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Risk- and value-based management for non-life insurers under solvency constraints
Eckert, Johanna; Gatzert, Nadine - In: European journal of operational research : EJOR 266 (2018) 2, pp. 761-774
Persistent link: https://www.econbiz.de/10011811930
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Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory
Kellner, Ralf; Gatzert, Nadine - In: Journal of banking & finance 37 (2013) 11, pp. 4353-4367
Persistent link: https://www.econbiz.de/10010247034
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The impact of counterparty risk on the basis risk of industry loss warranties and on (collateralized) reinsurance under (non-)linear dependence structures
Bockius, Heike; Gatzert, Nadine - In: The journal of risk finance : JRF 23 (2022) 3, pp. 245-263
Persistent link: https://www.econbiz.de/10013370544