Results 31 to 40 of about 9,057 (304)
Market resiliency conundrum: is it a predicator of economic growth?
Journal of Finance and Data Science, 2018 Resiliency provides fundamental insights on the speed at which the marginal price impact increases as transaction volume increases in the stock market yet very few empirical research has been dedicated to its study.
Richard Wamalwa Wanzala +2 more
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The Variance Risk Premium Around the World [PDF]
SSRN Electronic Journal, 2010 This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the basic stylized facts traditionally documented for the US. I show that while the variance premiums in several other countries are, on average, positive and display significant time variation, they do not predict local equity returns. Then,
openaire +2 more sources
Heliyon, 2020 This study investigates the dynamic connectedness across the variance risk premium in international developed and emerging equity markets based on a Bayesian time-varying parameter vector autoregressive methodology.
Athanasios P. Fassas
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A New Modified Kumaraswamy Distribution: Actuarial Measures and Applications
Journal of Mathematics, 2022 In this paper, a new modified Kumaraswamy distribution is proposed, and some of its basic properties are presented, such as the mathematical expressions for the moments, probability weighted moments, order statistics, quantile function, reliability, and ...
Ayed R. A. Alanzi +4 more
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Empirical evaluation of the efficiency of the Iberian power futures market
Journal of Industrial Engineering and Management, 2008 Market efficiency is analysed for the Iberian Power Futures Market and other European Power Markets, as well as other fuel markets through evaluation of ex-post Forward Risk Premium.
Álvaro Capitán Herráiz +1 more
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Deposit Insurance Pricing in Iranian Banks (Case Study of Persian, Kar Afarin and Eqtesad Novin Banks) [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2011 Deposit insurance is a type of shelter for banks depositors. The main purpose of this system is stabilization of financial market and providing a situation that small and fragile bank and deposit institutions can survive in credit market.
Reza Talebloo
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Mathematics, 2020 Modeling insurance data using heavy-tailed distributions is of great interest for actuaries. Probability distributions present a description of risk exposure, where the level of exposure to the risk can be determined by “key risk indicators” that usually
Ahmed Z. Afify +2 more
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Linearized Credibility Formula for Exponentially Weighted Squared Error Loss Function [PDF]
Informatică economică, 2008 Is an original paper, which describes techniques for estimating premiums for risks, containing a fraction (a part) of the variance of the risk as a loading on the net risk premium.
Virginia ATANASIU
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Uncertainty in Pricing and Risk Measurement of Survivor Contracts
RisksAs life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets.
Kenrick Raymond So +4 more
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Modeling Vehicle Insurance Loss Data Using a New Member of T-X Family of Distributions
Journal of Statistical Theory and Applications (JSTA), 2020 In actuarial literature, we come across a diverse range of probability distributions for fitting insurance loss data. Popular distributions are lognormal, log-t, various versions of Pareto, log-logistic, Weibull, gamma and its variants and a generalized ...
Zubair Ahmad +3 more
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