The influence of non-linear dependencies on the basis risk of industry loss warranties
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kellner, Ralf & Gatzert, Nadine, 2013. "Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4353-4367.
- Gatzert, Nadine & Kosub, Thomas, 2016. "Risks and risk management of renewable energy projects: The case of onshore and offshore wind parks," Renewable and Sustainable Energy Reviews, Elsevier, vol. 60(C), pages 982-998.
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KeywordsIndex-linked catastrophic loss instruments Solvency capital requirements Copulas Non-life insurer;
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