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  • Search: subject:"Common shock"
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Year of publication
Subject
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Schock 20 Shock 20 Theorie 15 Theory 15 Common shock 14 Stochastic process 10 Stochastischer Prozess 10 Portfolio selection 7 Portfolio-Management 7 Reinsurance 7 Rückversicherung 7 common shock 7 HJB equation 5 Risiko 5 Risikomodell 5 Risk 5 Risk model 5 Common shock model 3 Credit risk 3 Hamilton-Jacobi-Bellman equation 3 Investment 3 Kreditrisiko 3 Loss 3 Verlust 3 optimal investment 3 Capital income 2 Common shock dependence 2 Dependence 2 Estimation theory 2 Excess-of-loss reinsurance 2 Financial market 2 Finanzmarkt 2 Insolvency 2 Insolvenz 2 Kapitaleinkommen 2 Markov chain 2 Martingale central limit theorem 2 Multivariate Analyse 2 Multivariate Tweedie distribution 2 Multivariate analysis 2
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Online availability
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Undetermined 21 Free 6 CC license 1
Type of publication
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Article 28 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 22 Aufsatz in Zeitschrift 22 Article 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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Language
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English 27 Undetermined 5
Author
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Taylor, Greg 5 Avanzi, Benjamin 4 Liang, Zhibin 4 Vu, Phuong Anh 4 Wong, Bernard 4 Bi, Junna 3 Yuen, Kam Chuen 3 Anelli, Michele 2 Bai, Lihua 2 Cai, Jun 2 Cipra, Tomáš 2 Hendrych, Radek 2 Khovansky, Serguey 2 Patanè, Michele 2 Sun, Zhongyang 2 Tian, Yingxu 2 Zedda, Stefano 2 Zhang, Caibin 2 Zhou, Ming 2 Zhylyevskyy, Oleksandr 2 Albrecher, Hansjörg 1 Badescu, Andrei L. 1 Bag, Parimal Kanti 1 Ceci, Claudia 1 Cha, Ji Hwan 1 Cheng, Xiang 1 Cheung, Eric C. K. 1 Cheung, Eric C.K. 1 Colaneri, Katia 1 Cretarola, Alessandra 1 Gong, Lan 1 Hu, Xiang 1 Huang, Ya 1 Huang, Ying 1 Jin, Zhuo 1 Lee, Hyunju 1 Li, Jingchao 1 Li, Man 1 Liang, Xue 1 Liu, Haibo 1
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Institution
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Department of Economics, Iowa State University 1 HAL 1
Published in...
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Insurance 7 Insurance: Mathematics and Economics 3 Annals of actuarial science 2 Journal of Risk and Financial Management 2 Journal of risk and financial management : JRFM 2 Mathematical methods of operations research 2 Annals of Finance 1 Astin bulletin : the journal of the International Actuarial Association 1 European journal of operational research : EJOR 1 Finance a úvěr 1 International journal of financial engineering 1 Journal of economic behavior & organization : JEBO 1 Journal of economic studies 1 Mathematics and financial economics 1 Post-Print / HAL 1 Risk management : a journal of risk, crisis and disaster 1 Scandinavian actuarial journal 1 Staff General Research Papers / Department of Economics, Iowa State University 1 Working papers / Harvard Business School, Division of Research 1
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Source
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ECONIS (ZBW) 23 RePEc 6 EconStor 3
Showing 1 - 10 of 32
Did you mean: subject:"Common stock" (1,921 results)
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Expected cross-sectional stock return idiosyncratic volatility and stock delistings
Khovansky, Serguey; Zhylyevskyy, Oleksandr - In: Journal of economic studies 52 (2025) 7, pp. 1321-1337
Persistent link: https://www.econbiz.de/10015460541
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Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks
Yao, Jing (contributor); Hu, Xiang (contributor);  … - 2024
Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...
Persistent link: https://www.econbiz.de/10015325017
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Are banks still a risk source for stock market? : Some empirical evidences
Anelli, Michele; Patanè, Michele; Zedda, Stefano - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-13
The global financial crisis of 2008 proved that what initially appeared to be relatively small losses in the financial system can be magnified to systemic ones. The European Union debt crisis has thus revived interest in the interdependence across different markets, especially sovereign debt...
Persistent link: https://www.econbiz.de/10013370490
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Are banks still a risk source for stock market? Some empirical evidences
Anelli, Michele; Patanè, Michele; Zedda, Stefano - In: Journal of Risk and Financial Management 15 (2022) 7, pp. 1-13
The global financial crisis of 2008 proved that what initially appeared to be relatively small losses in the financial system can be magnified to systemic ones. The European Union debt crisis has thus revived interest in the interdependence across different markets, especially sovereign debt...
Persistent link: https://www.econbiz.de/10014332511
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Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
Li, Man; Huang, Ying; Huang, Ya; Zhou, Jieming - In: Mathematics and financial economics 18 (2024) 1, pp. 49-94
Persistent link: https://www.econbiz.de/10015045572
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Auto-balanced common shock claim models
Taylor, Greg; Vu, Phuong Anh - In: Annals of actuarial science 17 (2023) 3, pp. 580-605
Persistent link: https://www.econbiz.de/10014436790
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A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; … - In: Insurance 103 (2022), pp. 96-118
Persistent link: https://www.econbiz.de/10013198330
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Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance 105 (2022), pp. 252-278
Persistent link: https://www.econbiz.de/10013349033
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Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
Tian, Yingxu; Sun, Zhongyang - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-12
processes are correlated by a common shock. A general mean-variance optimization problem is investigated, that is, besides the …
Persistent link: https://www.econbiz.de/10011857001
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Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
Tian, Yingxu; Sun, Zhongyang - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-12
processes are correlated by a common shock. A general mean-variance optimization problem is investigated, that is, besides the …
Persistent link: https://www.econbiz.de/10012611013
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