An analysis of illiquidity in commodity markets
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.22007
Abstract: We examine the liquidity premium demanded by hedgers and the insurance premium demanded by speculators. Our results indicate that both hedgers and speculators demand a higher premium in illiquid commodities, to provide insurance and liquidity,… read more here.
Keywords: premium; markets analysis; insurance premium; illiquid commodities ... See more keywords
The Expected Utility Insurance Premium Principle with Fourth-Order Statistics: Does It Make a Difference?
Sign Up to like & getrecommendations! Published in 2020 at "Algorithms"
DOI: 10.3390/a13050116
Abstract: The expected utility principle is often used to compute the insurance premium through a second-order approximation of the expected value of the utility of losses. We investigate the impact of using a more accurate approximation… read more here.
Keywords: utility; insurance premium; expected utility; order ... See more keywords