the face of increased stress from major natural and socio-technical hazards.

The extent of the insured’s duty of disclosure : a comparative analysis of the disclosure obligations of insured in Australia, Singapore and China

Pre-contractual material disclosure and representation from an insurance policy proposer is the most important element for insurers to make a decision on whether a proposer is insurable and what are the terms and conditions if the proposal by the proposer is able to be insured. The issue this thesis researches and investigates focus on the issues related to the pre-contractual non-disclosures and misrepresentations of an insured under the principle of utmost good faith, by operation of laws, can achieve with different results in different jurisdiction. A similar disputed claim involving material non-disclosed personal information or misrepresentation at the pre-contractual stage from an insured with respect to both general and life insurance policies settled by an insurer in Australia could be that the policy is set aside ab initio by the insurers in Singapore or China. The jurisdictions this thesis examines are • Australia; • Singapore; and • China including Hong Kong.

Tension between privacy and justice : ordering medical tests

Courts set guidelines for when genetic testing would be ordered - medical testing - life insurers - use of test results - confidentiality.

Insurer and insured

This chapter analyses the obligations insurers and insureds owe each other and the remedies which follow a breach of obligation.

Unidentified vehicle in multi-vehicle accident - failure to notify Nominal Defendant no bar to proceedings against it

In Kumar v Suncorp Metway Insurance Limited [2004] QSC 381 Douglas J examined s37 of the Motor Accident Insurance Act 1994 (Qld) in the context of an accident involving multiple insurers when a notice of accident had not been given to the Nominal Defendant

Motor Accident Insurance Act 1994 s45 - whether obligation to co-operate may authorise order requiring commencement of proceedings by minor prior to expiration of limitation period

In Australian Associated Motor Insurers Ltd v McPaul; Council of the City of Gold Coast v McPaul [2005] QSC 278 the applicant insurer sought an order requiring a claimant who had been injured in a motor vehicle accident some years earlier when he was five years old to commence a proceeding to determine the question of the applicant's liability to him. The applicant's interest in seeking the order was to avoid the prejudice which could follow from further delay, particularly delay until the respondent became obliged to commence proceedings to avoid a limitations bar.