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Global loss diversification in the insurance sector

Sheremet, Oleg; Lucas, André - 2008

We study the possibility for international diversification of catastrophe risk by the insurance sector. Adopting the … time, thus reducing the scope for international diversification of large losses in this sector. …

Persistent link: https://www.econbiz.de/10011377065

Risk diversification by European financial conglomerates

Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - 2005

diversification within large banks and financial conglomerates. We discuss the limited value of the normal distribution based … of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates …

Persistent link: https://www.econbiz.de/10011346454

The downside risk of heavy tails induces low diversification

Hyung, Namwon; Vries, Casper G. de - 2010

diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about …

Persistent link: https://www.econbiz.de/10011381335

Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10011381581

Aggregating credit and market risk : the impact of model specification

Lucas, André; Verhoef, Bastiaan - 2012

Persistent link: https://www.econbiz.de/10010191011

Risk diversification by European financial conglomerates

Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - 2005

Persistent link: https://www.econbiz.de/10003233496

Portfolio diversification effects of downside risk

Hyung, Namwon; Vries, Casper G. de - 2004 - Rev.

the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat …

Persistent link: https://www.econbiz.de/10011343318