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Browsing Research Articles (Actuarial Science) by UP Author "Van Appel, Vaughan"
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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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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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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 ...