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Calibration of transition intensities for a multistate model : application to long-term care

Esquível, Manuel L.; Guerreiro, Gracinda R.; Oliveira, … - In: Risks : open access journal 9 (2021) 2/37, pp. 1-17

We consider a non-homogeneous continuous time Markov chain model for Long-Term Care with five states: the autonomous state, three dependent states of light, moderate and severe dependence levels and the death state. For a general approach, we allow for non null intensities for all the returns...

Persistent link: https://www.econbiz.de/10012427010

Reliability of seismic performance assessments for individual buildings and portfolios

Thiel, Charles C.; Zsutty, Theodore C.; Lee, Yajie J. - In: Risks : open access journal 9 (2021) 7, pp. 1-46

uncertainties for such assessments. The essential issue is whether or not there is sufficient reliability in the result to use the … developed for evaluating the reliability of performance and/or loss assessments for both individual and portfolios of buildings … reliability measure is likely to be most useful for determining whether/or not a building has acceptable life safety performance …

Persistent link: https://www.econbiz.de/10012598979

Ruin probabilities with dependence on the number of claims within a fixed time window

Constantinescu, Corina; Dai, Suhang; Ni, Weihong; … - In: Risks : open access journal 4 (2016) 2, pp. 1-23

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspiration of the model comes from the bonus-malus...

Persistent link: https://www.econbiz.de/10011507555

A note on the impact of parameter uncertainty on barrier derivatives

Escobar, Marcos; Panz, Sven - In: Risks : open access journal 4 (2016) 4, pp. 1-25

This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk...

Persistent link: https://www.econbiz.de/10011556565

The seven-league scheme : deep learning for large time step Monte Carlo simulations of stochastic differential equations

Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks : open access journal 10 (2022) 3, pp. 1-27

We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large time steps. The SDE discretization is built up by means of the polynomial chaos expansion method, on the basis of accurately determined stochastic collocation (SC) points. By...

Persistent link: https://www.econbiz.de/10013093086

The accuracy of risk measurement models on bitcoin market during COVID-19 pandemic

Likitratchoaroen, Danai; Kronprasert, Nopadon; … - In: Risks : open access journal 9 (2021) 12, pp. 1-16

Since late 2019, during one of the largest pandemics in history, COVID-19, global economic recession has continued. Therefore, investors seek an alternative investment that generates profits during this financially risky situation. Cryptocurrency, such as Bitcoin, has become a new currency tool...

Persistent link: https://www.econbiz.de/10012794186

Tail dependence in financial markets : a dynamic copula approach

Cortese, Federico Pasquale - In: Risks : open access journal 7 (2019) 4/116, pp. 1-14

This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model´s parameters and in the computation of Value-at-Risk (VaR). Results...

Persistent link: https://www.econbiz.de/10012127765

Testing the least-squares Monte Carlo method for the evaluation of capital requirements in life insurance

Costabile, Massimo; Viviano, Fabio - In: Risks : open access journal 8 (2020) 2/48, pp. 1-13

In this paper, we test the efficiency of least-squares Monte Carlo method to estimate capital requirements in life insurance. We choose a simplified Gaussian evaluation framework where closed-form formulas are available and allow us to obtain solid benchmarks. Extensive numerical experiments...

Persistent link: https://www.econbiz.de/10012292830

Neural network pricing of American put options

Gaspar, Raquel M.; Lopes, Sara Dutra; Sequeira, Bernardo - In: Risks : open access journal 8 (2020) 3/73, pp. 1-24

In this study, we use Neural Networks (NNs) to price American put options. We propose two NN models-a simple one and a more complex one-and we discuss the performance of two NN models with the Least-Squares Monte Carlo (LSM) method. This study relies on American put option market prices, for...

Persistent link: https://www.econbiz.de/10012293134

A ne on simulation pricing of π-options

Palmowski, Zbigniew; Serafin, Tomasz - In: Risks : open access journal 8 (2020) 3/90, pp. 1-19

In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a π-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underlying asset's price. As a result, this algorithm...

Persistent link: https://www.econbiz.de/10012293283