Results 141 to 150 of about 87,896 (215)

Registered index‐linked annuities in qualified retirement plans

open access: yesJournal of Risk and Insurance, EarlyView.
Abstract Many Americans remain financially underprepared for retirement. While automatic enrollment in employer‐sponsored retirement plans has helped, target‐date funds (TDFs) used as default investments have limitations. We propose target‐date registered index‐linked annuities (TD‐RILAs) as a transparent, cost‐effective alternative providing ...
Cameron Ellis   +2 more
wiley   +1 more source

Spatio‐temporal risk sharing and transfer: A unified theory of multi‐period decentralized insurances and annuities

open access: yesJournal of Risk and Insurance, EarlyView.
Abstract Two distinct strands of research focus on decentralized risk sharing plans. One strand centers on classic risk sharing and decentralized insurance, including peer‐to‐peer insurance, mutual aid, and DeFi insurance. The other explores decentralized annuities, such as tontine and group self‐annuitization. Despite their disparate development paths,
Runhuan Feng, Peixin Liu
wiley   +1 more source

Fractional gaussian noise: Spectral density and estimation methods

open access: yesJournal of Time Series Analysis, EarlyView.
The fractional Brownian motion (fBm) process, governed by a fractional parameter H∈(0,1), is a continuous‐time Gaussian process with its increment being the fractional Gaussian noise (fGn). This article first provides a computationally feasible expression for the spectral density of fGn.
Shuping Shi, Jun Yu, Chen Zhang
wiley   +1 more source

Testing in GARCH‐X models: boundary, correlations and bootstrap theory

open access: yesJournal of Time Series Analysis, EarlyView.
In this article, we consider the so‐called Fixed Shrinkage (FS) bootstrap for the class of GARCH models with explanatory variables (GARCH‐X). Under the assumption of stationary covariates, the proposed FS bootstrap does not require modeling the covariates, as these are kept fixed in the bootstrap generating process. Our main focus is on testing whether
Heino Bohn Nielsen   +3 more
wiley   +1 more source

Bubbles and crashes: A tale of quantiles

open access: yesJournal of Time Series Analysis, EarlyView.
Periodically collapsing bubbles, if they exist, induce asymmetric dynamics in asset prices. In this article, I show that unit root quantile autoregressive models can approximate such dynamics by allowing the largest autoregressive root to take values below unity at low quantiles, which correspond to price crashes, and above unity at upper quantiles ...
Efthymios G. Pavlidis
wiley   +1 more source

Home - About - Disclaimer - Privacy