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Showing 13 out of a total of 13 results for collection: Research Articles (Actuarial Science).
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A computable general equilibrium model for banking sector risk assessment in South Africa
Beyers, Conrad F.J.
;
De Freitas, Allan
;
Essel-Mensah, Kojo Amonkwandoh
;
Seymore, Reyno
;
Tsomocos, Dimitrios P.
(
Springer
,
2020-06
)
Determining safe retirement withdrawal rates using forward-looking distributions
Van Appel, Vaughan
;
Mare, Eben
(
Academy of Science of South Africa
,
2022-03
)
Optimal asset allocation for a DC plan with partial information under inflation and mortality risks
Guambe, Calisto
;
Kufakunesu, Rodwell
;
Van Zyl, A.J. (Gusti)
;
Beyers, Conrad F.J.
(
Taylor and Francis
,
2021
)
The recovery theorem with application to risk management
Van Appel, Vaughan
;
Mare, Eben
(
South African Statistical Association
,
2020
)
Efficient pricing of spread options with stochastic rates and stochastic volatility
Levendis, Alexis Jacques
;
Mare, Eben
(
MDPI
,
2022-11
)
Simulation-based optimisation of the timing of loan recovery across different portfolios
Botha, Arno
;
Beyers, Conrad F.J.
;
De Villiers, Pieter
(
Elsevier
,
2021-09
)
An economic scenario generator for embedded derivatives in South Africa
Levendis, Alexis
;
Mare, Eben
(
Actuarial Society of South Africa
,
2022
)
Why has the equal weight portfolio underperformed and what can we do about it?
Taljaard, Byran Hugo
;
Mare, Eben
(
Routledge
,
2021
)
Pricing two-asset rainbow options with the fast Fourier transform
Levendis, Alexis
;
Mare, Eben
(
South African Statistical Association (SASA)
,
2023
)
If the equal weighted portfolio is so great, why isn’t it working in South Africa?
Taljaard, Byran Hugo
;
Mare, Eben
(
NISC Pty (Ltd) and Informa Limited (trading as Taylor and Francis Group)
,
2021
)
A computable general equilibrium model as a banking sector regulatory tool in South Africa
Beyers, Frederik Johannes Conradie
;
De Freitas, Allan
;
Essel-Mensah, Kojo Amonkwandoh
;
Seymore, Reyno
;
Tsomocos, Dimitrios P.
(
Wiley
,
2022-03
)
Price discovery in the cryptocurrency option market : a univariate GARCH approach
Venter, Pierre Johan
;
Mare, Eben
;
Pindza, Edson
(
Cogent OA
,
2020
)
Collateralised option pricing in a South African context : a univariate GARCH approach
Venter, Pierre J.
;
Levendis, Alexis Jacques
;
Mare, Eben
(
Taylor and Francis
,
2022
)
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Mare, Eben (9)
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Levendis, Alexis Jacques (2)
Seymore, Reyno (2)
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Van Appel, Vaughan (2)
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Computable general equilibrium (CGE) (2)
Diversification (2)
Equal weight portfolio (2)
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Option pricing (2)
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