Measuring insurers’ investment risk taking with asymmetric tail dependencies-Reference-Cited by-同舟云学术

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Measuring insurers’ investment risk taking with asymmetric tail dependencies

Published:2017-01-30 Issue:1 Volume:19 Page:1-31
ISSN:1460-3799
Container-title:Risk Management
language:en
Short-container-title:Risk Manag

Author:

Lai Gene C.,Lu Erin P.,Li Haijun,Chen Dennis C.

Publisher

Springer Science and Business Media LLC

Subject

Strategy and Management,Economics and Econometrics,Finance,Business and International Management

Link

http://link.springer.com/content/pdf/10.1057/s41283-016-0010-8.pdf

Reference22 articles.

1. Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath. 1997. Thinking Coherently. Risk 10: 68–71.

2. Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath. 1999. Coherent Measures of Risk. Mathematical Finance 9: 203–228.

3. Bank for International Settlements (BIS). 2005. Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework. Basel, Switzerland: BIS.

4. Cantor, R., and F. Packer. 1996. Discretion in Response to Split Ratings: The Case of NAIC. Journal of Insurance Regulation 15 (Winter): 234–255.

5. Castillo, E. 2005. Extreme Value and Related Models with Applications in Engineering and Science. Hoboken, NJ: Wiley.

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