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- Title
Systematic Risk, Unsystematic Risk, and Property-Liability Rate Regulation.
- Authors
Cox, Larry A.; Griepentrog, Gary L.
- Abstract
Several researchers suggest that property-liability rates be regulated using total variance risk measures. Others insist that only systematic risk measures are relevant. A normative model is proposed to reconcile these diverse approaches. Empirical analysis indicates that the model provides a higher risk premium and is reliable when compared to the mean-variance Capital Asset Pricing Model.
- Subjects
PROPERTY insurance; RATE of return; INSURANCE premiums; RISK premiums; CAPITAL assets pricing model; TRADE regulation
- Publication
Journal of Risk & Insurance, 1988, Vol 55, Issue 4, p606
- ISSN
0022-4367
- Publication type
Article
- DOI
10.2307/253140