Results 11 to 20 of about 11,077 (282)
The Correlation Risk Premium: International Evidence [PDF]
SSRN Electronic Journal, 2018 In this paper we carry out a cross-country analysis of the correlation risk premium. We examine the statistical properties of the implied and realized correlation in European equity markets and relate the resulting premium to US equity market correlation risk and a global correlation risk premium.
Kosowski, R, Goncalo, F, Wang, T
openaire +4 more sources
, 2016 Introduction: The portfolio theory states that an investor has to take into consideration expected return and variance to construct an optimal portfolio along the efficient frontier. The equity risk premium suggests that an investment’s expected return is related to the amount of risk it consists of.
Kugelberg, Erik
core +3 more sources
On a discrete-time risk model with claim correlated premiums [PDF]
Annals of Actuarial Science, 2015 AbstractThis paper proposes a discrete-time risk model that has a certain type of correlation between premiums and claim amounts. It is motivated by the well-known bonus-malus system (also known as the no claims discount) in the car insurance industry.
Wu, X, Chen, M, Guo, J, Jin, C
openaire +2 more sources
Dispersion Trading Based on the Explanatory Power of S&P 500 Stock Returns
Mathematics, 2020 This paper develops a dispersion trading strategy based on a statistical index subsetting procedure and applies it to the S&P 500 constituents from January 2000 to December 2017.
Lucas Schneider, Johannes Stübinger
doaj +1 more source
Option-Implied Dependence and Correlation Risk Premium
Journal of Financial and Quantitative Analysis, 2020 AbstractWe propose a novel model-free approach to obtain the joint risk-neutral distribution among several assets that is consistent with options on these assets and their weighted index. We implement this approach for the nine industry sectors comprising the S&P 500 index and find that their option-implied dependence is highly asymmetric and time ...
Oleg Bondarenko, Carole Bernard
openaire +2 more sources
The intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta [PDF]
تحقیقات مالی, 2015 The current paper examines intertemporal capital asset pricing model in Iran’s Stock Market. Dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. Time varying beta is estimated by Kalman
Hojjatollah Bagherzadeh +1 more
doaj +1 more source
Decomposition of Natural Catastrophe Risks: Insurability Using Parametric CAT Bonds
Risks, 2021 Nat Cat risks are not insurable by traditional insurance mainly because of producing highly correlated losses. The source of such correlation among buildings of a region subject to a natural hazard is discussed.
Morteza Tavanaie Marvi, Daniël Linders
doaj +1 more source
Do underwriting profit factors affect general insurance firms’ profitability in South Africa? [PDF]
Insurance Markets and Companies, 2023 This research paper examines the correlation between underwriting profit factors and the overall profitability of publicly traded general insurance companies operating in South Africa.
Thabiso Sthembiso Msomi
doaj +1 more source
The Effect of Financial Market Factors on House Prices: An Expected Utility Three-Asset Approach
Axioms, 2022 This study aimed to theoretically identify the impact factors of the financial market on house prices. Developed upon the two-asset model and with the consideration of risky financial assets, our three-asset model reveals a new derivation of house prices.
Yehui Wang +3 more
doaj +1 more source
Premium Calculation for Insurance Businesses Based on Cyber Risks in IP-Based Power Substations
IEEE Access, 2020 Insurance is a promising risk transfer tool against switching cyberattacks on power grids that can disrupt operation and potentially lead to widespread outages. This paper emphasizes on a framework of premium calculation for cyber insurance businesses by
Zhiyuan Yang +6 more
doaj +1 more source