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Estimating the volatility of non-life premium risk under Solvency II : discussion of Danish fire insurance data
Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks : open access journal 8 (2020) 3/74, pp. 1-19
We studied the volatility assumption of non-life premium risk under the Solvency II Standard Formula and developed an empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared to the present literature, this paper innovates the...
Persistent link: https://www.econbiz.de/10012293140
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Asset pricing with disagreement and uncertainty about the length of business cycles
Andrei, Daniel; Carlin, Bruce Ian; Hasler, Michael - In: Management science : journal of the Institute for … 65 (2019) 6, pp. 2900-2923
Persistent link: https://www.econbiz.de/10012039878
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A general equilibrium model of portfolio insurance
Başak, Suleyman - 1994
Persistent link: https://www.econbiz.de/10000887985
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Asymmetric volatility and risk in equity markets
Bekaert, Geert; Wu, Guojun - 1997
Persistent link: https://www.econbiz.de/10000627885
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What's vol got to do with it
Drechsler, Itamar (contributor); Yaron, Amir (contributor) - 2008 - Current draft: May 2008
Persistent link: https://www.econbiz.de/10003727636
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Can time-varying risk of rare disasters explain aggregate stock market volatility
Wachter, Jessica - 2008
Persistent link: https://www.econbiz.de/10003763502
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Can time-varying risk of rare disasters explain aggregate stock market volatility?
Wachter, Jessica (contributor) - 2008 - Current draft: September 24, 2008
Persistent link: https://www.econbiz.de/10003783866
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What's vol got to do with it
Drechsler, Itamar; Yaron, Amir - 2010 - Current draft: December 2009
Persistent link: https://www.econbiz.de/10003971762
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The informational quality of implied volatility and the volatility risk premium
Ferris, Stephen P.; Kim, Woojin; Park, Kwangwoo - In: Applied economics letters 17 (2010) 4/6, pp. 445-450
Persistent link: https://www.econbiz.de/10003979931
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Stock returns and noise trading : domestic and international evidence
Verma, Rahul - 2004
Persistent link: https://www.econbiz.de/10003550254