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Research Articles (Actuarial Science)
Recent Submissions
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Levendis, Alexis; Mare, Eben
(Operations Research Society of South Africa, 2024-07)
In this paper, we test the performance of a static hedging strategy for a long-dated European call option and European spread call option in South Africa. The stochastic volatility
double jump (SVJJ) model is calibrated ...
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Hariparsad, Sanveer; Mare, Eben
(MDPI, 2024-11)
In this paper, we analysed several emerging market (EM) and developed market (DM)
sovereign yield curves to identify the proportion of parallel and non-parallel shifts over time. We
found that non-parallel shifts are ...
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Beyers, Conrad F.J.; Essel-Mensah, Kojo A.; Tsomocos, Dimitrios P.
(Wiley, 2024-12)
The South African Reserve Bank (SARB) uses interest rates to
control inflation. The Computable General Equilibrium (CGE)
model can contribute to inflation targeting objective and also
determine the effects on banks and ...
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Van Niekerk, Andries; Moutzouris, Vasili; Mare, Eben
(AOSIS, 2024-09-17)
BACKGROUND : Many retirees in South Africa face the challenge of either outliving their
retirement savings or living below their means. Studies suggest a ‘safe’ withdrawal rate of
between 4% and 5%, which is below the ...
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Hariparsad, Sanveer; Mare, Eben
(AOSIS, 2024-05-31)
BACKGROUND : This study focuses on diversifying fixed income attribution beyond yield and
duration by identifying new risk premia applicable to various investment strategies.
AIM : To identify cross-sectional bond risk ...
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Mutai, Noah Cheruiyot; Ibeh, Lawrence; Nguyen, Manh Cuong; Kiarie, Joyce Wangui; Ikamari, Cynthia
(Emerald, 2024)
PURPOSE :
Many African countries struggle to sustain steady economic growth. Specific macro-economic factors can influence a country’s economic growth. We investigated the trend and influence of diaspora remittances, ...
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Rusconi, Rob; Beyers, Frederik Johannes Conradie; Walters, Nadine
(Actuarial Society of South Africa, 2023-12)
While insurers are not typically the most significant contributors to systemic risk, their actions and
behaviour may materially contribute to such risk. This study considers the models that may be used
to detect systemic ...
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Levendis, Alexis Jacques; Mare, Eben
(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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Levendis, Alexis Jacques; Mare, Eben
(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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Venter, Pierre J.; Levendis, Alexis Jacques; Mare, Eben
(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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Levendis, Alexis Jacques; Mare, Eben
(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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Rusconi, Rob
(Juta Law, 2021-11-30)
The rationale for the regulation of participants in financial markets, like retirement funds, is
sound. It would be strengthened, however, by a clear statement of the objectives of such
regulation. In this article the ...
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Botha, Arno; Beyers, Conrad F.J.; De Villiers, Johan Pieter
(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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Taljaard, Byran Hugo; Mare, Eben
(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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Venter, Pierre Johan; Mare, Eben
(MDPI, 2021-06-10)
In this paper, the Heston–Nandi futures option pricing model is applied to Bitcoin futures
options. The model prices are compared to market prices to give an indication of the pricing
performance. In addition, a multivariate ...
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Van Appel, Vaughan; Mare, Eben
(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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Taljaard, Byran Hugo; Mare, Eben
(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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Beyers, Frederik Johannes Conradie; De Freitas, Allan; Essel-Mensah, Kojo Amonkwandoh; Seymore, Reyno; Tsomocos, Dimitrios P.
(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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Beyers, Conrad F.J.; De Freitas, Allan; Essel-Mensah, Kojo Amonkwandoh; Seymore, Reyno; Tsomocos, Dimitrios P.
(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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Van Appel, Vaughan; Mare, Eben
(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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