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Regional well-being in Romania : assessment after a decade of EU accession

Lazar, Dorina; Litan, Cristian Marius - In: International journal of social economics 49 (2022) 7, pp. 1009-1028

Persistent link: https://www.econbiz.de/10013352991

Martingale difference hypothesis and financial crisis : empirical evidence from European emerging foreign exchange markets

Lazar, Dorina; Todea, Alexandru; Filip, Dian - In: Economic systems 36 (2012) 3, pp. 338-350

Persistent link: https://www.econbiz.de/10010051067

Global Crisis and Relative Efficiency: Empirical Evidence from Central and Eastern European Stock Markets

Todea, Alexandru; Lazar, Dorina - In: The Review of Finance and Banking 04 (2012) 1, pp. 045-053

This study investigates the effects of the Global crisis on the relative efficiency of ten Central and Eastern European emerging stock markets, using the Generalized Spectral test of Escanciano and Velasco (2006) in a rolling window approach. This test is robust to the distributional...

Persistent link: https://www.econbiz.de/10010615488

The Solvency II square-root formula for systematic biometric risk

Christiansen, Marcus C.; Denuit, Michel M.; Lazar, Dorina - In: Insurance: Mathematics and Economics 50 (2012) 2, pp. 257-265

In this paper, we develop a model supporting the so-called square-root formula used in Solvency II to aggregate the modular life SCR. Describing the insurance policy by a Markov jump process, we can obtain expressions similar to the square-root formula in Solvency II by means of limited...

Persistent link: https://www.econbiz.de/10010572728

Multivariate Analysis of Premium Dynamics in P&L Insurance

Lazar, Dorina; Denuit, Michel M. - In: Journal of Risk & Insurance 79 (2012) 2, pp. 431-448

Persistent link: https://www.econbiz.de/10010567733

Reply to Edward Furman, Yisub Kye, and Jianxi Su on their discussion on the paper titled "size-biased risk measures of compound sums"

Denuit, Michel - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 4, pp. 637-638

Persistent link: https://www.econbiz.de/10013167031

Reply to Jiandong Ren on their discussion on the paper titled "size-biased risk measures of compound sums"

Denuit, Michel - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 4, pp. 643-643

Persistent link: https://www.econbiz.de/10013167033

Size-biased risk measures of compound sums

Denuit, Michel - In: North American actuarial journal : NAAJ ; leading the … 24 (2020) 4, pp. 512-532

Persistent link: https://www.econbiz.de/10012387651

Wishart‐gamma random effects models with applications to nonlife insurance

Denuit, Michel; Lu, Yang - In: Journal of Risk and Insurance 88 (2020) 2, pp. 443-481

Persistent link: https://www.econbiz.de/10012409980

Risk measurement with equivalent utility principles

Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; … - In: Statistics & Risk Modeling 24 (2006) 1, pp. 1-25

SUMMARY Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures should satisfy have recently received considerable attention in the financial...

Persistent link: https://www.econbiz.de/10014621319