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Bootstrapping the Chain-Ladder Method for Several Correlated Run-Off Portfolios

Heberle, Jochen - 2012

The prediction of the outstanding loss liabilities for a non-life run-off portfolio as well as the quantiﬁcation of the prediction error is one of the most important actuarial tasks in non-life insurance. In this paper we consider this prediction problem in a multivariate context. More...

Persistent link: https://www.econbiz.de/10013106533

Predicting the Claims-Development-Result in the Chain-Ladder Method for Correlated Run-Off Portfolios

Heberle, Jochen - 2012

In the present paper we analyse how the estimators from Merz u. Wüthrich (2007) could be generalised to the case of N correlated run-off triangles. The simultaneous view on N correlated subportfolios is motivated by the fact, that in practice a run-off portfolio often has to be divided in...

Persistent link: https://www.econbiz.de/10013106624

Asset Price Trend Theory : Reframing Portfolio Theory from the Ground Up

Dubois, Robert - 2013

diversification, pursuing risk moderation by seeking to reduce portfolio variance. But investors adopting this construct find Risk …

Persistent link: https://www.econbiz.de/10013084090

Principal Component Analysis of Time Variations in the Mean-Variance Efficient Frontier

Steiner, Andreas - 2013

We explain the variability of the mean-variance efficient frontier over time with a statistical three factor model. For an asset universe consisting of 22 stocks listed in Switzerland, the model explains more than 99% of the time variations in the efficient frontier.The three factors can be...

Persistent link: https://www.econbiz.de/10013085742

Is Your Covariance Matrix Still Relevant? An Asset Allocation-Based Analysis of Dynamic Volatility Models

Colon, James - 2013

Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...

Persistent link: https://www.econbiz.de/10013086014

Applications of Robust Statistics in Portfolio Theory

Kaszuba, Bartosz - 2013

methods in the Markowitz portfolio theory. This article contains an overview of the most important robust estimators applied … in the portfolio theory. All the methods have been grouped according to the method of determining the outliers and to the …

Persistent link: https://www.econbiz.de/10013089580

A Quick Introduction to Quantitative Models That Discard Estimation of Expected Returns for Portfolio Construction

Colucci, Stefano - 2013

2008/09 another way to deal with diversification came up, the equally-weighted risk contribution portfolio. We give an … diversification using Expected Shortfall as risk measure and Filtered Historical Simulation as a way to estimate it. We take as a … Risk Contribution, Maximum Diversification and risk parity portfolio as in Maillard-Roncalli-Teiletche in order to study …

Persistent link: https://www.econbiz.de/10013090289

The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis

Bertrand, Philippe - 2015

Sharpe ratio and of the information ratio.We show that these effects are in line with what decision theory suggests about …

Persistent link: https://www.econbiz.de/10013014655

Portfolio Selection with Independent Component Analysis

Hitaj, Asmerilda - 2015

We analyze a methodology for portfolio selection based on the Independent Component Analysis. In this paper parametric and non-parametric approaches are used for capturing the behavior of independent components that generate the distribution of asset returns. Although the setup is quite general,...

Persistent link: https://www.econbiz.de/10013015763

Quantifying Market Risk with Value-at-Risk or Expected Shortfall? - Consequences for Capital Requirements and Model Risk

Kellner, Ralf - 2018

The Basel Committee on Banking Supervision recently proposed fundamental changes in the regulatory treatment of financial institutions' trading book positions. Among others, a replacement of Value-at-Risk (α=0.99) by Expected Shortfall (α=0.975) for the quantification of market risk is...

Persistent link: https://www.econbiz.de/10012927146