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Solvency capital requirement for insurance products via dynamic cash flow matching under lattice models
Ma, Alfred Ka Chun; Cheung, Justina Yuen Ki - In: Journal of Risk Finance 14 (2013) July, pp. 344-352
Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is … matching framework under lattice models. The proposed method is particularly useful for insurance products with a typical long …
Persistent link: https://www.econbiz.de/10010815078
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Solvency capital requirement for insurance products via dynamic cash flow matching under lattice models
Ma, Alfred Ka Chun; Cheung, Justina Yuen Ki - In: Journal of Risk Finance 14 (2013) July, pp. 344-352
Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is … matching framework under lattice models. The proposed method is particularly useful for insurance products with a typical long …
Persistent link: https://www.econbiz.de/10010691553
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A simple parallel algorithm for large-scale portfolio problems
Smimou, Kamal; Thulasiram, Ruppa K. - In: Journal of Risk Finance 11 (2010) November, pp. 481-495
Purpose – Although the mean-variance portfolio selection model has been investigated in the literature, the difficulty associated with the application of the model when dealing with large-scale problems is limited. The aim of this paper is to close the gap by using the quadratic risk (standard...
Persistent link: https://www.econbiz.de/10010611038
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Comparison of temperature models using heating and cooling degree days futures
Göncü, Ahmet - In: Journal of Risk Finance 14 (2013) February, pp. 159-178
modelling approach is proposed for incorporating available temperature forecasts into the considered dynamic models. …
Persistent link: https://www.econbiz.de/10010815074
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Research on lapse in life insurance: what has been done and what needs to be done?
Eling, Martin; Kochanski, Michael - In: Journal of Risk Finance 14 (2013) July, pp. 392-413
Purpose – The purpose of this paper is to review research on lapse in life insurance and to outline potential new areas … empirical research on life insurance lapse and provide a classification of these two streams of research. More than 50 … important literature on life insurance lapsation. Next to the structured review of the existing models and the empirical …
Persistent link: https://www.econbiz.de/10010815086
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Longevity risk and survivor derivative pricing
Dawson, Paul; Lin, Hai; Liu, Yangshu - In: Journal of Risk Finance 14 (2013) February, pp. 140-158
Purpose – Longevity risk, that is, the uncertainty of the demographic survival rate, is an important risk for insurance …
Persistent link: https://www.econbiz.de/10010815092
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A simple parallel algorithm for large-scale portfolio problems
Smimou, Kamal; Thulasiram, Ruppa K. - In: Journal of Risk Finance 11 (2010) November, pp. 481-495
Purpose – Although the mean-variance portfolio selection model has been investigated in the literature, the difficulty associated with the application of the model when dealing with large-scale problems is limited. The aim of this paper is to close the gap by using the quadratic risk (standard...
Persistent link: https://www.econbiz.de/10010815127
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Developing and implementing a stochastic decision-support model within an organizational context: The experience
Høyland, Kjetil; Ranberg, Erik; Wallace, Stein W. - In: Journal of Risk Finance 6 (2005) January, pp. 40-46
Purpose – Discusses why it is necessary to align a mathematical model with the organization in order to achieve the desired results. The structure of a model's input must fit with the structure of data collection in the firm, and the output must be consistent with the decision structure....
Persistent link: https://www.econbiz.de/10005002395
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Mapping corporate drift towards default: Part 2: a hybrid credit-scoring model
Bandyopadhyay, Arindam - In: Journal of Risk Finance 8 (2007) January, pp. 46-55
Purpose – The purpose of this paper is to develop a hybrid logistic model by using the inputs obtained from BSM equity-based option model described in the companion paper, “Mapping corporate drift towards default – Part 1: a market-based approach” that can more accurately predict...
Persistent link: https://www.econbiz.de/10005002450
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Predicting probability of default of Indian corporate bonds: logistic and Z-score model approaches
Bandyopadhyay, Arindam - In: Journal of Risk Finance 7 (2006) May, pp. 255-272
Purpose – This paper aims at developing an early warning signal model for predicting corporate default in emerging market economy like India. At the same time, it also aims to present methods for directly estimating corporate probability of default (PD) using financial as well as non-financial...
Persistent link: https://www.econbiz.de/10005002459