Showing 741 - 750 of 757
Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such a model is unsuitable for contingent claim valuation because it violates even the weakest...
Persistent link: https://www.econbiz.de/10013308223
Persistent link: https://www.econbiz.de/10013483231
Persistent link: https://www.econbiz.de/10014447570
Persistent link: https://www.econbiz.de/10014583139
Defined Benefit (DB) pension schemes have prevalence in certain countries, most notably the UK. This is also the case for Ireland. Underfunding of DB pension schemes is prevalent throughout the Western world, and no more so than Ireland. This paper examines underfunding of DB schemes in Ireland...
Persistent link: https://www.econbiz.de/10013057887
Persistent link: https://www.econbiz.de/10013042930
The U.S. financial system faces a major, growing, and much under-appreciated threat from the Federal Reserve's risk modeling agenda — the “Fed stress tests.” These were intended to make the financial system safe but instead create the potential for a new systemic financial crisis.The...
Persistent link: https://www.econbiz.de/10013045889
We compare quantitatively eight stochastic models explaining improvements in mortality rates in England &Wales and in the US. On the basis of the Bayes Information Criterion (BIC), we find that an extension of the Cairns, Blake & Dowd (2006b) model that incorporates the cohort effect fits the...
Persistent link: https://www.econbiz.de/10014210565
In the first part of the paper, we consider the wide range of extrapolative stochastic mortality models that have been proposed over the last 15-20 years. A number of models that we consider are framed in discrete time and place emphasis on the statistical aspects of modelling and forecasting....
Persistent link: https://www.econbiz.de/10014210588
Persistent link: https://www.econbiz.de/10014450865