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Modelling catastrophe claims with left-truncated severity distributions (extended version)

Chernobai, Anna; Burnecki, Krzysztof; Rachev, Svetlozar; … - Volkswirtschaftliche Fakultät, … - 2005

In this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities. The event frequency is modelled with a...

Persistent link: https://www.econbiz.de/10005789976

Analysis of dependencies in low frequency financial data sets

Ardia, David - Volkswirtschaftliche Fakultät, … - 2003

This empirical study proposes a dependency analysis of monthly financial time series. We use the overlapping technique and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co-movements between financial securities. Our results...

Persistent link: https://www.econbiz.de/10005837546

Multiobjective optimization for the asset allocation of European nonlife insurance companies

Jarraya, Bilel; Bouri, Abdelfettah - Volkswirtschaftliche Fakultät, … - 2013

An optimal asset allocation is crucial for non-life insurance companies. The most previous studies focused on this topic use a mono-objective technique optimization. This technique usually allows the maximization of shareholders’ expected utility. As non-life insurance company is a complex...

Persistent link: https://www.econbiz.de/10011258040

GMM Estimation of the Number of Latent Factors

Perez, Marcos; Ahn, Seung Chan - Volkswirtschaftliche Fakultät, … - 2007

We propose a generalized method of moment (GMM) estimator of the number of latent factors in linear factor models. The method is appropriate for panels a large (small) number of cross-section observations and a small (large) number of time-series observations. It is robust to heteroskedasticity...

Persistent link: https://www.econbiz.de/10005786921

The determinants of the Harare Stock Exchange (HSE) market capitalisation

Ilmolelian, Peter - Volkswirtschaftliche Fakultät, … - 2005

to mobilise capital and diversify risk, the study findings suggest that share price and the exchange rate are the most …

Persistent link: https://www.econbiz.de/10005787110

Likelihood-based inference for correlated diffusions

Kalogeropoulos, Konstantinos; Dellaportas, Petros; … - Volkswirtschaftliche Fakultät, … - 2007

We address the problem of likelihood based inference for correlated diffusion processes using Markov chain Monte Carlo (MCMC) techniques. Such a task presents two interesting problems. First, the construction of the MCMC scheme should ensure that the correlation coefficients are updated subject...

Persistent link: https://www.econbiz.de/10005836360

Parametrix approximations for non constant coefficient parabolic PDEs

Foschi, Paolo; Pieressa, Luca; Polidoro, Sergio - Volkswirtschaftliche Fakultät, … - 2008

Closed form approximations to the fundamental solution of parabolic PDEs is considered. The approach consists on approximations based on a parametrix series expansion. The approximation error can be bounded by a gaussian function and it is of an order of t^2. These explicit expressions have...

Persistent link: https://www.econbiz.de/10005836727

New methods of estimating stochastic volatility and the stock return

Alghalith, Moawia - Volkswirtschaftliche Fakultät, … - 2010

We present a new method of estimating the asset stochastic volatility and return. In doing so, we overcome some of the limitations of the existing random walk models, such as the GARCH/ARCH models.

Persistent link: https://www.econbiz.de/10008623472

Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...

Persistent link: https://www.econbiz.de/10011259405

Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates

Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U ….K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the … behavior of each component of total risk, in their correlation patterns and thus in their contribution to aggregate risk …

Persistent link: https://www.econbiz.de/10011261127