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Combining alphas via bounded regression
Kakushadze, Zura - In: Risks : open access journal 3 (2015) 4, pp. 474-490
We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications, typically, there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To compute alpha allocation weights, one then resorts to...
Persistent link: https://www.econbiz.de/10011402659
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ESG as a measure of credit ratings
Chodnicka-Jaworska, Patrycja - In: Risks : open access journal 9 (2021) 12, pp. 1-26
The aim of this study was to examine the impact of environmental, social, and governance (ESG) measures on credit ratings given to non-financial institutions by the largest credit rating agencies according to economic sector divisions. The hypotheses were as follows: a strong negative impact on...
Persistent link: https://www.econbiz.de/10012794229
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Gaussian and affine approximation of stochastic diffusion models for interest and mortality rates
Christiansen, Marcus C. - In: Risks : open access journal 1 (2013) 3, pp. 81-100
In the actuarial literature, it has become common practice to model future capital returns and mortality rates stochastically in order to capture market risk and forecasting risk. Although interest rates often should and mortality rates always have to be non-negative, many authors use stochastic...
Persistent link: https://www.econbiz.de/10010199021
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The impact of guarantees on the performance of pension saving schemes : insights from the literature
Bohnert, Alexander - In: Risks : open access journal 3 (2015) 4, pp. 515-542
Guarantees are often seen as the key characteristics of pension saving products, but securing them can become costly and is of central relevance especially in the course of the current low interest rate environment. In this article, we deal with the question of how costly the typical types of...
Persistent link: https://www.econbiz.de/10011402676
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A bridge between local GAAP and Solvency II frameworks to quantify capital requirement for demographic risk
Clemente, Gian Paolo; Della Corte, Francesco; Savelli, Nino - In: Risks : open access journal 9 (2021) 10, pp. 1-19
The aim of this paper is to provide a stochastic model useful for assessing the capital requirement for demographic risk in a framework coherent with the Solvency II Directive. The model extends to the market consistent context classical methodologies developed in a local accounting framework....
Persistent link: https://www.econbiz.de/10012632194
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Life insurance and annuity demand under hyperbolic discounting
Tang, Siqi; Purcal, T. Sachi; Zhang, Jinhui - In: Risks : open access journal 6 (2018) 2, pp. 1-10
In this paper, we analyse and construct a lifetime utility maximisation model with hyperbolic discounting. Within the model, a number of assumptions are made: complete markets, actuarially fair life insurance/annuity is available, and investors have time-dependent preferences. Time dependent...
Persistent link: https://www.econbiz.de/10011866415
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A least-squares Monte Carlo framework in proxy modeling of life insurance companies
Krah, Anne-Sophie; Nikolić, Zoran; Korn, Ralf - In: Risks : open access journal 6 (2018) 2, pp. 1-26
The Solvency II directive asks insurance companies to derive their solvency capital requirement from the full loss distribution over the coming year. While this is in general computationally infeasible in the life insurance business, an application of the Least-Squares Monte Carlo (LSMC) method...
Persistent link: https://www.econbiz.de/10011867432
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Hierarchical Markov model in life insurance and social benefit schemes
Jang, Jiwook; Ramli, Siti Norafidah Mohd - In: Risks : open access journal 6 (2018) 3, pp. 1-17
We explored the effect of the jump-diffusion process on a social benefit scheme consisting of life insurance, unemployment/disability benefits, and retirement benefits. To do so, we used a four-state Markov chain with multiple decrements. Assuming independent state-wise intensities taking the...
Persistent link: https://www.econbiz.de/10011867488
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Mathematical analysis of replication by cash flow matching
Natolski, Jan; Werner, Ralf - In: Risks : open access journal 5 (2017) 1, pp. 1-15
The replicating portfolio approach is a well-established approach carried out by many life insurance companies within their Solvency II framework for the computation of risk capital. In this note, we elaborate on one specific formulation of a replicating portfolio problem. In contrast to the two...
Persistent link: https://www.econbiz.de/10011636566
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Immunization strategies for funding multiple inflation-linked retirement income benefits
Simões, Cláudia; Oliveira, Luís; Bravo, Jorge Miguel … - In: Risks : open access journal 9 (2021) 4, pp. 1-28
targeted to immunize multiple liabilities of random size are superior to that of nominal bonds. We use two alternative datasets … comprising daily closing prices for U.S. Treasuries and U.S. inflation-linked bonds from 2000 to 2018. The immunization … investment strategies. The results show that the multiple liability immunization strategy using inflation-linked bonds …
Persistent link: https://www.econbiz.de/10012508594