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- Title
ADDITIONAL COMMENTS.
- Authors
Cummins, J. David; Nye, David J.
- Abstract
This article presents a comment on two articles about the theory of the property-liability insurance firm. In the 1967 article in the Journal of "Financial and Quantitative Analysis," Michaelson and Goshay (M&G) applied Sharpe's market line version of the theory of portfolio selection to the behavior of financial intermediaries. To simplify their analysis they adopted the assumption that the liabilities of intermediaries are risk-free. Although the authors recognized that the assumption of risk-free liabilities led to the presentation of an incorrect relationship between asset and liability risks, they did not attempt to remedy the defect.
- Subjects
PROPERTY insurance; LIABILITY insurance; INSURANCE companies; PUBLICATIONS; LEGAL liability; THEORY; INSURANCE
- Publication
Journal of Risk & Insurance, 1972, Vol 39, Issue 2, p310
- ISSN
0022-4367
- Publication type
Article
- DOI
10.2307/251899