- UPSpace Home
- →
- Natural and Agricultural Sciences
- →
- Actuarial Science
- →
- Recent submissions
JavaScript is disabled for your browser. Some features of this site may not work without it.
Actuarial Science: Recent submissions
Now showing items 21-40 of 44
-
(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 ...
-
(University of Pretoria, 2014-04-30)The research attempts to resolve which method of estimation is the most consistent for the parameters of the earthquake model, and how these different methods of estimation, as well as other changes, in the earthquake model ...
-
(University of Pretoria, 2013)This study provides systematic analysis of points of structural change in probability distributions. In observed frequency data of earthquakes, such a threshold exists due to the non-detection of events below a certain ...
-
(University of Pretoria, 2014)The modelling technique known as Artificial Neural Networks (ANNs) is investigated. ANNs have the ability to detect and project non-linear relationships between variables. Further, they can adapt in dynamically changing ...
-
(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, ...
-
(University of Pretoria, 2020)Banks are key to a well-functioning economy. Periods of economic stress could put banks and therefore the financial system at risk so regulators such as the Prudential Authority in South Africa need to know if banks are ...
-
(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 ...
-
(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 ...
-
(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 ...
-
(University of Pretoria, 2019)Social unrest, terrorism and other forms of political violence events are highly unpredictable. These events are driven by human intent and intelligence, both of which are extremely difficult to model accurately. This has ...
-
(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 ...
-
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 ...
-
(University of Pretoria, 2019)The modern quantitative portfolio manager is the quintessential “jack of all trades”. Not only do they need to be an expert in the specific area of portfolio management, they also need to have a thorough understanding of ...
-
(University of Pretoria, 2018)The study aims to quantitatively assess the extent to which sovereign ratings could be explained by a set of economic variables. A wide variety of factors could potentially bias a credit rating agency’s decision. The ...
-
(University of Pretoria, 2019)We introduce new tiered bank network structures, allowing for many di erent bank sizes, and compare risk propagation in these structures with the well-known Erd˝os-R´enyi, assortative and disassortative structures. The ...
-
(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 ...
-
(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. ...
-
(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 ...
-
(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 ...
-
(University of Pretoria, 2007-02-20)Hattendorff's theorem on the zero means and uncorrelatedness of losses in disjoint time periods on a life insurance policy is derived for payment streams, discount functions and time periods that are all stochastic. Thiele's ...
Now showing items 21-40 of 44