• 한국콘텐츠학회논문지
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• 제21권6호
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• pp.588-597
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• 2021

우리나라의 경우 일반보험의 부가보험료를 구성하는 요소인 보험회사의 이익을 산출하는 기준에 대해 특별히 정하고 있지 않으며, 손해보험회사들은 대부분 2~5% 수준을 보험료에 반영하고 있다. 보험상품의 특성상 가격결정의 투명성이 요구되고 있지만, 국내 손해보험산업에 있어서 보험가격 요소별 결정방법론에 대한 기준이나 실증연구는 미흡한 실정이다. 본 연구에서는 산출기준이나 실증연구가 미흡한 일반보험의 상품별 예정이익률 산출 방법을 제시하고자 한다. 일반보험의 예정이익률을 산출하는 기준은 손익변동성에 따른 손실 리스크에 대비하여 보험회사가 확보해야 하는 자본에 대한 주주요구수익을 보험료에 대한 비율로 반영하는 것이다. 주주는 보험 운영과 관련된 리스크를 감내하기 때문에 이에 대한 보상을 받아야 하며, 이러한 주주입장에서의 기회비용을 보험료에 반영하려는 것이다. 본 연구에서는 상품별로 보험리스크에 대비하기 위해 회사가 적립해야 하는 자본량을 산출하였으며, 보험리스크는 보험영업 손익의 변동성으로 정의하였다. 그리고 보험리스크는 DFA(Dynamic Financial Analysis; 동적재무분석) 방법론에 의한 stochastic simulation을 활용하여 산출하였다. 최종적으로 25개 상품에 대한 예정이익률을 산출하여 현재 국내 일반보험의 예정이익률과 어떤 차이가 있는지를 실증적으로 분석하였다.

• 한국유기농업학회지
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• 제28권4호
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• pp.459-475
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• 2020

This study analyzes weather derivatives as an alternative risk management tool to stabilize farm revenue to complement the existing crop insurance program which suffers from asymmetric information problems such as adverse selection, moral hazard, and verifiability. We estimated apple yield functions to observe the relationship between yields and weather indices such as temperature and precipitation. Based on the estimated yield functions we designed weather futures and options products underlying temperature and precipitation, and calculated the prices of futures and options by two different approaches, historical distribution and Monte Carlo simulation. We found that weather futures and options stabilize farm revenue based on the estimated four risk indicators: Coefficient of Variation, Value at Risk, Certainty Equivalence, and Risk Premium. As a result, weather derivatives could be considered as a potential farm risk management tool through studying more in legal and institutional strategies and developing various derivatives products.

• The Journal of Asian Finance, Economics and Business
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• 제3권3호
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• pp.5-15
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• 2016

This study examines whether Korean rating agencies such as Korea Investors Service (KIS), National Information & Credit Evaluation (NICE), and Korea Ratings Corporation (KR), incorporate corporate governance into their corporate bond ratings in Korea. We find that the Korean rating agencies assign higher ratings to the bonds issued by Chaebol (Korean business group) affiliated firms. Our results also indicate that those rating agencies give higher ratings to the bonds with greater foreign investor share ownership. Moreover, if the rating agencies value corporate governance, higher rated firms should issue bonds at lower yield to maturity. We discover that Chaebol affiliation is counted favorably by the rating agencies. We find that investors are willing to pay lower risk premium for bonds with higher institutional ownership, but higher risk premium to bonds with greater equity ownership in the form of depository receipts. Therefore, even if the rating agencies and investors in Korea consider corporate governance (Chaebol affiliation and ownership structure) an important determinant in bond ratings and the yields to maturity, they have opposite views on institutional ownership and share ownership in the form of depository receipts.

• Journal of the Korean Data and Information Science Society
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• 제23권2호
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• pp.365-374
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• 2012

Weather derivatives designed to manage casual changes of weather, as opposed to catastrophic risks of weather, are relatively a new class of financial instruments. There are still many theoretical and practical challenges to the effective use of these instruments. The objective of this paper is to develop a pricing approach for valuing weather derivatives and presents a case study that is practical enough to be used by the risk managers of electrical utility firms. Utilizing daily average temperature data of Guangzhou, China from $1^{st}$ January 1978 to $31^{st}$ December 2010, this paper adopted a univariate time series model to describe weather behavior dynamics and calculates equilibrium prices for weather futures and options for an electrical utility firm in the region. The results imply that the risk premium is an important part of derivatives prices and the market price of risk affects option values much more than forward prices. It also demonstrates that weather innovation as well as weather risk management significantly affect the utility's financial outcomes.

• 아태비즈니스연구
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• 제15권1호
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• pp.1-14
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• 2024

Purpose - We investigate whether a potential missing pricing factor plays a significant role in the idiosyncratic volatility puzzle. Design/methodology/approach - We theoretically show how a missing pricing factor can affect the idiosyncratic volatility puzzle, and also show how to get around the problem empirically. We adopt the Fama-French five factor model for the estimation of the idiosyncratic risk and use randomly constructed portfolios as test assets. Findings - We find that a missing factor does not drive the idiosyncratic volatility puzzle. Thus, we conclude that the idiosyncratic volatility does affect the risk premium of its stock. Research implications or Originality - The Fama-French five factor model does a pretty good job in explaining the risk premiums of stocks, and it can be used to reliably estimate idiosyncratic risk of stocks.

• 재무관리논총
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• 제2권1호
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• pp.127-144
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• 1995

Previous literature in financial economics documents the existence of a liquidity premium in expected returns, measured by the bid-ask spread. This study provides a more comprehensive test of the egect of liquidity on common stock returns by including trading volume as an additional liquidity measure. we find that trading volume is a relevant measure of liquidity, and affects expected returns even aher controlling for the effects of systematic risk, firm size, and the relative bid-ask spread. We also find that trading volume complements the bid-ask spread as a liquidity measure, and provides additional information about the liquidity premium. The liquidity effect emerges in non-January months as a volume effect, in addition to the spread effect in January documented by Eleswarapu and Reinganum(1993).

• 가정과삶의질연구
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• 제23권6호
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• pp.133-144
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• 2005

The Objective of this study was to investigate the consumer attitude and purchase willingness of internet insurance. Data were collected from 412 adult consumers who had bought car insurance at least once. Results showed that respondents have positive as well as negative attitude toward internet insurance. The best thing of internet insurance seems tn be the low rate of insurance premium while the worst thing seems to be the risk of personal information disclosure. However, about two thirds of respondents answered that they were willing to purchase internet insurance if the insurance premium were discounted more than $25\%$ of what they paid offline. The more consumer attitude was positive, the more consumers were willing to purchase internet insurance. In general, consumer attitude and purchase willingness of internet insurance vary with consumers' demographic and socio-economic characteristics.

• 산업경영시스템학회지
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• 제30권3호
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• pp.109-116
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• 2007

Entrepreneurship is considered as the main leadership creating enterprises and employment. However, in Korea empirical studies linking Korean entrepreneurial performances with her characteristics are rarely in existence. Current study focuses on Korean entrepreneurs in manufacturing, construction and other technologically intensive (MCOT henceforth) industries compared to entrepreneurs in service and other technologically less intensive (SOT henceforth) industries and to professional/technical wage workers and examines effects of human capital, demographic, and risk-taking characteristics on earnings. Education premium is higher for entrepreneurs in MCOT industries than for professional/technical workers, even though science and engineering diploma pays better in the latter, and that concentration in college causes more selection into the latter occupational family. In terms of education premium and effects of other characteristics SOT industry entrepreneurship and self-employment appear to be lower grade occupational families, even though there appear to be significant comparative advantages working in their selection.

• 재무관리논총
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• 제3권2호
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• pp.329-364
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• 1996

Writing naked put options is a strategy employed either as a speculation to capture premium income, or as a method of placing a limit order to buy the underlying at the strike price in return for premium received. Using a Monte Carlo simulation, twenty thousand equity prices are generated under known volatility and return parameters. A binomial tree is constructed using the same volatility and return parameters. Put options on these 'equities' are valued with the binomial methodology. The performance of various put writing strategies is evaluated on a risk-adjusted basis. Evidence presented suggests that the judicious use of put options may enhance returns during portfolio construction.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.717-729
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• 2021

This paper examines the efficacy of the default risk factor in an emerging market context using the Fama-French five-factor model. Our aim is to test whether the Fama-French five-factor model augmented with a default risk factor improves the predictability of returns of portfolios sorted on the firm's characteristics as well as on industry. The default risk factor is constructed by estimating the probability of default using a hybrid version of dynamic panel probit and artificial neural network (ANN) to proxy default risk. This study also provides evidence on the temporal stability of risk premiums obtained using the Fama-MacBeth approach. Using a sample of 3,806 firm-year observations on non-financial listed companies of Pakistan over 2006-2015 we found that the augmented model performed better when tested across size-investment-default sorted portfolios. The investment factor contains some default-related information, but default risk is independently priced and bears a significantly positive risk premium. The risk premiums are also found temporally stable over the full sample and more recent sample period 2010-2015 as evidence by the Fama-MacBeth regressions. The finding suggests that the default risk factor is not a useless factor and due to mispricing, default risk anomaly prevails in the Pakistani equity market.