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Integrated risk management when the stock price follows an exponential Lévy process
Kostadinova, Radostina Ilieva (contributor) - 2006
Persistent link: https://www.econbiz.de/10003358510
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Asset pricing of financial institutions : the cross-section of expected stock returns in the property/liability insurance industry
Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - 2015
We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data … the returns of property/liability insurance stocks in a satisfactory way. We adapt the model proposed by Adrian, Friedman …, and Muir (2015) for financial institutions and define an insurance-specific five-factor asset pricing model (INS5), which …
Persistent link: https://www.econbiz.de/10011345060
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The response of bond prices to insurer ratings changes
Miao, Hong; Ramchander, Sanjay; Wang, Tianyang - In: The Geneva papers on risk and insurance - issues and … 39 (2014) 2, pp. 389-413
Persistent link: https://www.econbiz.de/10010354082
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Government insurance, information, and asset prices
Wegner, Danilo Lopomo Beteto - In: International review of economics & finance : IREF 37 (2015), pp. 165-183
Persistent link: https://www.econbiz.de/10011542054
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Non-life insurance-linked securities : risk and pricing analysis
Nowak, Thomas - 2014 - 1. Aufl.
Persistent link: https://www.econbiz.de/10010414473
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Approximation of optimal reinsurance and dividend payout policies
Bäuerle, Nicole - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 99-113
Persistent link: https://www.econbiz.de/10001917772
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Eignung des Shareholder-Value-Ansatzes zur Performancemessung und internen Steuerung von Lebensversicherungs-Aktiengesellschaften?
Weidenfeld, Gerd - In: Festschrift für Dieter Farny : zur Vollendung seines …, (pp. 161-173). 1994
Persistent link: https://www.econbiz.de/10001285176
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The dependence and dynamic correlation between Islamic and conventional insurances and stock market : a multivariate short memory approach
El Ansari, Rym Charef; El Abed, Riadh - In: Theoretical and applied economics : GAER review 27 (2020) 3/624, pp. 213-222
Persistent link: https://www.econbiz.de/10012671926
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A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance
Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Risks : open access journal 7 (2019) 4/103, pp. 1-18
second moments of this jump-diffusion process are used to calculate the insurance premium based on mean-variance principle …
Persistent link: https://www.econbiz.de/10012128012
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The cross-section of expected stock returns in the property/liability insurance industry
Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - In: Journal of banking & finance 96 (2018), pp. 292-321
Persistent link: https://www.econbiz.de/10011967228