Browsing Research Articles (Actuarial Science) by Title

Browsing Research Articles (Actuarial Science) by Title

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  • 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 ...