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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

QIS correlation matrix is highly questionable. …

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

A combined overdispersed and marginalized multilevel model

Iddi, Samuel; Molenberghs, Geert - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1944-1951

Overdispersion and correlation are two features often encountered when modeling non-Gaussian dependent data, usually as … comfort of marginally meaningful parameters and the ease of allowing for overdispersion and correlation. Apart from model …

Persistent link: https://www.econbiz.de/10010574444

Relationship between portfolio diversification and value at risk: Empirical evidence

Kiani, Khurshid M. - In: Emerging Markets Review 12 (2011) 4, pp. 443-459

This research explores the risk associated with the stocks prices in the seventeen selected companies that are listed in Indian BSE (100) National as well as portfolios of investment that are constructed from these seventeen companies employed. Additionally, for considering the possibility of...

Persistent link: https://www.econbiz.de/10010574577

A risk-based model for the valuation of pension insurance

Chen, An - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 401-409

investment portfolio of the pension fund and of the sponsoring company as well as the correlation between these two portfolios. …

Persistent link: https://www.econbiz.de/10010576739

Optimal paths in dynamic networks with dependent random link travel times

Huang, He; Gao, Song - In: Transportation Research Part B: Methodological 46 (2012) 5, pp. 579-598

path finding in a stochastic network, and that the impact is closely related to the levels of correlation and risk attitude. …

Persistent link: https://www.econbiz.de/10010577906

Correlation and relative performance evaluation

Fleckinger, Pierre - In: Journal of Economic Theory 147 (2012) 1, pp. 93-117

that greater correlation in outcomes calls for more competition is not robust. First, when the dependence structure is …, under limited liability, higher equilibrium correlation tends to make joint performance evaluation more desirable. Examples …

Persistent link: https://www.econbiz.de/10010582589

Correlation Analysis on Bucharest Stock Exchange

Tudor, Cristiana - In: Romanian Economic Journal 9 (2006) 19, pp. 11-19

Bazandu-se pe conceptele de baza ale Teoriei Moderne a Portofoliului elaborate de Markowitz, articolul de fata analizeaza corelatia care exista intre preturile actiunilor a patru companii apartinand unor sectoare diferite ale economiei, toate patru listate la BVB, pentru a afla daca exista...

Persistent link: https://www.econbiz.de/10010584109

The impact of the global financial crisis on firm-level risk of the S&P 500

Loviscek, Anthony; Riley, Elven - In: Managerial Finance 39 (2013), pp. 641-652

average correlation coefficient between S&P 500 firms rose during the crisis from 0.20 to 0.35, an increase of 75 percent … during major crises can be hard to achieve because the average correlation coefficient between stock returns may rise …

Persistent link: https://www.econbiz.de/10010709761

Volatility-constrained correlation identifies the directionality of the influence between Japan’s Nikkei 225 and other financial markets

Ochiai, Tomoshiro; Nacher, Jose C. - In: Physica A: Statistical Mechanics and its Applications 393 (2014) C, pp. 364-375

assets in order to identify the origin of market instabilities. Here, we analyze the correlation between Japan’s Nikkei stock … average index (Nikkei 225) and other financial markets by introducing a volatility-constrained correlation metric. The … unveil the directionality of the correlation effect, which could not be observed from the standard correlation analysis …

Persistent link: https://www.econbiz.de/10010709968

The Correlation between the Learning Process within the Organization and its Performance

Tiberius, Epure Dãnuþ; Cristina, Lazãr; Dorinela, Nancu - In: Ovidius University Annals, Economic Sciences Series XII (2012) 3, pp. 29-29

regarding the correlation between the main features of the knowledge based organization and the organizational performance. This … paper will present the results of the validation of one of the five hypotheses examined: " Is there a positive correlation …

Persistent link: https://www.econbiz.de/10010711174