"

"

/

" "
2009

. /.

)(



::
.

.

- - .
- -
:
: :
.
.
: ) ( :
.
.
- -
.
.
: :
- - .


- - GATS
) (

.
: :
.


.

- One Side Supply
.

.

: :
:
.
- -
- -
.
-

 -
.

:
. ]
[
.


- -
:
(1 - .
).(1
(2
(2)Arbitrage Opportunities

).(3

Phillips, Richard D. and et al, (1998), "Financial Pricing of Insurance in the

Multiple-Line Insurance Company", Journal of Risk and Insurance, Vol.65, No.4,
pp.597-636.
Phillips, Richard D. and et al, (1998), Op. Cit.,pp.597-636.

2
3

D'Arcy, Stephen P., and Neil A. Doherty,(1988),"The Financial Theory of Pricing

Property-Liability Insurance Contracts", Huebner Foundation Monograph Series,
Number 15, P.X.


(3
- -
).(1
- -

: ) ( .
)( .
:
] [
:
.
) ( :

.
.

.
-
-
.

:
-:
D'Arcy, Stephen P., and Neil A. Doherty,(1988 Op. Cit, P.IX.

 .1 :
(1) Robert Ferrari
) (
.

.2 :


.
) ( ).(2

.3 :
.
.

).(3
) (
.
)( .

.4 :

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: 299.
D'Arcy, Stephen P., and Neil A. Doherty,(1988), Op. Cit, P.XXI.

D'Arcy, Stephen P., and Neil A. Doherty,(1988), Op. Cit, P.XI.

 :

. -
) (


.


.

: :
-
- :

:
.

(1

Curry :(1) 1969

.
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


.
"


.

:
:
:

Witt, Robert C., (1973), Pricing Problems In Automobile Insurance: An Economic

Analysis, Journal Of Risk And Insurance, 41: 109-134.

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
.

.

NAIC (National Association Of Insurance Commissioners), (1970), Measurement Of

Profitability And Treatment Of Investment Income In Property And Liability
Insurance, Proceedings Of The National Association Of Insurance Commissioners,
Annual Meeting, IIA:719-893.

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

 (2 Quirin & Waters :(1) 1975

. CAPM
.

)(
.


) (.
(3 Biger and Kahane :(2) 1978
CAPM

.

.
(4 Fairley :(3) 1979

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

(6 David Cummins 1991

)(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

 :
.
:
.

: :

:
(1 :


.
.
(2 : -:
(

.
(

) (

15




:
(1
:
. .
(2
.
(3 :
)(

) (

)(

:
: .
: .

16



: :

:

.Individual Risk Theory

.Collective Risk Theory

(1 -:
Risk Pooling

Process - . :
.

)(
) .(1 .

) (1

x
i=1

:
: S N .
: x i ) ().(2
N

: ) (.

Cummins, J. David,(1991): Op. Cit., p 262

2

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 ) =

Cummins, J. David,(1991): Op. Cit., p 269.

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 .
-
.

Cummins, J. David, (1991): Op. Cit., p 274.

2 Morgan, Ibrahim M., (1983): Op. Cit., p.27.

3 Cummins, J. David,(1991), Statistical and Financial Models Of Insurance Pricing
and The Insurance Firm, Journal of Risk and Insurance, Vol. LVIII, No.2, p.274.

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.

Bowers, Newton L., and et al., (1997),"Actuarial Mathematics", the Society of

Actuaries, p 27.
Cummins, J. David,(1991): Op. Cit., p .276.

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 .

Cummins, J. David,(1991): Op. Cit., p 278. 279.

Cummins, J. David,(1991): Op. Cit., p 282.

Morgan, Ibrahim M.: Op. Cit., pp.28 - 29.

21

)(

.

: Safety Loading :
" ".

).(1
) ( Premium

.Principle " :(2) Van Heerwaarden and Kaas

".

.

)(3

Van Heerwaarden and Kaas

.Concave Increasing Utility Function

Risk Averter "
Fixed Loss
".

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

(1) Hans Buhlmann )

= ( ) :( i

. :

) (5

) (S

2 i ln

= E (S ) +

(2) Hans Buhlmann :

)( ) ):((3
) (6

{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

1 Buhlmann, H. (1985):Op. Cit., pp.92-93.

2 Buhlmann, H.,(1985): Op. Cit.,pp.93-94.

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

: .

Dieter Denneberg,(1990)," Premium Calculation: Why Standard Deviation Should Be

Replaced By Absolute Deviation ", ASTIN Bulletin 20(2), ,p 183.

27

) : ( x .

P ) E(S

Denneberg
.

: :
Expected Value Premium Principle

)p = (1 + ) E ( x

:
: .

.

) ( ).(1

:

Utility Theory
. - Nelson Henwood ) - (2
. :
)( .Exponential Premium Principle
1

Schmidli, Hanspeter (2000),"Lecture Note on Risk Theory", Department of

Theoretical Statistics and Operations Research, University of Aarhus, p 68.
2

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

)( .Equivalent Utility Premium Principle

)( .Zero- Utility Premium Principle
)( .Dutch Premium Principle
)( .Swiss Premium Principle
)( .Proportional Hazard Premium Principle

):(1
)( .
)(
.

:
(

.
.
(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.

Henwood, Nelson, and et al., (2002): Op. Cit., p8.

29

(
) (
) (.

.
.

.

30




:
Financial Economics :
):(1
( .
( .
: .
( .

:
: :
.
: :
1952


.
).(2
1

D'Arcy, Stephen P., and Michael A. Dyer, (1997)," Ratemaking: A financial

economics approach", Proceedings of the Casualty Actuarial, LXXXIV.P.301.
D'Arcy, Stephen P., and Michael A. Dyer, (1997), Op. Cit.,.P.302.

31

 : :
) (Sharpe (1)1964
Capital Asset Pricing Theory
) ( .

.
- - Sharpe
.

Sharpe .
)(Treynor) (Miller) (Linter
).(2)(Mossin
Steven Ross 1976

. ) (


) .(CAPM Option Theory
Black & Scholes .
Option .

Sharpe, W. F.,(1964), Capital Asset Prices: A Theory Market Equilibrium under

Conditions of Risk, Journal of Finance, 19, 425-442.
D'Arcy, Stephen P., and Michael A. Dyer, (1997), Op. Cit.,.P.302.

32

 (1) Fan Stephen

.
Miller Sharpe Markowitz .1990
:
: CAPM

Sharpe CAPM
.
) ( .Mean Variance Analysis

Sharpe

).(2
CAPM ):(3

.
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

.Risk Free rate Assets

(6

.
Cummins, J. David, (1990), Op. Cit., p134.

1
2

Levy, Haim, and Post, Thierry, (2004), Investment, PEARSON HIGHER

EDUCATION, UK, p. 487.

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 .

Levy, Haim, and Post, Thierry, (2004), Op. Cit., P. 488.

35

 : ) (
) ( .
) (
.Beta
.
- -
:

E (r i ) r f = E (r m ) r f
i

) (
.
-:(1) CAPM
(1
.
)

( .
(2 )
Beta( Beta )
( . Beta
:
:
.
1

Reilly, Frank k. (1997), Investment Analysis and Portfolio Management, Fifth

Edition, The Dryden Press, P. 289.

36

 :
. Beta.

)Arbitrage Pricing Model (APM

) (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

Ross, Stephen A. (1976) An Arbitrage Theory of Capital Asset Pricing. Journal of

Economic Theory 13: 341360, p 434.

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 :
-


.
-

.
- -
.

:
(

.
(
.
) (

Richard Roll & Stephen A. Ross, (2003), Op. Cit., pp7-6.

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

Nolan Gulpinar (2004), "Computational Finance: Lecture Notes" ,p 43,

(http://www.doc.ic.ac.uk/~ng2/lecture_compf.html).

40

 (3 ) :(f ) .( Cov(ei , F ) = 0
(4 : ) .( Cov (ei , e j ) = 0

: Multi Factor Model

)(1

F +e

ri = i +
i =1

:
i

: .
: .

: i ) ( i .

Fi

: .

: ei )
(.

:
.

CAPM :APT
APT CAPM ) (2
CAPM APT ).(3

Nolan Gulpinar (2004), Op. Cit., PP. 44-45

1
2

Bin Zeng and Jing Zhang (2002), "an Empirical Assessment of Asset Correlation
Models", p 8, (http: // www.kmv.com).
3

Ehrhardt, Michael C., (1987)," A mean variance Derivation of multi factor

equilibrium", journal of financial & Quantitative analysis, vol. 22, no. 2, p 228.

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

[(r r ) , r ] = Cov [{a (1 b ) r

i

Cov

) Cov (r i , r m ) = bi Cov (r m , r m
) Cov (r i , r m ) = bi Var ( r m

Nolan Gulpinar (2004): Op. Cit., p 45.

42

) (r ,r
) Var ( r
i

Cov

= bi

-
.

)3 factors Fama French Model (3-fff

1992 Fama & French ) (1

: .
. 1993

)(2

Fama & French

.

).(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

Horowitz, J. L., and et al (2000), "the disappearing size effect, research in

economics", 54: 83-100.

43

 : r m r f ) (
: 0 .
: i .
: S i .
: hi ) .( B M
: SMB

) .( B M
: HML ) ( B M
) ( B M
.
: i .

1996 Fama & French

.APT 1975 .(1) 1995
Maria Vassalou -

).(2

Fama, E. And K. French, (1996), Multifactor Explanation Of Asset Pricing

Anomalies, Journal Of Finance, 50: 55-84.

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.

Cummins, J. David (1999), Op. Cit., p.148.

Cummins, J. David (1999): Op. Cit., pp. 149-151.

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

Linear Operator Beta

) (Insurer ' s equity beta ) (4 :

)(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.

Fairley, William B., (Spring 1979): Op. Cit., p.197.

D'Arcy, Stephen P., and Michael A. Dyer (1997): Op. Cit., p327.

Cummins, J. David (1999): Op. Cit., p.150.

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.326.

Fairley, William B., (Spring 1979): Op. Cit., p.198.

D'Arcy, Stephen P., and Michael A. Dyer, (1997), Op. Cit., P.301.

Cummins, J. David (1999): Op. Cit., p. 149.

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
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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.
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53

 (1 .
(2 .
(3 Beta
.
(4 .
(5 .

):(DCF

Stewart Myres Richard Cohn 1981

Massachusetts Fairely

. - - DCF
).(1
DCF :

Risk

Adjusted Rate
).(2
CAPM
Mahler CAPM
).(3

Driussi, Adam, and Scott Collings, (November 2000),: Op. Cit., P 29.

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54

 : Option Model
:

) .N (d 2

Rf K

C = {(E + PW Exp ).N (d1 )} E (L ). e

where

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
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56

 - Hui Xue
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- (2) Wright CAPM
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CAPM

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. Wright
.CAPM
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-
.

.
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 :SML

:
)( ) (Blume & Friend ).(1) (1973
)(

) (Fama, Fisher, Jensen & Roll ).(2) (1969

Beta :
Beta
:
- ) (Levent Aslihan - Mehmet )(2002

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Empirical

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:
o ) (Fama & MacBeth .(2)1973
o ) (Black, Jensen & Scholes .(3)1972

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Engle 1982
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.
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.(3) 1985 (DeBondt and Thaler ) -
.(4) (1992) (Fama & French)

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.(6) 2000 (Durack, Durand and Ross Maller ) -

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- -
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Beta

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- CAPM

Stationary .
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[Regression Beta -
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:

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 ) (ROLL & ROSS

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:insurance capm

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Incompetence Fraud
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. . . . - :

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)o Chen 1983(2
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o
o
o
o
o

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Cho 1984
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Cho , Elton & Gruber 1984
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Brown 1989
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CAPM
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(6

.

.
(7
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.
-

.

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(3


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.

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-

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.(4)
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Kothari, S. P., Jay Shanken, and Richard G. Sloan, "Another Look at the Crosssection of Expected Stock Returns." Journal of Finance 50 (March 1995): 185-224.
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 .
:
(

( .
:
t

: Y .
: X 1t
.

: X 2t .
: X 3t ) (Dummy Variable
) (2
).(1
: X 4t
).(SMB
: X 5t ) (B/M

11


).(HML
X 6t

: GDP.

: X 7t .
: X 8t .
: X 9t ) (.
: X 10t .
: X 11t .

: :
(1 : :
(

(2 : :
.

: :

.
- -
Cobb Douglass :
k
kt

3t

2
2t

12

1t

kt

Ln ( X

kt

) + .......... ....... +

3t

Ln ( X

3t

)+

2t

Ln ( X

2t

)+

1t

Ln ( X

1t

)= +

Ln (Y

: :
:
(1 .
(2 :Stepwise Method
):(1
)( .Backward Method
)( .Forward Method
)( .Standard Stepwise Regression

. 10
1023 .

.
.
) (P.Value
.

: :

:
(1 ) (.
(2 .
Minitab Users guide Release 14 ,(2002) , Regression, P2.2.

13

 (3 .
(4 .
(5 .
(6 .
(7 .

.OLS .

:
(1 :
:

) ( . )( ].[F- test
)(1
ANOVA

Source

P. Value
F cal

DF

SS

MS

128.2954

18.32792

19.7205

* 0.0000

6.505687

0.929384

14

134.8011

* .%5

14

 ) (1 )( . P.Value
0.0005 ) (% 5
.
(2 :
:
. ]) .[(T - test ) (2 )(

P.Value .%5
.
)(2

)(

P. Value

-0.602

-3.37

* 0.012

1.138

2.89

* 0.023

-1.945

-3.66

*0.008

3.653

3.15

* 0.016

1.949

2.96

* 0.021

-3.754

-2.80

* 0.027

2.722

4.12

*0.004

) (

* .%5

15

 (3 :
) (3 ] [ R2 0.903
%90
. .
)(3
] [ R2 ] [R2

R2

R2

0.952

0.903

(4 :Multicollinearity
: .
:
).(1
0.7+ 0.7-
) .(2
) - (4
.

Makridakis, Spyros, (1998), " Forecasting: methods & applications", 3 rd Edition,

John Wiley & sons Inc., p 288.
2

Lind, A. Douglas,(2000), " Basic Statistics For Business & Economics", MacGraw
Hill, International Editions, 3 Rd Edition, P 412.

16

 )(4

) (

-0.251

0.133

0.141

0.172

0.079

0.177

0.200

0.044

0.247

0.367

0.030

1.000

1.000

0.030

0.252

0.003

0.009

1.000

0.367

0.247

0.201

0.179

0.410

-0.438

0.396

1.000

-0.410

-0.562

1.000

0.396

-0.201 -0.179

0.562

0.438

0.029

1.000

0.009

0.044

0.200

0.141

0.003

0.079
0.133

0.172

1.000

0.029

0.252

0.177
0.251

17

)
(

 (5 :Normality Test
)( )(
.

. Central Limit Theorem
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

Palta, Mari, (2003)," Quantitative Methods in population health: Extensions of

ordinary regression", Wiley IEEE, p 6.

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
Gramer Von Mises Test Watson's Test Kuiper's

Test ).(1
Wilk Shapiro Test
) (5 .
.
)(5
Wilk Shapiro Test

P.VALUE

0.964

0.743

(6 :

.

Thode, Henry, (2002)," Testing for normality", Monograph volume 164, StonyBrook
University, NY, pp 144 -164.

19

 ) (R2) (F) (T
.
):(1
(

( .
:
(

) (2:
o

.Generalized least square method

.Maximum likelihood estimation

.Modified Least square method

(
.(3)Lagged Variable
Durbin

Watson Test
).(4

:
1

Schroeder, Larry D., (1986)," understanding regression analysis: an introductory

guide", Sage publications Inc., p 77.
Schroeder, Larry D., (1986)," Op. Cit.,. p 75.

)( " (1989) :

" SPSS/PC+ .154

4

)(:(1989) .153

20

 : ) (DW :

) et 1

(e

t
n

t =2

= DW

t =1

DW

: Durbin Watson ) .(4

: ).(t

t 1

: ).(t-1

: ) :(Durbin Watson
Durbin Watson 1951
) (k ) (n 5
15 100 Savin - White 1977

20 6

.( 1) 200
Durbin Watson
) (dL ).(du
: :

:
(1 ) ( :
: ) .(4-dL<DW<4
: ).(0<DW<dL
1

Manly, Bryan F., (1999)," The design & analysis of research studies", Cambridge
University Press, P 109.

21

 (2 ) ( :
: ).(2<DW<4-du
: ).(du<DW<2

:
.(4-du<DW<4-dL) :
: ).(dL<DW<Du
DW
(1) 2.265 .
(7 ) (:

.
biased ).(2
) (

. )
( .(3) Cross Sectional Data

):(1
1

:........
2

Berk, Richard A., (2003)," Regression analysis: a constructive critique", Sage

publications Inc., p 144.
3

Schroeder, Larry D. & et al, (1986)," understanding regression analysis: an

introductory guide", Sage publications Inc., p 75.

22

 Goldfeld Quandt Test .1965

( Glejser Test .1969

( Park Test .1971
Bruesch Pagan Test .1988

):(2
2
: ) ~ ( :

SSE
n

= ~ 2

SSE

: .

: .

: :

+ vt

= 0+

2
t
2

:
2

: .

: .

: .

,
0

: .

: :
Baltagi, Badi H., (2002), "Econometrics, third edition, Springer, pp 108 112.

1
2

LeSage, James P., (1999), "An introduction to econometrics", university of Toledo, p

26 30.

23

SST SSE SSR

=
2
2

= LM

:
LM

: .

SST

: .

SSE

: .

SSR

: .

: :
) (LM ) ( k )] (k ) (k
2

[ )
. )

2
1 )k

2
1 )k

>

( LM

( LM .

) (LM 2.5215
12.017 .
)(6

Bruesch Pagan Test

)(df

)(SS

)(MS

5.042514

0.720359

6.091724

0.870246

14

11.13424

24

2
0.95 )7

 -

.

25





Insurance Multi-Factor Model :

:
-:
(1 )
( ) ( :

) (1

Y =U + I

:
Y

: .

: .

: .

:
) U = P C X ........... (a
), I = k ( P X )ri ..........(b

: .

: C .

: .

ri

: .

: .

26

) (2

) Y = k ( P X ) ri + ( P C X

(2 ) (a ) (P:
U
C X
)= 1 ........ (3
P
P P

:
U
P

: .

C
P
X
P

: .
: .
) (4

C X

P P

RU = 1

Ru : .
(3 ) (4 ):(P

)(5

RU P = P C X

(4 ) (5 ):(2

) Y = k ( P X ) ri + (RU P
X

Y = P k (1
) ri + (R U )
P

) (6

])

Y = P [k (1 ) ri + (R U

: .

27

 (5 ) (6 ) (E
.
Y
P
]) = ROE = [k (1 ) ri + (RU
E
E

) (7

]) ROE = [k (1 ) ri + (RU

:
: .

:
Multi- - Factor Model

(R m R f )2
(SMB )
(HML ) (inf lation )

B/M
inf
sqr
size
)(GDP rate ) (unemp. rate ) (loss ratio ) ..................(8

U
LR

GDP

ROE =

sqr

: )

(R m R f )2
size

: .

SMB
B/M

(.

: .

:
.

HML

: .

: inf .
inf lation

: .

28

GDP

: .

GDP rate

: .

: .
Unemp
unemp. rate

: .

: LR
.
loss ratio

: .

: ) ( :
) .(8) (7 :

(HML )

2
SMB

R m R f

B/M
sqr
size

GDP rate

inf lation
= k (1 )r + 1
GDP
i

inf

unemp . rate
loss ratio

LR
Unimp

GP = (1 + RU ) P
:
GP

: ) ( .

: ) ( .

:
(1 :
) (
:
(

29

:

(2 -


. . : :
) ( .
)
( .
.
(3
.
(4

.

30

 (5

.
(6 -
.
(7
) (
.
.
(8 -
:

.
(9

.
- -
) (.
) (
) ( -

31


.
Beta

.
.

32






) ( :
(1
.
(2
.
(3 .
:
: .
: .
: .
: .

33




:
(1 .
(2 .

: :
):(1
(1 .
(2 .
(3 :
.
:
(1 .Explanatory Models
(2 .Times Series Models
:
) (
.
).(2

Makridakis, Spyros, and et al, (1998) Forecasting: Methods and Applications ,

3rd Edition, John Wiley &Sons, P. 9
Makridakis, Spyros, and et al, (1998), Op. Cit., pp.10-11.

34

 ):(1
:
.
: -
. :
.

: :

.

-
).(2

.
.

:
(1 :No - Trend Forecasting Models :
:
: ) Single Forecast Models :(3
-:
Makridakis, Spyros, and et al, (1998) , Op. Cit., P.11.

Makridakis, Spyros, and et al, (1998), Op. Cit., P.12.

2
3

Farnum, Nicholas R., and LaVerne W. Stanton, (1989), Quantitative Forecasting

Methods, PWS-KENT, p.92.

35

)(

.Sample Mean Model

)( .Sample Median Model

)( .Sample Midrange Model

Outliers
.

)(1

Updating Forecasting Models

:
)(

One Step Ahead Forecasting Models

) (
.
)( .Moving Average Models
)( .Weighted Moving Average

)(2

Exponential Smoothing Methods :

Farnum, Nicholas R., and LaVerne W. Stanton, (1989), Op. Cit.,, p.145 - 147.

Makridakis, Spyros, and et al, (1998) , Op. Cit., P.12.

36


.
:
)( :Single Exponential Smoothing :
:

) 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

 Response Rate Single Exponential Smoothing

Adaptive

) (
. ) (
.


.ARIMA
: :

)Autoregressive Integrated Moving Average Models (ARIMA

Box Jenkins
Time Series analysis: Forecasting & Control .1970
).(2
):(Box-Jenkins
:

Model Specification

: ) AR(P
) MA(q ).(3)(ARIMA
:
Makridakis, Spyros, and et al, (1998) , Op. Cit., PP.174-175.

Rasha M. El-Souda "Time Series Identification, Unpublished Masters Thesis,

Faculty Of Economics and Political Sciences, Cairo University, 2000, PP. 18:19.
Ibid, P.1.

38

)( Pure Autoregressive Model

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

.Estimated Error Variance

.
: Bayesian Approach

) (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

Model (Diagnostic) Checking :

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

Bovas Abraham & Johannes Ledolter., Op. Cit., pp 250-258.

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

Patricia E. Granger & Ricky C. K. Introduction to Time- Series Modeling

&Forecasting In Business and Economics McGraw Hill Book Co. N.Y.1994
PP:458-460.

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:

))y = a * exp (-exp (b cx

))Logistic Model: y = a / (1 + exp (b cx

44

)1
)2
)3
)4
)5

)6) Richards Model: y = a / (1 + exp (b - cx))^(1/d

)7) MMF Model: y = (ab + cx^d)/(b + x^d
)8) Weibull Model: y = a - b*exp(-cx^d
"S-shaped
" growth .

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

Forecasting Accuracy Measurements

):(1
Farnum, Nicholas R., and LaVerne W. Stanton, (1989), Op. Cit.,, pp. 43 49.

48

 (1 )Mean Error (ME

n

1
=
n

t =1

ME

where
et = Yt Ft
:

ME

: .

: .

: ).(t

: ).(t

Ft

: ).(t

(2

)Mean Absolute Error (MEA

n

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

Saturation GrowthRate Model

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

*52.04* 50.49* 47.19* 41.36* 32.54* 18.98

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

4th Degree Polynomial

Function

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

3rd Degree Polynomial

Function

* ) ( .%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

3rd Degree Polynomial

Function

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

cons tan t = 1.4823

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

Beta .(1) 0.598

Insurance - CAPM Model
0.6
0.4
0.2
0
13

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

Insurance - TTR Model

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

) ME MSE MPE MAPE U

(Theil
) ( ) (1 ) (2:

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

CAPM .Insurance APT

75



:-:
(1 ] [

.
:
: :
.
(2
:
.

76

 (3
:
(1 - .
.
(2
Arbitrage Opportunities
.
(3 -
-

. .
(4
] insurance - CAPM
[ Insurance APT ]
DCF [ TRR
.INSURANCE OPT
(5

.

77

 (6
:
-
.
-

.
(7
:
o
o
o
o
o
o
o ) (
:
o
o

o ) (
o

:-:

78


) ( .

.
: :
:
(1 .
(2 .

79


: :
" :(2002)

.1

. "
:( " 1989) ( )

.2

. " SPSS/PC+
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.3

.
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