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Contagion modeling between the financial and insurance markets with time changed processes
This study analyzes the impact of contagion between financial and non-life insurance markets on the asset–liability management policy of an insurance company. The indirect dependence between these markets is modeled by assuming that the assets return and non-life insurance claims are led respectivel...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Elsevier B.V.
2017
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7114210/ https://www.ncbi.nlm.nih.gov/pubmed/32287560 http://dx.doi.org/10.1016/j.insmatheco.2017.02.011 |