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Forecasting inflation uncertainty in the United States and Euro area

Ftiti, Zied; Jawadi, Fredj - In: Computational economics 54 (2019) 1, pp. 455-476

Persistent link: https://www.econbiz.de/10012134205

Should selection of the optimum stochastic mortality model be based on the original or the logarithmic scale of the mortality rate?

Santolino, Miguel - In: Risks : open access journal 11 (2023) 10, pp. 1-21

Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models-in terms, that is, of their goodness-of-fit and prediction...

Persistent link: https://www.econbiz.de/10014391729

Backtesting Stochastic Mortality Models : An Ex-Post Evaluation of Multi-Period Ahead-Density Forecasts

Dowd, Kevin - 2009

This study sets out a backtesting framework applicable to the multi-period-ahead forecasts from stochastic mortality models and uses it to evaluate the forecasting performance of six different stochastic mortality models applied to English & Welsh male mortality data. The models considered are:...

Persistent link: https://www.econbiz.de/10013160251

Macroeconomic volatilities and long-run risks of asset prices

Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430

Persistent link: https://www.econbiz.de/10010490848

The real risk in pension forecasting

Slipsager, Søren Kærgaard - In: Scandinavian actuarial journal (2018) 3, pp. 205-273

Persistent link: https://www.econbiz.de/10011881088

Actuarial applications and estimation of extended CreditRisk+

Hirz, Jonas; Schmock, Uwe; Shevchenko, Pavel V. - In: Risks : open access journal 5 (2017) 2, pp. 1-29

risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities … with respect to model parameters for P&L distributions such as value-at-risk and expected shortfall. Numerous examples …

Persistent link: https://www.econbiz.de/10011643397

Predicting food-safety risk and determining cost-effective risk-reduction strategies

Nganje, William; Burbidge, Linda D.; Denkyirah, Elisha Kwaku - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-18

Food safety is a major risk for agribusiness firms. According to the Centers for Disease Control and Prevention (CDC …/HACCP) in 1996 and the Food Modernization Act in 2010, to reduce food-safety risk, retail meat facilities continue to experience … evaluate the effectiveness for three strategies that are used by retail meat facilities. Copula value-at-risk (CVaR) was …

Persistent link: https://www.econbiz.de/10012628139

Measuring macroeconomic uncertainty : an application for Iran

Heybati, Reza - In: Iranian economic review : journal of University of Tehran 25 (2021) 3, pp. 477-498

Persistent link: https://www.econbiz.de/10012664177

Price index modeling and risk prediction of sharia stocks in Indonesia

Hersugondo; Ghozali, Imam; Handriani, Eka; Trimono, Trimono - In: Economies : open access journal 10 (2022) 1, pp. 1-13

loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …) on the daily closing price of JKII from 1 August 2020-13 August 2021 to predict the price and loss risk of JKII at 16 … 2.03%. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one …

Persistent link: https://www.econbiz.de/10012800645

Macroeconomic uncertainty through the lens of professional forecasters

Jo, Soojin; Sekkel, Rodrigo - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 436-446

Persistent link: https://www.econbiz.de/10012178186