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

Chernobai, Anna; Burnecki, Krzysztof; Rachev, Svetlozar; … - 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/10015224978

Non-bank Financial Institutions at the Ground Zero of Next Crisis

Xing, Victor - 2017

suppression by moving up the risk ladder: longer term bonds, high yield debt, equities, and direct lending • Prolonged volatility … monetary authorities to continue volatility suppression, and many “reach for yield” and risk-parity strategies hinge on … taper will threaten years of non-bank risk accumulation made viable by low volatility, and a decline in asset prices will …

Persistent link: https://www.econbiz.de/10015258494

Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers

Levy, Daniel; Mayer, Tamir; Raviv, Alon - 2020

Textual analysis of the NBER Working Papers published during 1999–2016 is done to assess the effects of the 2007–2009 crisis on the academic literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics,...

Persistent link: https://www.econbiz.de/10015266578

Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers

Levy, Daniel; Mayer, Tamir; Raviv, Alon - 2020

Textual analysis of 14,270 NBER Working Papers published during 1999–2016 is done to assess the effects of the 2008 crisis on the economics literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics, Asset-Pricing,...

Persistent link: https://www.econbiz.de/10015266597

Multiobjective optimization for the asset allocation of European nonlife insurance companies

Jarraya, Bilel; Bouri, Abdelfettah - 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/10015241095

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

Ilmolelian, Peter - 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/10015216234

New methods of estimating stochastic volatility and the stock return

Alghalith, Moawia - 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/10015220178

When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models

Prono, Todd - 2011

A new method is proposed for estimating linear triangular models, where identification results from the structural errors following a bivariate and diagonal GARCH(1,1) process. The associated estimator is a GMM estimator shown to have the usual √T-asymptotics. A Monte Carlo study of the...

Persistent link: https://www.econbiz.de/10015228633

Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate

Pincheira, Pablo; Jarsun, Nabil - 2020

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

Persistent link: https://www.econbiz.de/10015229382

"Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio"

Théoret, Raymond; Racicot, François-Éric - 2010

In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter using stochastic models developed by Taylor (1986,1994) and Nelson (1990). First, we compare a stochastic volatility model relying on the Kalman filter to the conditional...

Persistent link: https://www.econbiz.de/10015230085