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Impact of volatility clustering on equity indexed annuities

Hainaut, Donatien - In: Insurance / Mathematics & economics 71 (2016), pp. 367-381

Persistent link: https://www.econbiz.de/10011630885

Künstliche neuronale Netze zur Risikomessung bei Aktien und Renten : am Beispiel deutscher Lebensversicherungsunternehmen

Rauscher, Markus - 2004 - 1. Aufl.

Persistent link: https://www.econbiz.de/10013420595

Accuracy in risk estimation based on simple SMA and EWNA models : evidence from Macedonain Stock Market

Angelovska, Julijana; Ivanovski, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 17-27

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

Persistent link: https://www.econbiz.de/10011901688

Asymptotic dependence modelling of the BRICS stock markets

Sigauke, Caston; Mukhodobwane, Rosinah; Chagwiza, Wilbert; … - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-32

With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018...

Persistent link: https://www.econbiz.de/10013368365

Stochastically induced critical depensation and risk of stock collapse

Poudel, Diwakar; Sandal, Leif K.; Kvamsdal, Sturla Furunes - In: Marine resource economics 30 (2015) 3, pp. 297-313

Persistent link: https://www.econbiz.de/10011313703

Evaluation of variable annuity guarantees with the effect of jumps in the asset price process

Juma, Mussa; Lee, Min Cherng; Chin, Seong Tah; Liew, … - In: Cogent economics & finance 5 (2017) 1, pp. 1-17

Financial crisis in 2007–2008 have caused losses to life insurance companies issuing variable annuities with guarantees. This is partly due to failure of variable annuity (VA) issuers to anticipate the large variations in asset prices during the financial crisis times in their pricing...

Persistent link: https://www.econbiz.de/10011881290