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The Quality of reserve risk calculation models under solvency II and IFRS 17

Arató, N. Miklós; Martinek, László - In: Risks : open access journal 10 (2022) 11, pp. 1-13

We analyse four stochastic claims reserving methods in terms of their capability to estimate reserve risk and how successful they are at predicting distributions and VaRs of claim developments in particular. Both actual data and hypothetical claim triangles support our results. The...

Persistent link: https://www.econbiz.de/10014225942

Managing external volatility: policy frameworks in non-reserve-issuing economies

Poirson, Hélène; Porter, Nathaniel John; Fayad, Ghada; … - In: The journal of financial crises 4 (2022) 3, pp. 60-98

Persistent link: https://www.econbiz.de/10013465673

Distributional modeling and forecasting of natural gas prices

Berrisch, Jonathan; Ziel, Florian - In: Journal of forecasting 41 (2022) 6, pp. 1065-1086

Persistent link: https://www.econbiz.de/10013465681

Subsampled factor models for asset pricing : the rise of Vasa

De Nard, Gianluca; Hediger, Simon; Leippold, Markus - In: Journal of forecasting 41 (2022) 6, pp. 1217-1247

Persistent link: https://www.econbiz.de/10013465694

Are internally consistent forecasts rational?

Tian, Jing; Doko Tchatoka, Firmin; Goodwin, Thomas - In: Journal of forecasting 41 (2022) 7, pp. 1338-1355

Persistent link: https://www.econbiz.de/10013465698

Interest rate uncertainty and the predictability of bank revenues

Cepni, Oguzhan; Demirer, Rıza; Gupta, Rangan; Sensoy, Ahmet - In: Journal of forecasting 41 (2022) 8, pp. 1559-1569

Persistent link: https://www.econbiz.de/10013465714

Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets

Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607

Persistent link: https://www.econbiz.de/10013465725

A generalized two-factor square-root framework for modeling occurrences of natural catastrophes

Orlando, Giuseppe; Bufalo, Michele - In: Journal of forecasting 41 (2022) 8, pp. 1608-1622

Persistent link: https://www.econbiz.de/10013465727

High-frequency data and stock-bond investing

Lai, Yu-Sheng - In: Journal of forecasting 41 (2022) 8, pp. 1623-1638

Persistent link: https://www.econbiz.de/10013465728

Forecasting variance swap payoffs

Dark, Jonathan; Gao, Xin; Heijden, Thijs van der; … - In: The journal of futures markets 42 (2022) 12, pp. 2135-2164

Persistent link: https://www.econbiz.de/10013465873