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Persistent link: https://www.econbiz.de/10012113943
Since partial deregulation of insurance rates in 1995, the California workers' compensation insurance market has been … profits and the share of coverage written by private insurance carriers, and a substantial number of insurers, including some … insurance has been volatile since 1995 as well, continuing the considerable variation that occurred in earlier years. This book …
Persistent link: https://www.econbiz.de/10003908720
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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 fitting of Danish fire insurance data using a composite model with a … random threshold. Secondly we prove, by fitting the Danish fire insurance data, that for large insurance companies the …
Persistent link: https://www.econbiz.de/10012293140
One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In … stochastic interest rates to obtain the risk-free price for unit-linked life insurance contracts, as well as providing a perfect …
Persistent link: https://www.econbiz.de/10012293269
We use internet search volume data to measure idiosyncratic and market-wide crisis sentiment to explain insurer stock return volatility. We find that market-level crisis sentiment was a significant predictor of stock return volatility of U.S. insurers between 2006 and 2010. Higher levels of...
Persistent link: https://www.econbiz.de/10013006941
Interconnectedness among global systemically important banks (GSIBs) and global systemically important insurers (GSIIs) has important financial stability implications. This paper examines connectedness among United States, European and Asian GSIBs and GSIIs, using publicly-available daily equity...
Persistent link: https://www.econbiz.de/10012944965
The risky assets prices of the bi-variate model are reviewed under the hegemonize concentration filtered physical probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition is stringent to the...
Persistent link: https://www.econbiz.de/10012956358
This note explores machine learning based modelling approach over classical quantitative methods with a focus on modelling realized volatility of asset price over time. Initially, a few modelling assumptions of classical quantitative finance are examined using recent market data. Daily stock...
Persistent link: https://www.econbiz.de/10014238231