Browsing Research Articles (Actuarial Science) by Title

Browsing Research Articles (Actuarial Science) by Title

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  • 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)
    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 ...
  • Price discovery in the cryptocurrency option market : a univariate GARCH approach 
    Venter, Pierre Johan; Mare, Eben; Pindza, Edson (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 ...
  • Pricing two-asset rainbow options with the fast Fourier transform 
    Levendis, Alexis; 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 ...
  • The recovery theorem with application to risk management 
    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, ...
  • The Ross recovery theorem with a regularised multivariate Markov chain 
    Van Appel, Vaughan; Mare, Eben (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 ...
  • Simulation-based optimisation of the timing of loan recovery across different portfolios 
    Botha, Arno; Beyers, Conrad F.J.; De Villiers, 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 ...
  • Why has the equal weight portfolio underperformed and what can we do about it? 
    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 ...