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Portfolio allocation for European markets with predictability and parameter uncertainty
Jondeau, Eric; Rockinger, Michael - 2010
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …
Persistent link: https://www.econbiz.de/10008797745
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Lasso-type and heuristic strategies in model selection and forecasting
Savin, Ivan; Winker, Peter - 2012
Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...
Persistent link: https://www.econbiz.de/10009630302
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Concepts of Forecast and Decision Horizons : Applications to Dynamic Stochastic Optimization Problems
Bes, Christian - 2015
Focuses on a study which developed a framework for forecast and decision horizons. Definition of finite and infinite horizon stochastic optimization problems for a given forecast; Description of the general framework; Conditions for the existence of a solution horizon; Development of sufficient...
Persistent link: https://www.econbiz.de/10012750265
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Measuring Longevity Risk Through a Neural Network Lee-Carter Model
Marino, Mario - 2020
One of the main challenges for life actuaries is modeling and predicting the future mortality evolution. To this end, several stochastic mortality models have been proposed in literature, starting from the pivotal approach of the Lee-Carter model. These models essentially use the ARIMA processes...
Persistent link: https://www.econbiz.de/10012834239
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Forecasting Compositional Risk Allocations
Boonen, Tim J. - 2017
We analyse models for panel data that arise in risk allocation problems, when a given set of sources are the cause of … an aggregate risk value. We focus on the modeling and forecasting of proportional contributions to risk. Compositional …
Persistent link: https://www.econbiz.de/10012944497
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A New Expression for the True One-Year Prediction Uncertainty in the Chain-Ladder Model of Mack
Siegenthaler, Filippo - 2021
In this paper we provide a new expression for the true one-year prediction uncertainty within the chain-ladder model of Mack, which can be useful for quantification and sensitivity analysis.We also show that, in case sufficiently large sized claims trapezoids are considered (which might not be...
Persistent link: https://www.econbiz.de/10013217871
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Interval-valued upside potential and downside risk portfolio optimisation
Kaucic, Massimiliano; Daris, Roberto - In: Economic research 30 (2017) 1,2, pp. 1406-1426
Persistent link: https://www.econbiz.de/10012224824
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Claims run-off uncertainty : the full picture
Merz, Michael; Wüthrich, Mario V. - 2015 - This version: July 3, 2015
The aim of this contribution is to revisit, clarify and complete the picture of uncertainty estimates in the chain-ladder (CL) claims reserving method. Therefore, we consider the conditional mean square error of prediction (MSEP) of the total prediction uncertainty (using Mack's formula) and the...
Persistent link: https://www.econbiz.de/10011293560
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Do Credit-Based Insurance Scores Proxy for Income in Predicting Auto Claim Risk?
Steeg Morris, Darcy - 2018
policyholder income in predicting claim risk. We offer new evidence on this issue in the context of auto insurance. Prior studies … act as proxy for income in a standard actuarial model of auto claim risk …
Persistent link: https://www.econbiz.de/10012936803
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A Multivariate Model of Strategic Asset Allocation with Longevity Risk
Bisetti, Emilio - 2014
This paper proposes a framework to evaluate the impact of longevity-linked securities on the risk-return trade-off for … traditional portfolios. Generalized unexpected raise in life expectancy is a source of aggregate risk in the insurance sector …-linked investment in addition to equity and fixed income securities and describe the resulting term structure of risk-return trade …
Persistent link: https://www.econbiz.de/10013053624