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Research Articles (Actuarial Science): Recent submissions
Now showing items 1-20 of 21
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(South African Statistical Association (SASA), 2023)In this paper, we present a numerical method based on the fast Fourier transform (FFT) to price call options on the minimum of two assets, otherwise known as two-asset rainbow options. We consider two stochastic processes ...
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(Actuarial Society of South Africa, 2022)It is well known that interest rate risk is a dominating factor when pricing long-dated contingent claims. The Heston stochastic volatility model fails to capture this risk as the model assumes a constant interest rate ...
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(Taylor and Francis, 2022)In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) ...
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(MDPI, 2022-11)Spread options are notoriously difficult to price without the use of Monte Carlo simulation. Some strides have been made in recent years through the application of Fourier transform methods; however, to date, these methods ...
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(Elsevier, 2021-09)A novel procedure is presented for the objective comparison and evaluation of a bank’s decision rules in optimising the timing of loan recovery. This procedure is based on finding a delinquency threshold at which the ...
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(NISC Pty (Ltd) and Informa Limited (trading as Taylor and Francis Group), 2021)This paper considers the recent underperformance of the equal weighted portfolio of South African Top 40 stocks relative to the market capitalisation weighted portfolio. It highlights the impact of the increased concentration ...
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(Academy of Science of South Africa, 2022-03)An important topic for retirees is determining how much they can safely withdraw from their retirement savings: draw too much from their retirement fund and risk outliving their retirement savings, or draw too little and ...
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(Routledge, 2021)It is widely noted that market capitalisation weighted portfolios are inefficient and underperform an equal weighted portfolio over the long-term. However, at least since 2016, an equal weighted portfolio of stocks in the ...
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(Wiley, 2022-03)A computable general equilibrium (CGE) model is used as a regulatory tool for the banking sector in South Africa. The model is used to determine the effects of regulatory penalties, capital adequacy requirements (CAR) and ...
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(Springer, 2020-06)In this article a banking sector Computable general equilibrium (CGE) model for South Africa is developed. The model is used to estimate the potential effect of regulatory policy on the economy and as a risk assessment ...
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(South African Statistical Association, 2020)The forward-looking nature of option prices provides an appealing way to extract risk measures. In this paper, we extract forecast densities from option prices that can be used in forecasting risk measures. More specifically, ...
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(Cogent OA, 2020)In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the Cryptocurrency Index (CRIX). The first model is symmetric and the other ...
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(Springer, 2019-11)Age estimation in living individuals around the age of 18 years remains a difficult challenge. In this study, the anterior inferior vertebral ring apophysis development of cervical vertebrae C2, C3, and C4 of 496 white and ...
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(Lippincott, Williams and Wilkins, 2019-07)BACKGROUND : The Kingdom of Bahrain has a high incidence of diabetes and associated foot complications. Simultaneously, low 25-hydroxyvitamin D (25[OH]D) levels are common in this population and may be associated with the ...
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(Operations Research Society of South Africa, 2018-11-04)Recently, Ross derived a theorem, namely the “Recovery Theorem”, that allows for the recovery of the pricing kernel and real-world asset distribution, under particular assumptions, from a forward-looking risk neutral ...
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Optimal asset allocation for a DC plan with partial information under inflation and mortality risks (Taylor and Francis, 2021)We study an asset allocation stochastic problem for a defined-contribution pension plan during the accumulation phase. We consider a financial market composed of a risk-free asset, an inflation-linked bond and the risky ...
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(World Scientific Publishing, 2019-03)We consider the fraction of nodes that default in large, stochastic, inhomogeneous financial networks following an initial shock to the system. Results for deterministic sequences of networks are generalized to stochastic ...
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(Springer, 2018-09)Third molar development of 705 White and 563 Black South African individuals aged between 15 and 25 years was assessed from panoramic radiographs obtained from the School of Dentistry, University of Pretoria, South Africa. ...
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(Actuarial Society of South Africa, 2017)In this research we describe how forward-looking information on the statistical properties of an asset can be extracted directly from options market data and demonstrate how this can be practically applied to portfolio ...
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(Actuarial Society of South Africa, 2016)No analytic procedures currently exist for determining optimal artificial neural network structures and parameters for any given application. Traditionally, when artificial neural networks have been applied to financial ...
Now showing items 1-20 of 21