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Investigating causes of model instability : properties of the prediction accuracy index

Taplin, Ross - In: Risks : open access journal 11 (2023) 6, pp. 1-15

The Prediction Accuracy Index (PAI) monitors stability, defined as whether the predictive power of a model has …

Persistent link: https://www.econbiz.de/10014334549

Role of the global volatility indices in predicting the volatility index of the Indian economy

Prasad, Akhilesh; Bakhshi, Priti - In: Risks : open access journal 10 (2022) 12, pp. 1-18

Movements in the volatility index of the Indian economy are influenced by global volatility indices (fear index). This … the implied volatility index of India, denoted by the symbol 'India VIX'. Historical daily data from 18 September, 2009 … volatility index. Additionally, the Eurozone implied volatility index was also important. However, the implied volatility indices …

Persistent link: https://www.econbiz.de/10014230843

Can sustainable investment yield better financial returns : a comparative study of ESG indices and MSCI indices

Jain, Mansi; Sharma, Gagan Deep; Srivastava, Mrinalini - In: Risks : open access journal 7 (2019) 1/15, pp. 1-18

indices from both developed and emerging markets. With an intent to maintain consistency, this paper comparatively analyzes … index—TRESGDX, emerging markets ESG index—TRESGEX, US large-cap ESG index—TRESGUS, Europe ESG index—TRESGEU, and those of … the usual markets, namely MSCI world index (MSCI W), MSCI All Country World Equity index (MSCI ACWI), MSCI USA index (MSCI …

Persistent link: https://www.econbiz.de/10012016034

Sensitivity of performance indexes to disaster risk

Hodoshima, Jiro; Yamawake, Toshiyuki - In: Risks : open access journal 9 (2021) 2/40, pp. 1-22

. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … Foster-Hart performance index proposed by Kadan and Liu. These performance indexes provide evaluations sensitive to the … literature, we show by the regression analysis of the index and summary statistics these indexes are in fact not excessively …

Persistent link: https://www.econbiz.de/10012483189

Model error (or ambiguity) and its estimation, with particular application to loss reserving

Taylor, Greg; Mc Guire, Gráinne - In: Risks : open access journal 11 (2023) 11, pp. 1-28

This paper is concerned with the estimation of forecast error, particularly in relation to insurance loss reserving. Forecast error is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their estimation, are...

Persistent link: https://www.econbiz.de/10014435599

Model risk in portfolio optimization

Stefanovits, David; Schubiger, Urs; Wüthrich, Mario V. - In: Risks : open access journal 2 (2014) 3, pp. 315-348

We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...

Persistent link: https://www.econbiz.de/10010400258

An intersection-union test for the sharpe ratio

Frahm, Gabriel - In: Risks : open access journal 6 (2018) 2, pp. 1-13

An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection–union test takes serial dependence into account and...

Persistent link: https://www.econbiz.de/10011866388

On two mixture-based clustering approaches used in modeling an insurance portfolio

Miljkovic, Tatjana; Fernández, Daniel - In: Risks : open access journal 6 (2018) 2, pp. 1-18

We review two complementary mixture-based clustering approaches for modeling unobserved heterogeneity in an insurance portfolio: the generalized linear mixed cluster-weighted model (CWM) and mixture-based clustering for an ordered stereotype model (OSM). The latter is for modeling of ordinal...

Persistent link: https://www.econbiz.de/10011867387

Valuation of large variable annuity portfolios using linear models with interactions

Gan, Guojun - In: Risks : open access journal 6 (2018) 3, pp. 1-19

A variable annuity is a popular life insurance product that comes with financial guarantees. Using Monte Carlo simulation to value a large variable annuity portfolio is extremely time-consuming. Metamodeling approaches have been proposed in the literature to speed up the valuation process. In...

Persistent link: https://www.econbiz.de/10011890680

Credible regression approaches to forecast mortality for populations with limited data

Bozikas, Apostolos; Pitselis, Georgios - In: Risks : open access journal 7 (2019) 1/27, pp. 1-22

In this paper, we propose a credible regression approach with random coefficients to model and forecast the mortality dynamics of a given population with limited data. Age-specific mortality rates are modelled and extrapolation methods are utilized to estimate future mortality rates. The results...

Persistent link: https://www.econbiz.de/10012015901