Results 41 to 50 of about 29,424 (169)
Market valuation in the framework of modern life insurance mathematics
Ekonomski Vjesnik, 2013 In the traditional actuarial life insurance mathematics, liabilities to beneficiaries (technical reserves) are calculated based on conservative assumptions of mortality and interest rates. However, this approach was found to be incomplete since it does
Maja Petrač
doaj
Сучасні аспекти актуарної математики [PDF]
, 2012 В роботі аналізується сучасний стан актуарної математики як науки. Автори намагаються спираючись на виклики посткризової економіки і професійні вимоги до актуаріїв сформулювати основні принципи, підходи до відбору моделей, які треба будувати ...
Dzhalladova, Irada +3 more
core +1 more source
Closed‐Form Optimal Investment Under Generalized GARCH Models
European Financial Management, EarlyView.ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel +2 more
wiley +1 more source
A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model
Journal of Probability and Statistics, 2022 Knowledge of the dependence between random variables is necessary in the area of risk assessment and evaluation. Some of the existing Archimedean copulas, namely the Clayton and the Gumbel copulas, allow for higher correlations on the extreme left and ...
M. A. Boateng +3 more
doaj +1 more source
Kerangka konsep penubuhan Jabatan Aktuari Negara di Malaysia [A conceptual framework for the establishment of a Government Actuary?s Department in Malaysia] [PDF]
, 2015 The profession of an actuary is very important towards the society. Actuaries and actuarial scientists employ their skills of mathematics and statistics to measure the financial implication of future events by consideration the risk factors.
Hasim, H
core
Life Cycle Consumption and Portfolio Choice Under Real Interest Rate Risk
Financial Management, EarlyView.ABSTRACT We set up a life cycle model with real interest rate risk to demonstrate that real interest rates have implications for optimal household consumption and investments. Lower interest rates lead to higher optimal stock investments and lower consumption.
Marcel Fischer, Natascha Jankowski
wiley +1 more source
A Conversation With David Bellhouse
International Statistical Review, EarlyView.Summary David Richard Bellhouse was born in Winnipeg, Manitoba, on 19 July 1948. He studied actuarial mathematics and statistics at the University of Manitoba (BA, 1970; MA, 1972) and completed his PhD at the University of Waterloo, Ontario, in 1975. After being an Assistant Professor for 1 year at his alma mater, he joined the University of Western ...
Christian Genest
wiley +1 more source
The Log-Asset Dynamic with Euler–Maruyama Scheme under Wishart Processes
International Journal of Mathematics and Mathematical Sciences, 2021 This article deals with Wishart process which is defined as matrix generalization of a squared Bessel process. We consider a single risky asset pricing model whose volatility is described by Wishart affine diffusion processes.
Raphael Naryongo +2 more
doaj +1 more source
Financial Time Series Uncertainty: A Review of Probabilistic AI Applications
Journal of Economic Surveys, EarlyView.ABSTRACT Probabilistic machine learning models offer a distinct advantage over traditional deterministic approaches by quantifying both epistemic uncertainty (stemming from limited data or model knowledge) and aleatoric uncertainty (due to inherent randomness in the data), along with full distributional forecasts.
Sivert Eggen +4 more
wiley +1 more source
Modelización financiero-actuarial de un seguro de dependencia = Long Term Care Insurance Actuarial Model [PDF]
Revista de Métodos Cuantitativos para la Economía y la Empresa, 2008 España ha seguido la tendencia de otros países en cuanto a la cobertura de las personas dependientes, es decir, aquellas que necesitan ayuda para realizar las tareas básicas de la vida diaria, y lo ha hecho mediante la aprobación de la Ley de Promoción ...
Herranz Peinado, Patricia +2 more
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