| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16035 |
| 来源ID | Working Paper 16035 |
| Rare Disasters and Risk Sharing with Heterogeneous Beliefs | |
| Hui Chen; Scott Joslin; Ngoc-Khanh Tran | |
| 发表日期 | 2010-05-27 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Although the threat of rare economic disasters can have large effect on asset prices, difficulty in inference regarding both their likelihood and severity provides the potential for disagreements among investors. Such disagreements lead investors to insure each other against the types of disasters each one fears the most. Due to the highly nonlinear relationship between consumption losses in a disaster and the risk premium, a small amount of risk sharing can significantly attenuate the effect that disaster risk has on the equity premium. We characterize the sensitivity of risk premium to wealth distribution analytically. Our model shows that time variation in the wealth distribution and the amount of disagreement across agents can both lead to significant variation in disaster risk premium. It also highlights the conditions under which disaster risk premium will be large, namely when disagreement across agents is small or when the wealth distribution is highly concentrated in agents fearful of disasters. Finally, the model predicts an inverse U-shaped relationship between the equity premium and the size of the disaster insurance market. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16035 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573710 |
| 推荐引用方式 GB/T 7714 | Hui Chen,Scott Joslin,Ngoc-Khanh Tran. Rare Disasters and Risk Sharing with Heterogeneous Beliefs. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16035.pdf（592KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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