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Insurance sector risk
Slijkerman, Jan Frederik - 2006
the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. …
Persistent link: https://www.econbiz.de/10011349192
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A comonotonic image of independence for additive risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004
This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...
Persistent link: https://www.econbiz.de/10011334834
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Insurance sector risk
Slijkerman, Jan Frederik - 2006
Persistent link: https://www.econbiz.de/10003354596
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Theory of dynamic portfolio choice for maximization of survival probability
Roy, Santanu - 1992
Persistent link: https://www.econbiz.de/10000122474
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Strategic vertical foreign investment under exchange rate uncertainty
Roy, Santanu; Viaene, Jean-Marie - 1996
Persistent link: https://www.econbiz.de/10000959250
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A real options perspective on R&D portfolio diversification
Bekkum, Sjoerd van; Pennings, Enrico; Smit, Han T. J. - 2008
Persistent link: https://www.econbiz.de/10003645082
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The impact of uncertainty on investment : a meta-analysis
Koetse, Marc J.; Groot, Henri L. F. de; Florax, Raymond … - 2006
Persistent link: https://www.econbiz.de/10003354593
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Retirement flexibility and portfolio choice in general equilibrium
Adema, Yvonne; Bonenkamp, Jan; Meijdam, Lex - 2011
Persistent link: https://www.econbiz.de/10008907844
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Dynamic correlation or tail dependence hedging for portfolio selection
Elkamhi, Redouane; Stefanova, Denitsa - 2011
Persistent link: https://www.econbiz.de/10008907847
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Modeling portfolio defaults using hidden Markov models with covariates
Banachewicz, Konrad; Vaart, Aad W. van der; Lucas, André - 2006
Persistent link: https://www.econbiz.de/10003392203