Professional Documents
Culture Documents
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2009
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D'Arcy, Stephen P., and Neil A. Doherty,(1988 Op. Cit, P.IX.
.1 :
(1) Robert Ferrari
) (
.
.2 :
.
) ( ).(2
.3 :
.
.
).(3
) (
.
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.
1
Curry, Harold. E., (1969) "Investment Income in Property and Casualty RateMaking ", Journal of Risk and Insurance, September, pp. 447 453.
(
) (.
(2 Witt :(1) 1973
Witt Monopolistic
.Competition
) (Curry
.
(3 George Flanigan :(2) 1974
.
"
.
:
:
:
Flanigan, George B., (1974), " Investment Income in Rate Making and Managerial
Investment Attitudes", Journal of Risk and Insurance, Vol. XLI, No.2.pp 229 237.
:
. -:
(1 Bailey :(1) 1967
Realized
Capital Gains
.
.Hidden Tax Liabilities
(2 Ferrari :(2) 1968
:
-
Ferrari
.
(3 Bob Hedges :(3) 1969
) (
:
.
1 Bailey, Robert A., (1967)," Underwriting Profit from Investment", Proceedings of the
Casualty Actuarial Society, 54:1-8.
2 Ferrari, J. Robert, (1968)," The Relationship of Underwriting, Investments,
Leverage, and Exposure to Total Return on Owner's Equity ", Proceedings of the
Casualty Actuarial Society, 54: 295 302.
3
Hedges, Bob A., (1969), "Insurance Rate and Investment Earnings Considered
Together ", Journal Of Risk And Insurance, September, 455-461.
:
.
- :
( :
(1 NAIC :(1) 1970
.
.
.
(2 Kahane & Levy :(2) 1975
Kahane & Levy
.
.
Kahane, Yahuda and Haim Levy, (1975), "Regulation In The Insurance Industry:
Determination Of The Premiums In Automobile Insurance", Journal Of Risk And
Insurance, 42:117-132.
(
:
Witt :(1) 1974
Witt 1973 1974
.
Witt
. .
(
:
(1 Cooper 1974
1974 ) - (Cooper
.
.
Witt, Robert C., (1974), "Pricing, Investment Income, and Underwriting Risk: A
Stochastic View", Journal Of Risk And Insurance, 41:109 134.
10
Quirin, David G. and William R. Waters, (1975), "Market Efficiency and the Cost of
Capital: The Strange Case of Fire and Casualty Insurance Companies", Journal of
Finance 301,427-445
2
Biger, Nahum and Yehuda Kahane, (March 1978)," Risk Consideration in Insurance
Ratemaking", Journal of Risk and Insurance, Vol.XLV, No. 1, pp.121-132.
Fairley, William,(1979), Investment Income and Profit Margins in PropertyLiability Insurance: Theory and Empirical Results, The Bell Journal of Economics,
Vol.10, No. 1, Spring 1979, pp. 192210.
11
)(
CAPM .
.
(5 D'Arcy & Garven :(1) 1990
) (
: )
60 1926 (1985
) (.
) (
.
. :
)( .Target Underwriting Profit Margin
)( .Target Total Rate of Return
)( .Capital Asset Pricing Model
)( .Discounted Cash Flow Model
)( .Option Pricing Model
)(2
1 D'Arcy, Stephen P., and James Garven, (1990)," Property Liability Insurance
Pricing Model: An Empirical Evaluation", Journal of Risk and Insurance, Vol. LVII,
No.3, pp. 391- 430.
2 Cummins, J. David, (1991)," Statistical and Financial Models of Insurance Pricing
and the Insurance Firm", Journal of Risk and Insurance, Vol. LVIII, No.2, pp. 261302.
12
)( .
:
)(1
:
(1
13
.
(2
.
.
: :
:
.
: :
:
. :
:
: .
14
:
.
:
.
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:
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.
.
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.
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) (
15
:
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:
. .
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.
(3 :
)(
) (
)(
:
: .
: .
16
: :
:
(1 -:
Risk Pooling
Process - . :
.
)(
) .(1 .
) (1
x
i=1
:
: S N .
: x i ) ().(2
N
: ) (.
17
:
)( ) ( xi - -
.(1) Identically Distributed
)( )(
. .(2) Closed Fund
- -
) .(3) ( S N " " :
) (2
E (S ) =
N
"" -:
J 1
) (3
IJ
I =1
2 + 2
J =2
2
N
(S ) =
N
Var
N
2
2
N
IJ
: .
: .
: .
: .
: .
: .
) .(3 :
)(4
N 2
2
N
Var (S N ) =
1
2
Morgan, Ibrahim M.," Credibility Theory under the Collective Risk Theory",
Unpublished Doctorate Thesis, University of Wisconsin-Madison, 1983, p26.
Cummins, J. David,(1991): Op. Cit., p 269.
18
(2 :
) .(1
Fillip Lundberg 1950
Cramer , Arfwedson, Segerdahl, Saxin, :
.(2) Esscher,
) ( .
.
):(3
N
=y
i =1
:
X
: .
: .
: ) (.
) ( N .
-
.
19
) :(1 : ) ( y i )
(iid Identically Independent
.Distributed : ) ( N ) .( yi
).(2
: ) (
: ) ( Loss Frequency
.Loss Severity
) (Compound Probability Distributions
) ( ) ( .
)
( )
().(3
, k = 0,1,2,.......
x0
pq k
= ) frequency : P (k
(x ) = e x ,
severity : s
Dickson, David C., and et al., (1998), "Predictive Aggregate claims Distributions",
Journal of Risk and Insurance, Vol65, No.4, p.142.
20
p, q
: .
: .
:
0 x
px
F ( X ) = 1 q e
)) ( F (X
. :
: - - }) { F (X
.
-
- Kurtosis }) { F (X
. :Exact Methods
.
)( . : Fourier
.Characteristics Function .(1) The Panjer Recursion
):(2
)(
) .(3 .
21
)(
.
: Safety Loading :
" ".
).(1
) ( Premium
)(3
1 Van Heerwaarden, A. E., and R. Kaas, (1992), "The Dutch premium principle ",
Insurance: Mathematics and Economics, 11:129-133.p.129.
2 Van Heerwaarden, A. E., and R. Kaas: Op. Cit., p.130.
Van Heerwaarden, A. E., and R. Kaas: Op. Cit., p.130.
22
:
.
:
: )-:(1
Net Premium Principle
.
.
) (P :
) (1
) p = E (S
:
: P .
) : E(S .
: ):(2
Variance Premium Principle
:
] [ :
) (2
) (S
= E (S ) +
1 Buhlmann, H.,(1985)," Premium Calculation from Top Down", ASTIN Bulletin, 15:
89- 102.p.91.
2 Buhlmann, H., (1985), Op. Cit.,.p.92.
23
: .
) : E(S .
: .
) : 2 ( S .
Hans Buhlmann ] [ :
k = ln = k 2
R0
: .
: R .
- - :
) (3
(S )
ln
= E (S ) +
2
R
: ):(1
Standard Deviation Premium Principle
) (4
) (S
= E (S ) +
: .
) : E(S .
: .
1 Buhlmann, H.,(1985)," Premium Calculation from Top Down", ASTIN Bulletin, 15:
89-102.p.91.
24
) : (S .
2i ln
= ( ) :( i
. :
) (5
) (S
2 i ln
= E (S ) +
{i
(S ) +
ln
= E (S ) +
2 R
)( )
) ((6 ) (P
:
2 ( s )
+ i = 0
2
ln
=
2
=i
) 2 (s
2
dp
dR
ln
2
ln
2
2 ( s ) = iR 0
2
) (7
) (s
ln
2i
= R0
25
:
.
) ( .
.
)( ) ( R ) (7 ) (6 :
( s )
ln
2 ( s) + (i )
2i
) ( s
( s )
ln
ln
2i
ln
2i ( s ) + (i )
2i
( s )
( s) +
i ln
2
ln
)(s
= E (s) +
2 i ( ln
{ ln
2
i ln
2
= E ( s) + 1
= E ( s) +
= E ( s) + ( s)2
p = E (s) +
Hans Buhlmann - -
:
) 2 ( s
ln
2 R
= iR
Buhlmann ) ( R ) (7
) )) ((3 (
:
26
ln
) 2 (s
) (s
= safety loadings
ln
2i
ln
) (s
2 ln
i
ln
) (s
ln
) (s
ln
2i
= i
= i R
) (
)
( s ) = ( s ) + iR
.(
.
: :
Average Deviation from Median Premium Principle
(1990) Denneberg
)(1
.
: :
)p = E ( s ) + ( x
: .
27
) : ( x .
P ) E(S
Denneberg
.
: :
Expected Value Premium Principle
)p = (1 + ) E ( x
:
: .
.
) ( ).(1
:
Utility Theory
. - Nelson Henwood ) - (2
. :
)( .Exponential Premium Principle
1
Henwood, Nelson, and et al., (2002)," Profit Loadings in General Insurance Pricing:
A Critical Assessment of Approaches", New Zealand Society of Actuaries Conference,
November 2002, p26.
28
:
(
.
.
(2) Heerwaarden & Kass Henwood
) (3
.
(
.
1
Feldblum, Shalom (1990), "Risk Loads for Insurers", Proceedings of the casualty
actuarial Society, LXXVII, p168.
Van Heerwaarden, A.E., and R. Kass,(1992), Op.Cit., p.129.
29
(
) (
) (.
.
.
.
30
:
Financial Economics :
):(1
( .
( .
: .
( .
:
: :
.
: :
1952
.
).(2
1
31
: :
) (Sharpe (1)1964
Capital Asset Pricing Theory
) ( .
.
- - Sharpe
.
Sharpe .
)(Treynor) (Miller) (Linter
).(2)(Mossin
Steven Ross 1976
. ) (
) .(CAPM Option Theory
Black & Scholes .
Option .
32
.
1
Fan, Stephen C., (1999)," General Capital Asset Pricing Model: A Macroeconomic
Theory of Investment ", SSRN, Research Paper No. 06-15, University of California,
p.4.
2
) " :(2002
" .66 59
3
Cummins, J. David, (1999), Asset pricing models and insurance ratemaking, Astin
Bulletin, Volume 20, No 2, J. p 138.
33
( .
(
.
CAPM
CAPM :
(1
(2
) (
.
(3
- .
.
(4
:
) (
) .(Time Horizon
) ( ).(1 :
)( .
).(2
(5
(6
.
Cummins, J. David, (1990), Op. Cit., p134.
1
2
34
(7
(8
(9
. ) (
).(1
(10 .
(11 .
.Complete Capital Market
:CAPM
) ( .
:
E (r i ) = r f + E (r m ) r f
i
) : E (r i ) .( i
f
: .
: i ) Beta (.
) : E (r m .
35
: ) (
) ( .
) (
.Beta
.
- -
:
E (r i ) r f = E (r m ) r f
i
) (
.
-:(1) CAPM
(1
.
)
( .
(2 )
Beta( Beta )
( . Beta
:
:
.
1
36
:
. Beta.
) (APM ) (CAPM
) .(1
. CAPM
Beta
. ) (
).(2
:
ij
j =1
E (r ) = R
i
:
) : E (r ) .( i
i
: R f .
ij
: ) ( i ) .( j
: .
: .factor indicator
: .
Haugen, R.A., (1997), Modern Investment Theory", Prentice Hall, Fourth Edition,
P258.
2
Driussi, Adam, and Scott Collings, (November 2000)," Required returns, capital and
profit margins: A survey of current theory and practice", The eighth accident
compensation seminar, 26, p. 6.
37
):(1) (APT
APT CAPM :
(1 .
(2 .
(3 ( ) = 0
.E i
(4
. i
(5 . i F k
(6 .
(7 .
(1
APT
.CAPM
(2 .
APT
CAPM
).(2
:(3) APT
1 Roland Portait (2000): Capital Markets and Portfolio Theory Class Notes.
November,p22, www.cnam.fr/deg/fin/html/equipe/pdf/FTI.pdf
2
Richard Roll & Stephen A. Ross, (2003): Using Macroeconomic factors to control
portfolio Risk, Working paper, BIRR Portfolio Analysis, Inc. p6,
)(www.birr.com/document2.html
38
) (
:APT
: .Factor Analysis
: ) (K .
: ) (K
.
) (1) (Roll & Ross :
-
.
-
.
- -
.
:
(
.
(
.
) (
39
: Factor Model
Macroeconomic
Factors . -
- .
:
: :(1) One Factor - Model
) (
:
i
F +e
i
r =
i
:
i
i
i
F
e
: ) ( i
: ) .( i
: .
: .
: )
(.
:
(1 ) (F ) .(ri
(2 ) .( E (ei ) = 0
1
40
(3 ) :(f ) .( Cov(ei , F ) = 0
(4 : ) .( Cov (ei , e j ) = 0
)(1
F +e
ri = i +
i =1
:
i
: .
: .
: i ) ( i .
Fi
: .
: ei )
(.
:
.
CAPM :APT
APT CAPM ) (2
CAPM APT ).(3
1
2
Bin Zeng and Jing Zhang (2002), "an Empirical Assessment of Asset Correlation
Models", p 8, (http: // www.kmv.com).
3
41
CAPM ):(1
CAPM )( Single Factor Model
:
) = rm
.( F
)(1
r = a + r +e
...........
-
) ( bi r i :
)(2
- )
(1 bi ) r f = i
) + e .........
i
r r = a (1 b ) r + b (r r
m
( ai :
)(3
- ):(3
)(4
............
............
)+ e
r = r + + b (r r
m
E (r ) = r + + b (E (r ) r
m
- ) ( i
CAPM :
E (r ) = r + b (E (r ) r
m
Beta
) (2 :
] (r r ) + e }, r
m
+ bi
Cov
) Cov (r i , r m ) = bi Cov (r m , r m
) Cov (r i , r m ) = bi Var ( r m
42
) (r ,r
) Var ( r
i
Cov
= bi
-
.
)(2
.
).(3) (Fama-French 3-Factor Model
:
i
r r = + (r r ) + S SMB+ h HML+
i
rf
: )
(.
1
Fama, E. and K. French, (1992), "The Cross Section of Expected Stock Returns",
Journal of Finance, 47: 427465.
Fama, E. and K. French, (1993). Common Risk Factors in the Returns on Stocks
and Bonds". Journal of Financial Economics, 33(1), 3-56.
3
43
: r m r f ) (
: 0 .
: i .
: S i .
: hi ) .( B M
: SMB
) .( B M
: HML ) ( B M
) ( B M
.
: i .
Vassalou, Maria, (2002), "News Related To Future GDP Growth As A risk Factor In
) Equity Returns", Journal Of Financial Economics (Forecoming). 01418. Pdf
44
:
(1
:
( .
( .
(2 Empirical Studies
) (
.
(3
.
: :
: .
: .
45
-
- .
.
.(1) 1976
:
:Insurance CAPM
.Insurance CAPM Cooper 1974
CAPM
) .(2
.
.
:(3) Insurance CAPM
Cummins, J. David (1999), Op. Cit. p. 149.
46
( :
R A
Y = I +
) (1
R P
U
: .
: = - .
U
A
)(1
: = ) + (.
: .
: A .
: RU .
: .
( ) (1 ):(W
) (2
A
P
+ RU
W
W
Y
=
W
: .
: = + .
) (3
A = L +W
:
: L .
( ) (A ) (3 ):(2
P
W
) (4
47
+ 1 +
+ 1) + s
R (Ks
A
=
=
: . P
:
W
L
P
[.
) (4 :
) (Ks+1
.
:
)(5
................
k +R
(R
= RA + s
) (5:
o
) ( s = 0
) ( . R A
) < (
. RU k R A
> (
)
RU k R A
.
o
] .[ CAPM
( -
CAPM :
)(6
48
.............
Rf
E = R + (E
i
) Cov(Ri , Rm
) VAr (Rm
:CAPM
) ..............(7
Rf
R + (E
f
)(8
.............
(Ks + 1) + s U
:
W
: Beta.
: Beta.
: Beta .
( Beta )
)(9
( ) (7 :
) (Ks + 1) + s U ] (E m R f
................
( ) (9 ) (4 :
) (10
(E
U
o :
kR
) = E (RW
) = E (RU
W
U
E
E
) (10
.Insurance CAPM
:
(
Beta ) :(
U
49
) ( R u
) .(1) ( R m
( ) :( k
:
) .(2
:
).(3
Fairley (4)1979
0.31 1.61
3.74 ).(5
( :
:
) (Risk Of Ruin
).(6
D'Arcy, Stephen P., and Michael A. Dyer (1997): Op. Cit., p326
D'Arcy, Stephen P., and Michael A. Dyer (1997): Op. Cit., p.326.
D'Arcy, Stephen P., and Michael A. Dyer (1997):, Op. Cit., p.327.
D'Arcy, Stephen P., and Michael A. Dyer (1997): Op. Cit., p327.
50
.
) ( ).(1
Insurance - CAPM
):(2
) P * = P (1 + R
u
:
: ) ( .
*P
: P ) ( .
:
.
) (3
) .(4
) ( .
D'Arcy, Stephen P., and Michael A. Dyer, (1997), Op. Cit., P.301.
51
INSURANCE APT
-
):(1
ui
j =1
UPM = K r f +
:
UPM
: .
: .
: Beta ) .( i
: .
f
ui
: .
) .(2
. ) (3) (D'Arcy & Gorvett
. -
.
Urrutia, Jorge L., (1987), "Financial pricing models and competitive underwriting
returns for the insurance industry", Economic letters, Vol. 23, p 105.
Driussi, Adam, and Scott Collings, (26 November 2000), " Required returns, capital
and profit margins: A survey of c Op. Cit., p. theory and practice", the eighth accident
compensation seminar, pp 14-19.
52
:
.
.
):(TRR
):(1
(1 :
) (1
) (IR ) + (P S ) (UPM
TRR = IA
:
: TRR .
: IA .
: S .
: IR .
P
:.
: UPM ) (.
(2 CAPM :
) (2
[E (R ) R
m
TRR
(3 ) (2) (1 :
IR
) {E (R ) R } (IA S
m
R f +
)( P
= S
UPM
):(2
1 D'Arcy, Stephen P., and Michael A. Dyer, (1997), Op. Cit., p 306.
D'Arcy, Stephen P., and Michael A. Dyer, (1997), Op. Cit., pp 306-307.
53
(1 .
(2 .
(3 Beta
.
(4 .
(5 .
):(DCF
. - - DCF
).(1
DCF :
Risk
Adjusted Rate
).(2
CAPM
Mahler CAPM
).(3
Driussi, Adam, and Scott Collings, (November 2000),: Op. Cit., P 29.
Driussi, Adam, and Scott Collings, (November 2000),: Op. Cit., P 29.
Mahler, Howard C., (1998), " The Myers-Cohn Profit Model: A practical application", PCAS,
LXXXV, p 696, p 728.
54
: Option Model
:
) .N (d 2
Rf K
E + PW Exp
2
+ R f + 0.5( Ri ) .K
ln
) E (L
d1 =
0 .5 K
) (
)) ( (
d 2 = d 1 0 .5 K
CE
PW
:
C
: .option
: .
PW
: .
Exp
:.
)*( N
: )*(.
) E (L
f
: .
: .
: .
Ri
: .
55
= Ru
: :CAPM
:
:
(1
( .
( .
:
(2
( .
( .
:
o
.1 CAPM :
1.1 :
1.1.1 :
- ) (Jagannathan And Wang
).(1
1
Jagannathan Ravi And Zheyu Wang (1996), The Conditional CAPM And The Cross
Sections Of Expected Returns, Journal Of Finance, 51:3 53
56
- Hui Xue
).(1
- (2) Wright CAPM
.
CAPM
.
. Wright
.CAPM
- (3) Cummins -
-
.
.
- (4) D'Arcy & Dyer
.
2.1.2 :
Xue, Hui, (2003)," Identifying Factors with the APT: A New Approach", University of
Iowa, p 106.
2
Wright, Stephen, and et al., (2003), "A Study into Certain Aspects of the Cost of
Capital for Regulated Utilities in the UK", Smithers and Co. Ltd., London, p. 5.
Cummins, J. David (1999): Op. Cit., p 134.
D'Arcy, Stephen P., and Michael A. Dyer (1997): Op. Cit., p 311.
57
:SML
:
)( ) (Blume & Friend ).(1) (1973
)(
Beta :
Beta
:
- ) (Levent Aslihan - Mehmet )(2002
):(3
Empirical
Evidence Beta
CAPM
Beta .
- ) (Ghysels ):(4) (1998
Beta
Conditional CAPM
Blume, Marshall and Irwin Friend, (1973) A new look at the capital asset pricing
model, The Journal of Finance 28, 19-33.
Fama, Eugene, and et al., (1969), the Adjustment of Stock Prices to New
Information, International Economic Review, X, 1-21.
Akdeniz, Levent & et al., (September 2002)," Time-Varying Betas Help in Asset
Pricing: The Threshold CAPM", p.4.
58
2.2 :
1.2.1
CAPM :
)( :
).(1
1 Keith Vorkink, (2003) "Return Distributions and Improved Tests of Asset Pricing
Models", Review of Financial Studies, (3): 845-857.
2
Fama, E. and MacBeth, J. (1973), Risky return and equilibrium: Empirical tests ,
Journal of Financial Political Economy 71, 607636.
59
)( :
CAPM
. - -
Engle 1982
) (Bollerslev 1986
).(2
)( ) (:
.
)( :
capm
).(3) (1995
)( :
capm ) ( ) :(4
Driussi, Adam, and Scott Collings, (26 November 2000): Op. Cit., P 34.
Attiya, Y. Javed, "Alternative Capital Asset Pricing Models: A Review of Theory and
Evidence", (www.pide.org.pk/Research/Report179.pdf).
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. Ferson
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) (PROXY .
.
)( :
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Beta Beta .
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2.2.2
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1
Ferson, W. E., (1989), "Changes in Expected Security Returns, Risk and the level of
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5
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8
Ferson, W. E., (1989), "Changes in Expected Security Returns, Risk and the level of
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62
Beta
.
:
capm
:
- ) (Roll CAPM .
-
- -
CAPM
.
Beta
.
- CAPM
Stationary .
- ] Two Stage
[Regression Beta -
Beta
.
:
63
Relationship Beta.
.2 ):(INSURANCE CAPM
2.1
:insurance capm
) (.
(1) 1979 Fairely
Traditional target margins
insurance capm .
Fairely
) (
Incompetence Fraud
Fairely .
2.2
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64
-
:
.1.2.2 :
:
- (1)Cummins
. - & D'Arcy
- (2)Dyer
........... .
).(3
- ) (4)(Kozik Beta
insurance capm
.
. ) (5)(Feldblum
Beta
.
Cummins, J. David (1999), Op. Cit, p 152.
D'Arcy, Stephen P., and Michael A. Dyer,(1997) , Op. Cit., pp. 330-331.
3
4
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65
2.2.2 :
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Beta
.
- ):(2)1983 (Harrington
. Insurance CAPM
.
- ) (Cummins - Harrington 1988
)(3
.
- ) (Michel & Norris 1982
)(4
insurance capm
.
1
Harrington, Scott E., (Dec.,1983)," the relationship between risk & return: evidence
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4
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66
: :APT
(1 :APT
-
. .
- ) (Chen,Roll & Ross 1986
)(1
-:
. . . . - :
6 :
)o Chen 1983(2
1
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67
o
o
o
o
o
o
(1)
:APT ( 2
( 7) 1988 ( Lehmann & Modest)
Maximum likelihood factor analysis
.
APT 1985
(9)
Shanken .1981
(8)
Reinganum
.
1
Cho, D. C. (1984), on testing the arbitrage pricing theory: inter- battery factor
analysis, journal of finance, 39: 1484-1502.
3
Kryzanowski, L. and To, M. (1983), general factor model and the structure of
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4
Cho, D. C., Elton, e. and Gruber, m., (1984), on the robustness of the roll and Ross
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8
Reinganum, Mark R., (May 1981), " the arbitrage pricing theory: some empirical
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9
Shanken, Jay, ( Dec. 1982) " The Arbitrage pricing theory is it testable ? " , Journal
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68
)(TRR
):(DCF
CAPM
Mahler CAPM
)(2
. Insurance - CAPM
: Option
(3) Driussi & Collings :
-
.
-
.
.
-
-
.
.
D'Arcy, Stephen P., and Michael A. Dyer, (1997), Op. Cit.,
Mahler, Howard C., (1998), " The Myers-Cohn Profit Model: A practical application", PCAS,
1
2
69
:
(1
] insurance - CAPM
[ Insurance APT ] DCF
[ TRR .Insurance OPT
(2 CAPM
-
. ) (Sharpe ]
[1990 )(
) (1 ).(2
(3
Roll CAPM .
1
Jagannathan, Ravi, & Wang, Zhenyu, (Nov. 1993)," the CAMP is alive and well",
Federal Reserve bank of Minneapolis, research department staff report 165, pp 1- 57.
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alive", Journal of finance, pp: 1947-1958.
70
(4 ) (
CAPM
.
.
.
(5
.
(6
.
.
(7
:
-
.
-
.
71
:
(1
] insurance - CAPM
[ Insurance APT ]
DCF
[ TRR
.Insurance OPT
(2 CAPM
-
)( ) (Sharpe
] [1990 )(
) (1 ).(2
(3
Roll CAPM .
Jagannathan, Ravi, & Wang, Zhenyu, (Nov. 1993)," the CAMP is alive and well",
Federal Reserve bank of Minneapolis, research department staff report 165, pp 1- 57.
Fama, Eugene F., French, Kenneth R., (Dec. 1996)," the capm is wanted, dead or
alive", Journal of finance, pp: 1947-1958.
72
(4 ) (
CAPM
.
.
.
(5
.
(6
.
.
:
-
.
-
73
:
(1
Multi-Factor Model .
(2
.
(3 .
:
: .
: .
: .
) .(1 :
(1 :Stock Market Return
.
.
.
(2 Size Factor :
:
-
).(2) (Zarowin
Chang, hui-shyong & cheng F. Lee, (1977)," using pooled time series and cross
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.
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3
Brennan, Michael J. & Yihong Xia, (1999), "Assessing Asset Pricing Anomalies", p7.
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Stocks. Journal of Financial Economics 9: 318.
6
.( 2) (Rosenberg et al)
.(3) (Fama & French 1992) - -
:
( 5) (Levis and Liodakis) (4) (Chan et al)
.
(6) ( Breen & Korajczyk)
.(7)(CHEN & DANG)
:( 4
(Co-Moment)
- (8)(Kraus & Litzberg)
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.
.(1) .
:
.(2)Harvey & Siddique )(
.(3)Dittmar)(
.(4)Christie- David & Chaudhry )(
:(5)
. (Galagdera Et Al) )(
. (Chi-Hsiou Hung et a)l )(
Market Risk Premium Sign :
(6)
( 5
1 hi-Hsiou Hung and et al (2004), "CAPM, Higher Co-moment and Factor Models of
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3 Dittmar, R. F., (2002), "Nonlinear Pricing Kernels, Kurtosis Preference, and
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4 Christie-David, R. and Chaudhry, M., 2001, "Coskewness and Cokurtosis in Futures
Markets", Journal of Empirical Finance, Vol. 8, pp. 55-81.
5 Chi-Hsiou Hung and et al (2004), CAPM, Higher Co-moment and Factor Models of
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Between Beta and Returns, Journal of Financial and Quantitative Analysis 30,
pp.101-116
- -
Beta
- - .
]
[ .
Dummy Variable
.
Beta .
(6 :
: .
. ) ( Breen & Korajczyk
):(1
j ,t
r f ,t 1 +
m , t 1
(r
j , 1
r f ,t +
m ,t
(r
j ,0
r f ,t = j +
j ,t
Wayne, Ferson E., & Campbell R. Harvey, (1999) , Conditioning Variables And The
Cross-Sectional Of Stock Returns, NBER working paper series, No. 7009, p2
Wayne, Ferson E., & Campbell R. Harvey, (1999) , Op. Cit., p3
Jagannthan ) :
( 7
-
(3) 1973 ( Mayers) -
.(4)
(5) 1993 ( Jagannathan & Wang )
. CAPM
Gross Domestic Product Rate :( 8
(6)2002 Vassalou
.( Cross Sectional Variation)
.( CAPM)
(3 Factor- Fama & French)
1
Jagannathan, Ravi, and Zhenwu Wang, (1998), "Asymptotic theory for estimating
beta pricing models using cross-sectional regressions", Journal of Finance 53, p 1285.
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average returns: Empirical evidence for the Japanese Stock Market", Journal of
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Financial Economics, 5: 115-146.
5
Maria Vassalou, (2002), News Related To Future GDP Growth As A risk Factor In
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(9
Inflation Risk
.
).(1
(10 :
).(2
) (3) (Jagannathan, Faff and Brooks
1999
. ) Durand & et
1
2
Durack , Nick , Robert B. , Durand Ross and A. Maller, (2000),"A Best Choice
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).(2) (Faff & Di Lorio
(12 :Insurance Market Underwriting risk
.
.
(13 Unemployment Rate
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)(3
.(4) Kwanho
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: :
: :
(1 :
Empirical Studies :
Beta .
) (1)(Levhari & Levy :
- - Beta .
) (2)(Handa , et al )(Kothari , Shanken & Solan
)(3
CAPM
Beta .
) (4)(Fama
Macroeconomic Variables .
Levhari, D. and H. Levy (1977), "The capital asset pricing model and the investment
horizon", Review of Economics and Statistics, 59, 92104.
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Implications for the Size Effect." Journal of Financial Economics 23 (June 1989):79100.
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4
Fama, E. F. (1981). "Stock Returns, Real Activity, Inflation and Money", American
Economic Review, 71, 545565.
10
-
- 14
1992 2005
Emerging Markets .1992
(2 :
) (
13 .
:
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: X 1t
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: X 3t ) (Dummy Variable
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).(1
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).(SMB
: X 5t ) (B/M
11
).(HML
X 6t
: GDP.
: X 7t .
: X 8t .
: X 9t ) (.
: X 10t .
: X 11t .
: :
(1 : :
(
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.
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- -
Cobb Douglass :
k
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12
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(1 .
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. 10
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13
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:
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Lind, A. Douglas,(2000), " Basic Statistics For Business & Economics", MacGraw
Hill, International Editions, 3 Rd Edition, P 412.
16
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)
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.
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30
).(1
:
)( .Anderson Darling Test
)( .Chi Squared Test
)( .D'Agostino' Test
)( .Kolmogrov Smirnov Test
)( .Tietjen Moore Test
)( .EDF Test
)( .LaBreque's Test
)( .Shapiro Francia Test
)( .Kuiper's Test
)( .Jarque Bera Test
)( .Watson's Test
)( .Wilk Shapiro Test
)( .Gramer Von Mises Test
1
18
. ) (Filliber 1975 10 50
Wilk Shapiro Test . ) Stephens
(1974 Wilk Shapiro Test Anderson
Darling Test 20 50 95
Wilk Shapiro Test .Shapiro Francia Test
Kolmogrov Smirnov Test D'Agostino' Test
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Test ).(1
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P.VALUE
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Thode, Henry, (2002)," Testing for normality", Monograph volume 164, StonyBrook
University, NY, pp 144 -164.
19
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Manly, Bryan F., (1999)," The design & analysis of research studies", Cambridge
University Press, P 109.
21
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1
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Insurance Multi-Factor Model :
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26
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Y = P [k (1 ) ri + (R U
: .
27
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P
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E
) (7
]) ROE = [k (1 ) ri + (RU
:
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:
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29
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Makridakis, Spyros, and et al, (1998) , Op. Cit., P.11.
2
3
35
)(
)(1
:
)(
) (
.
)( .Moving Average Models
)( .Weighted Moving Average
)(2
Farnum, Nicholas R., and LaVerne W. Stanton, (1989), Op. Cit.,, p.145 - 147.
36
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:
) Ft +1 = Ft + (Yt Ft
:
: .
: Ft +1 ).(t+1
: Ft ).(t
: Yt ).(t
:
)
(.
):(1
) (
.
. .
) ( .
) ( F1
) ( F1 = Y1 .
)( ):(1
Makridakis, Spyros, and et al, (1998) , Op. Cit., PP.145 - 150.
37
Adaptive
) (
. ) (
.
.ARIMA
: :
Model Specification
: ) AR(P
) MA(q ).(3)(ARIMA
:
Makridakis, Spyros, and et al, (1998) , Op. Cit., PP.174-175.
38
ARIMA
).(P,d,0
)( Pure Moving Average Model
).ARIMA (0,d,q
)( ).ARIMA (p,d,q
.
] .(1) [ARIMA
: Box Jenkins Approach :
) (ACF ) .(PACF
:
.
: Automatic Approach
) (ARIMA Minimizing
) (T
Multi-Variate(t)Distribution
1 Ibid. PP. 2 4.
39
. :
.Prior and Posterior Calculations
- -
ARIMA .
) (7 ) (ACF
) (PACF .(1) Box Jenkins
Indications .(2) Conditions
)(7
)(ACF
)AR(P
)MA(q
)ARIMA(p,d,q
)(q
)(PACF
)(p
: :
Model Estimation
1 )( :
.
Bovas Abraham & Johannes Ledolter., Op. Cit., pp 232.
40
):(1
)( Linear Least Square Method
.
)( .Non-Linear Least Square Method
)( .Maximum Likelihood Method
)(2
ARIMA:
)( .
)( .
.Box & Pierce Test
)( )( ].[T Test
)( Invertibility condition
Stationarity condition .
) (8 :ARIMA
)(8
ARIMA
)AR(1
+t
)(1
t 1
y = (1 ) + y
t
= z t 1 + t
)(2
)AR(2
)(1
+t
t2
t 1
= 1 +
2
< 1
+ < 1
1
< 1
Ibid., P261.
41
)(2
)MA(1
)(1
t2
t 1
)(2
= +
2 t 2
)(2
t
t 1
)(2
t 1
+
t 1
t 1
<1
< 1
< 1
z =
< 1
<
< 1
= (1 ) +
= + t 1 t 1 2 t 2
)MA(2
)ARIMA(1,1
t 1
)(1
)(1
t 1
t 1
) :(1 (2) .
Forecasting
. Box-Jenkins
) ) ((
).(1
Box-Jenkins
)-:(2 .
(
1
: .80
2
42
(
- -.
(2 Trend Forecasting Models :
:
)( .
)( :
):(1
.Exponential Family .Power Family .Yield-Density Models .Growth Family .Miscellaneous Family :
Exponential Family
inflection Points
:
)Exponential: y=a*exp(b*x
)Modified Exponential: y = a*exp(b/x
Logarithm:
)y = a+b*ln(x
))Reciprocal Logarithm: y = 1/(a+b*ln(x
))Vapor Pressure Model: y = exp(a+b/x+c*ln(x
)1
)2
)3
)4
)5
Power Family
1
& Hyams, Daniel, and F. S. Wood, Fitting Equations to Data, 1980. John Wiley
Sons, New York. Library of Congress QA297.D35.
43
:
Power Fit Model:
y= a*x^b
Modified Power Model: y = a*b^x
Shifted Power Model: y = a*(x-b)^c
)Geometric Model: y = a*x^(b*x
)Modified Geometric Model: y = a*x^(b/x
)Root Fit Model: y = a^(1/x
)Hoerl Model: y = a*(b^x)*(x^c
)Modified Hoerl Model: y = a*b^(1/x)*(x^c
)1
)2
)3
)4
)5
)6
)7
)8
Yield-Density Models
:
)Reciprocal Model: y = 1 / (a + bx
)Reciprocal Quadratic: y = 1 / (a + bx + cx^2
Bleasdale Model:
)y = (a + bx) ^ (-1/c
)Harris Model: y = 1 / (a + bx^c
)1
)2
)3
)4
Growth Family
.
.......
:
))Exponential Assoc (2): y = a*(1-exp (-bx
))Exponential Assoc (3): y = a*(b-exp (-cx
)Saturation Growth: y = ax / (b + x
Gompertz Model:
44
)1
)2
)3
)4
)5
Miscellaneous Family
)Sinusoidal Fit: y = a + b*cos(c*x + d
))Gaussian Model: y = a*exp ((-(x - b)^2)/(2*c^2
Hyperbolic Fit: y = a + b/x
Heat-Capacity Model: y = a + bx + c/x^2
)Rational Function: y = (a + bx) / (1 + cx + dx^2
)1
)2
)3
)4
)5
:
- -
:
: ) ( :
: .
.
:
: Non-Parametric Tests :
:
(1 .Runs Test
(2 .Turning Points Test
(3 .Sign Test
(4 .Daniels' Test
45
(5 .Kendall's Test
.(1) Daniels' Test
: Parametric Tests :
:
(1 .Mean Square Successive Difference Test
(2 ).Autocorrelation Coefficients Function (ACF
(3 .Box- Pierce Test
(4 - .Ljung Box-Pierce Test
] [
Modified Box- Pierce test
ACF
) Several separate tests (
).(2
:
.
:
) :(H0 .
) :(H1 .
:
:
Farnum, Nicholas R., and LaVerne W. Stanton, (1989), Op. Cit.,, p.164.
Farnum, Nicholas R., and LaVerne W. Stanton, (1989), Op. Cit.,, p.84.
46
(1 :
No Trend Time Series
.Forecasting Models
(2 :
: : ) (
)( .....
. .
Trend Time Series
.Forecasting Models :
) ( . ) - (2
:
47
)(2
):(1
Farnum, Nicholas R., and LaVerne W. Stanton, (1989), Op. Cit.,, pp. 43 49.
48
1
=
n
t =1
ME
where
et = Yt Ft
:
ME
: .
: .
: ).(t
: ).(t
Ft
: ).(t
(2
et
t =1
1
n
= MEA
: MEA .
: e t ).(t
(3 )Mean Squared Error (MSE
n
) (e
t =1
1
n
= MSE
.
(4 )Mean Percentage Error (MPE
n
PE
t =1
1
= MPE
n
:
PEt
: ) (t .
Y Ft
e
PEt = t 100 = t
100
Y
Y
t
t
49
( 5
Mean Absolute Percentage Error (MAPE)
1
=
n
MAPE
PE
t =1
et
Y Ft
100 = t
100
Yt
Yt
PEt =
Theil
( 6
Theil's U Statistic
:
n 1
(FPE
U =
t =1
t +1
APE t +1 )
n 1
( APE )
t =1
t +1
where
FPE
t +1
F t +1 Y t
Yt
APE
t +1
Y t +1 Y t
Yt
Ft +1 Yt Yt +1 + Yt
Yt
t =1
2
n 1
Yt +1 Yt
Yt
t=
n 1
U =
50
Ft +1 Yt +1
Y
t =1
t
2
n 1
Y t +1 Y t
Yt
t =1
n 1
= U
Theil
).(1
Farnum, Nicholas R., and LaVerne W. Stanton, (1989), Op. Cit.,, p.45.
51
:
:
Wilk Shapiro Test
.
)(9
Wilk Shapiro Test
P.Value
0.836
* 0.015
0.983
0.973
0.925
0.329
0.986
0.990
0.672
* 0.010
0.652
0.958
0.969
0.812
0.853
* 0.027
0.927
0.345
0.884
0.074
* .%5
52
:
]
[ Daniels
.
.Ljung Box-Pierce Test
: Daniels
:
(1 :
) :(H0 )( .
) :(H1 ) ( .
(2 :
) :(30
) (:
2
n n2 1
) (y
t
= 1
=tR
:
:
t
) : R(y .
: n .
t
) :(30 :
rs
=z
rs
, =0
rs
1
n 1
53
rs
(3 : :
:
>
r r
2
. :
z ) .( z
2
)(10
Daniels' Test
P.Value
)(rs
0.565
** 0.004
-0.134
0.648
-0.443
0.113
* .%5
- ) -(10
.
.
Ljung Box-Pierce
:
(1 :
) :(H0 .
) :(H1 .
(2 :Test Statistics :
2
Q = n(n + 2) nr k
m
k =1
:
m
: 2 .m
54
: .
: .
(3 :
) ( Q ) ) ( (m ) ( Q
2
) (m
( .
) (10) (9
:
. . . . .
.
55
)(11
Ljung Box-Pierce
Time Lag
)( k
)(k
)(LBQ
1
2
0.52
0.40
0.29
7.35
11.92
*14.34
0.10
-0.01
*14.65
*14.65
6
1
2
-0.02
0.62
0.39
*14.67
10.55
*14.79
0.10
-0.03
*15.79
*15.13
-0.12
*15.60
-0.17
*15.65
-0.37
2.39
0.19
3.03
-0.36
5.62
1
2
0.44
-0.07
3.34
3.42
3
1
2
-0.20
0.59
0.19
-0.26
4.20
6.00
6.70
*8.10
-0.21
0.78
56
) ) ( (m
12.592
12.592
7.81
7.81
7.81
7.81
0.20
-0.61
1.51
*9.06
* ) ( .%5
: )(11
Ljung Box-Pierce
Time Lag
)( k
)(LBQ
) ) ( (m
2
)(k
1
2
0.25
0.01
1.73
173
0.08
1.94
0.14
2.56
0.20
3.84
-0.19
5.04
12.592
* .%5
: :
:
(1 .
(2 .
(3 .
Theil
.
: :
57
(1 :
1/1 ) (Theil's U
:
)(12
Wilk Shapiro Test
Wilk - Shapiro
Theil
)^(y,y
P. Value
4th Degree
0.894
0.9565
*0.017
0.8577
Polynomial
Function
Gaussian Model
Hoerl Model
Quadratic Function
Logistic Model
0.681
*0.010
0.6992
3.0350
0.915
*0.049
0.8784
1.6878
0.934
0.149
0.8183
2.6540
0.853
*0.010
0.7507
2.0501
* .%5
2/1 :
)(13
Ljung Box-Pierce Test
)(1
)(2
)(3
)(4
)(5
)(6
LBQ
LBQ
LBQ
LBQ
LBQ
LBQ
4th Degree
0.01
5.70
Polynomial Function
58
5.92
5.97
6.71
7.28
10.03
10.59
11.25
11.57
11.87
12.06
10.79
11.44
11.74
*13.12
*17.36
*23.61
*13.46
*16.61
*16.99
*17.06
*18.94
*24.20
*13.32
*15.40
*15.45
*16.20
*18.83
*23.25
Gaussian Model
Hoerl Model
Quadratic Function
Logistic Model
* ) ( .%5
) :(13) (12
Theil
) (0.956
.
:
4
+ ex
+ dx
y = a + bx + cx
:
a = 1989.00
b = 231.22
c = 99.61
d = 8.88
e = 0.53
(2 :
1/2 ) (Theil's U
:
)(14
Wilk - Shapiro
Wilk - Shapiro
Theil's U
59
P. Value
MMF
MMF Model
0.010
0.599
)^(y,y
94.8832
0.7683
Saturation Growth-Rate
Model
0.010
0.840
0.92217
0.7310
Exponential Association
Function
Logistic Model
Logarithm Function
0.894
0.017
0.7289
0.92758
0.904
0.130
0.7403
0.91577
0.804
0.010
0.7253
0.93492
2/2 :
)(15
Ljung Box-Pierce
)(1
)(2
)(3
)(4
)(5
)(6
MMF
MMF Model
LBQ
LBQ
LBQ
LBQ
LBQ
LBQ
*20.71
*34.17
*41.05
*43.27
*43.43
*43.51
3.86
4.00
6.86
10.81
*13.77
*14.93
Exponential
Association Function
Logistic Model
Logarithm Function
3.81
3.98
6.90
10.55
*12.87
*13.47
3.76
3.96
6.53
9.29
10.72
11.10
4.15
4.35
6.72
10.49
*13.49
*15.47
* ) ( .%5
60
) (15) (14
Logistic Model Theil
) (0.74
:
a
1 + b e c x
=y
:
a = 52.72
b = 3.89
c = 0.47
(3 :
1/3 ) (Theil's U
:
)(16
Wilk Shapiro Test
Wilk - Shapiro
Rational Function
P. Value
)^(y,y
0.0100
0.297
0.6655
Theil
25.3
4th Degree
Polynomial
Function
Gaussian Model
Quadratic
0.8428
0.0100
0.594
14.812
0.9637
0.5159
0.741
0.678
0.9678
0.6082
0.732
0.682
61
Function
Sinusoidal
Function
* ) ( .%5
0.4544
0.9592
0.743
0.676
2/3 :
)(17
Ljung Box-Pierce Test
Rational Function
4th Degree
Polynomial Function
Gaussian Model
Quadratic Function
Sinusoidal Function
* ) ( .%5
)(1
)(2
)(3
)(4
)(5
)(6
LBQ
LBQ
LBQ
LBQ
LBQ
LBQ
0.02
0.05
0.09
0.13
0.15
0.17
0.70
0.70
2.87
5.04
7.10
7.17
0.95
0.95
2.89
5.02
7.24
7.25
0.68
0.68
2.49
4.67
6.73
6.80
)( () Sinusoidal
Function Theil
:
) y = a + b * cos( cx + d
:
62
a = 9.28
b = 2.82
c = 0.18
d = 1.995
(4 :
1/4 ) (Theil's U
:
)(18
Wilk Shapiro Test
Wilk - Shapiro
)^(y,y
P. Value
Theil
Sinusoidal Function
Quadratic Function
Rational Function
0.799
0.010
0.376424
34.54
0.941
0.451
0.853054
0.34
0.982
0.962
0.564536
0.60
0.983
0.976
0.178983
3.13
Reciprocal Quadratic
Function
0.444
0.940
0.387914
1.21
* ) ( .%5
2/4 :
)(19
Ljung Box-Pierce Test
63
)(1
)(2
)(3
LBQ
LBQ
LBQ
4th Degree Polynomial Function
Sinusoidal Function
Quadratic Function
Rational Function
Reciprocal Quadratic Function
8.83
12.35
13.33
0.43
0.16
9.61
1.27
1.67
6.83
3.88
4.49
4.72
1.51
1.57
4.78
* ) ( .%5
) (19) (18
Quadratic Function
Theil
:
y = a + bx + cx2
:
a = 11.45
b = 0.63
c = 0.04
(5 :
1/5 ) (Theil's U
:
)(20
Wilk Shapiro Test
Wilk - Shapiro
)^(y,y
P. Value
64
Theil
Harris Model
Reciprocal Function
Sinusoidal Function
Logistic Model
0.642
0.010
0.718
1.434
0.815
0.010
-0.627
0.722
0.991
0.990
0.585
0.782
0.836
0.015
0.155
0.936
0.531
0.949
0.286
1.310
* ) ( .%5
2/5 :
)(21
Ljung Box-Pierce Test
Harris Model
Reciprocal Function
Sinusoidal Function
Logistic Model
)(1
)(2
)(3
LBQ
LBQ
LBQ
0.23
0.43
0.94
0.59
1.07
8.55
7.81
10.49
14.91
0.65
1.86
7.20
1.58
2.09
10.35
* ) ( .%5
) (21) (20
:
65
.Theil . . :
1
ax + b
=y
:
a = 0.26856
b = 2.4213
: :
.ARIMA
(1 :
)(22
ARIMA
= 0.9311
ARIMA
)(0,1,1
)(1,1,0
ARIMA
)(1,0,0
T- test
P.Value
3.91
**0.002
= 0.7442
-3.66
**0.003
= 0.6920
2.72
*0.019
66
5.59
**0.000
ARIMA
= 0.7759
-3.80
**0.003
ARIMA
= 0.5520
-2.21
*0.047
16.03
**0.000
)(1,2,0
)(1,1,0
ARIMA
= 1.0004
)(1,0,1
= 0.9327
2.63
*0.022
ARIMA
= 0.9223
3.77
**0.003
ARIMA
= 0.8308
-2.37
*0.034
ARIMA
= 0.8896
5.76
**0.000
ARIMA
1 = 0.6505
4.16
**0.002
)(0,1,2
2 = 0.1251
-6.95
**0.000
8.15
**0.000
)(0,1,1
)(0,0,1
)(1,0,0
ARIMA
)(0,1,1
= 0.8655
(2 :
)(23
ARIMA
)(0,1,1
ARIMA
)(1,1,0
ARIMA
)(1,0,0
ARIMA
)(1,2,0
ARIMA
ASquared
P.Value
0.268
0.623
0.302
0.405
0.097
0.598
0.172
0.907
0.748
*0.038
67
12.3
8.4
14.4
15.5
P. Value
0.345
0.675
0.157
0.127
)(1,1,0
ARIMA
)(1,0,1
ARIMA
)(0,1,1
ARIMA
)(0,0,1
ARIMA
)(1,0,0
ARIMA
)(0,1,2
ARIMA
)(0,1,1
1.897
**0.000
16.4
0.116
1.758
**0.000
17.7
0.105
0.993
**0.009
16.32
0.954
1.445
**0.001
13.02
0.838
0.763
*0.035
12.54
0.809
0.823
*0.028
10.00
0.8655
(3 :
)(24
Theil's U
)ARIMA (0,1,1
0.632
0.876
)ARIMA (1,1,0
0.594
1.023
)ARIMA (1,2,0
0.775
0.885
)ARIMA (1,1,0
0.438
11.67
)ARIMA (0,0,1
0.378
0.615
2.114
0.684
)ARIMA (0,1,2
0.594
0.975
)ARIMA (1,0,0
.
) ARIMA (0,1,1
)ARIMA (1,2,0
68
) ARIMA (1,0,0
) .ARIMA (0,1,1
).ARIMA (1,0,0
.
P.Value
%5 Kolmogorov-Smirnov .Shapiro-Wilk
.
.
Statistic
)Sig (P.Value
Kolmogorov-Smirnov
0.231846482
00.2
Shapiro-Wilk
0.918742523
0.496351
) (1.04816
%4.816
0.86479 %7.611
.%8.9310
69
) (
:
: CAPM
Insurance
(E
U
kR
12
11
10
-0.2
Ru
-0.4
-0.6
-0.8
-1
-1.2
-1.4
Time
pre dic te d Ru
Ac tua l Ru
: -:Insurance APT
ui
j =1
UPM = K r f +
: Beta ):(2
)( ) :( Urm
0.563
1
............
............
70
)( ) :( UGDP
4.921
)( ) :( Uunmploment -
7.886
)( ) :( U inf lation 2.387
: ):(TRR
IR
) {E (R ) R } (IA S
m
( P ) R
Beta 0.598
............
71
= S
)(1
UPM
0.8000
0.6000
0.4000
0.2000
Ru
0.0000
13
12
11
10
-0.2000
-0.4000
-0.6000
-0.8000
Time
Actual Ru
predicted Ru
: ) Insurance Multifactor (.
Insurance - Multi-Factor Model
0.600
0.400
0.200
12 13
11
10
Ru
Actua l Ru
pre dicte d Ru
0.000
1
-0.200
-0.400
-0.600
Time
72
InsuranceMultifactor
InsuranceTTR
Insurance - APT
0.111352308
0.054385385
0.636131258
0.234705181
)(2
)(1
)(4
)(3
0.096592746
0.157976025
0.505235563
0.193311937
MSE
)(1
)(2
)(3
)(4
0.784355068
0.692631579
3.030128083
1.968412959
MPE
)(2
)(1
)(4
)(3
1.119896927
1.159676113
4.141376589
2.326678948
MAPE
)(1
)(2
)(4
)(3
0.953798686
1.249679899
1.966634291
1.216674521
U Theil
)(1
)(3
)(4
)(2
Insurance - CAPM
ME
:
: ):(ME
.1 Insurance TTR
.2 Insurance Multifactor
.3 Insurance CAPM
.4 Insurance - APT
: ):(MSE
73
.1 Insurance Multifactor
.2 Insurance - TTR
.3 Insurance - APT
.4 Insurance - CAPM
: ):(MPE
.1 Insurance - TTR
.2 Insurance Multifactor
.3 Insurance - CAPM
.4 Insurance - APT
: ) :(MEA
:
.1 Insurance Multifactor
.2 Insurance - TTR
.3 Insurance - APT
.4 Insurance - CAPM
: ):(Theil U
.1 Insurance Multifactor
.2 Insurance - CAPM
.3 Insurance - TTR
.4 Insurance - APT
) ) (4
) (3 ) (2
74
) .(1
:
ME
MSE
MPE
MEA
Theil
Insurance - CAPM
Insurance - APT
16
Insurance - TTR
18
Insurance Multifactor
:
Insurance Multifactor Insurance TTR Insurance
75
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