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

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

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  • Determining safe retirement withdrawal rates using forward-looking distributions 
    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 ...
  • 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 ...