In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are fully explored in Chapter II through IV. Chapter V summarizes the main conclusions. In Chapter II, I explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. I estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model with fat tails can, without resorting to high risk aversion, generate implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. In Chapter III, I examine the pricing performance of VIX option models. The contention that simpler-is-better is supported by the empirical evidence using actual VIX option market data. I find that no model has small pricing errors over the entire range of strike prices and times to expiration. In general, Whaley’s Black-like option model produces the best overall results, supporting the simpler-is-better contention. However, the Whaley model does under/overprice out-of-the-money call/put VIX options, which is contrary to the behavior of stock index option pricing models. In Chapter IV, I explore risk pricing through a model of time-changed Lévy processes based on the joint evidence from individual stock options and underlying stocks. I specify a pricing kernel that prices idiosyncratic and systematic risks. This approach to examining risk premia on stocks deviates from existing studies. The empirical results show that the market pays positive premia for idiosyncratic and market jump-diffusion risk, and idiosyncratic volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The positive premium on idiosyncratic risk runs contrary to the implications of traditional capital asset pricing theory.

Diploma thesis on Flexible life insurance should refer to life insurance products currently offered on the Czech financial market. People have a choice of several types of life insurance and for the layman it is difficult to make sense terms associated with insurance and also the names of individual insurance. The publication of which is drawn in this work, indicate what life insurance products exists, however, in practice, these products are often combined and modified. Thesis shows the products offered in the Czech Republic and focuses on the calculation of premium for the insured groups. Amount of premium is influenced by several parameters that insurers, before insurance contract must take into a consideration. Effect on insurance premiums is not only age and insurance period, but also if insured person is a smoker, if he does some sports or if his job belongs to the risky job. Calculations performed in thesis focus on finding correlation between the amount of insurance and individual factors. There were used methods of correlation and regression and analysis of variance. It was found that the impact on premium has age and insurance period, then health and class of risk. Currently factor sex has not and influence on premium.

The main goal of my disertation work was to analyze the development of the Czech insurance market from 2000 until 2011 and create a forecast until the year 2015 at this market. In the first part of my work I will focus on demarcation of the commercial insurance, I will mention few interesting information about history of the Czech insurance market and its regulation. We will also describe important indicators of the insurance market. In the second section of my work we will analyze the branch of the life and non-life insurance in the Czech Republic from 2000 to 2011. In the third part we will create the concrete forecast of the Czech insurance market until the year 2015 using analysis of time series of written premium and GDP.

The aim of the diploma thesis is the problem of Unit Linked Insurance. The main issue is the dynamic development of this institute, specifically the development of this insurance from the beginning of present Global financial crisis until now.

The main topic of my master thesis is the economy of facultative reinsurance from the point of view of a reinsurance company. First, the thesis briefly deals with the general structure of reinsurance and then is focused only on the facultative part. The thesis puts emphasis on the specific characteristics of facultative reinsurance and the creation of reinsurance slip and then uses this knowledge in a case study. The case study shows the risk from the insurance company and reinsurance company side and its aim is to create proper reinsurance structure for a power plant in Bulgaria. The thesis finishes with a chapter about the development of several reinsurance companies in the market.

[pt] O objetivo deste trabalho é realizar uma comparação entre os prêmios de referência da BMEFBovespa e os modelos de Garman Kohlhagen, Corrado-Su Modificado, Difusão com Saltos de Merton, Black e o modelo de Black adaptado para assimetria e curtose para o apreçamento de opções de dólar e sobre futuro de Ibovespa. Para isso, foram definidos cenários de análise e comparados os resultados com os prêmios de referência calculados pela BMEFBovespa no período janeiro de 2006 a setembro de 2011. Os resultados obtidos mostram que, em grande parte dos casos, os prêmios de referência calculados pela Bolsa são superestimados, além de revelar que os valores calculados pelos três modelos para as opções de compra e de venda de dólar e de futuro de Ibovespa encontram-se muito próximos. / [en] This paper proposes a comparison between option reference premiums supplied by BMEF Bovespa and those obtained by the following models: Garman Kohlhagen, modified Corrado-Su, Merton s jump diffusion model, Black and an alternative version of the model, adapted for asymmetry and kurtosis. The underlying assets are futures contracts for Reais/Dolars exchange rate and Ibovespa futures contracts. Base scenarios were created and the results were compared between the models for the January 2006 – September 2011 period. The results show that the majority of the premiums calculated by BMEF Bovespa are overestimated when compared to the proposed models. Furthermore, the results obtained by this models are very similar to one another.

The aim of my Masters thesis is propose the insurance portfolio for legal entity - the Brno based company Úklidový servis ŠKAROUPKA s.r.o. The thesis contains risk analysis and also concept of insurance portfolio that aims to minimaze risks that could limit the company running by the way of insurance product.

Diplomová práca sa zameriava na plán marketingovej komunikácie vybranej spoločnosti. Špecifikuje marketing, marketingovú komunikáciu a analytické nástroje marketingového výskumu. Práca obsahuje odporúčania na zlepšenie komunikačného mixu v oblasti cestovného ruchu.

Thesis advisor: Jeffrey J.P. Pontiff / My dissertation includes three chapters on the value premium. In the first chapter, I study whether seemingly innocuous decisions in the construction of the original HML portfolio (Fama and French, 1993) affect our inference on the value premium. I find that the value premium is dramatically smaller than we thought. In sample, the average estimate of the value premium is 0.09% per month smaller than the original estimate of the value premium. Out of sample, however, the difference is statistically insignificant. The results suggest that the original value premium estimate is upward biased because of a chance result in the original research decisions. In the second chapter, I propose an estimate for intangible assets and growth opportunities and examine if this estimate improves book-to-market equity as a measure of value. I find that portfolios sorted on book equity plus the estimate to market equity have lower returns than portfolios sorted on book-to-market equity. The results suggest that intangible assets and growth opportunities diminish book-to-market equity as a measure of value because investors value intangible assets and growth opportunities in an overly optimistic way. In my third chapter, I simultaneously study nine explanations of the value effect to better understand what the dominant value explanation is. I find that duration accounts for most of the value effect and that the eight other explanations account for a negligible part of it. The results suggest that duration is the dominant explanation of the value effect. / Thesis (PhD) — Boston College, 2021. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

Green bonds present a promising tool enabling investors in fixed-income mar- kets to finance environmental projects. Yet, the pricing of green bonds with respect to conventional bonds remains an open question. This thesis in- vestigates the existence of a yield differential between green and equivalent conventional bonds in the secondary market. By matching green bonds with synthetic conventional bonds and performing a fixed effects panel regression of the yield spread, we find evidence of a small negative premium associ- ated with green bonds ("green premium"): as a result of high demand from value-seeking investors, the yield of green bonds is on average 1.12 basis points lower than that of their conventional counterparts. The variation in the magnitude of the green premium with bond characteristics is further examined through a cross-sectional regression. We show that external ver- ification of the bond's green credentials and assurance on its post-issuance allocation report significantly increase the estimated green premium. Finally, the green bond's yield seems to decrease in case proceeds are used to finance new projects, while refinancing existing projects results in an increase in the bond's yield. Our findings provide valuable insights into the field of green bond pricing. While the...