Mortality modelling for the purposes of demographic forecasting and actuarial pricing is generally done at an aggregate level using national data. Modelling at this level fails to capture the variation in mortality within country and potentially leads to a mis-specification of mortality...

In recent years the issue of life expectancy has become of upmost importance to pension providers, insurance companies and the government bodies in the developed world. Significant and consistent improvements in mortality rates and hence life expectancy have led to unprecedented increases in the...

ABSTRACT Mortality models used for forecasting are predominantly based on the statistical properties of time series and do not generally incorporate an understanding of the forces driving secular trends. This paper addresses three research questions: Can the factors found in stochastic...

This paper tests a simple market fraction asset pricing model with heterogeneous agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squared returns) of the market fraction model...

Long-range dependence in volatility is one of the most prominent examples of applications in financial market research involving universal power laws. Its characterization has recently spurred attempts at theoretical explanation of the underlying mechanism. This paper contributes to this recent...

This paper studies how to compare different microscopic simulation (MS) models and how to compare a MS model with real world. The parameters of interest are classified and characterized, various econometric methods are applied for the comparison. We illustrate the methodolgy on testing of the...

This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtotic, had fat-tails, over time experienced...

This paper contributes to the development of recent literature on the explanation power and calibration issue of heterogeneous asset pricing models by presenting a simple stochastic market fraction asset pricing model of two types of traders (fundamentalists and trend followers) under a market...

Long-range dependence in volatility is one of the most prominent examples of applications in financial market research involving universal power laws. Its characterization has recently spurred attempts at theoretical explanation of the underlying mechanism. This paper contributes to this recent...