Browsing Research Articles (Actuarial Science) by UP Author "Van Zyl, A.J. (Gusti)"

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Financial contagion in large, inhomogeneous stochastic interbank networks

Walters, Nadine; Van Zyl, A.J. (Gusti); Beyers, Frederik Johannes Conradie (World Scientific Publishing, 2019-03)

We consider the fraction of nodes that default in large, stochastic, inhomogeneous financial networks following an initial shock to the system. Results for deterministic sequences of networks are generalized to stochastic ...
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 ...

Now showing items 1-2 of 2

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