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Theses and Dissertations (Actuarial Science)
Recent Submissions
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(University of Pretoria, 2023)Stochastic volatility models have become immensely popular since their introduction in 1993 by Heston. This is because their dynamics are more consistent with market behaviour compared to the standard Black-Scholes model. ...
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(University of Pretoria, 2022)In this thesis, the generalised autoregressive conditional heteroskedasticity (GARCH) option pricing model is applied to illiquid markets, volatility indices and in a modern derivative pricing framework. Chapter 2 provides ...
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(University of Pretoria, 2022)In this thesis, we investigate several methods for extracting the forecast distribution from historical asset returns and market-quoted option prices. Typically, risk-neutral distributions, extracted from market quoted ...
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(University of Pretoria, 2022)This thesis analyses the performance of the equal weighted portfolio using an approach from stochastic portfolio theory. This framework allows for the decomposition of the relative performance of the equal weighted portfolio ...
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(University of Pretoria, 2014-04-30)The research attempts to resolve which method of estimation is the most consistent for the parameters of the earthquake model, and how these different methods of estimation, as well as other changes, in the earthquake model ...
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(University of Pretoria, 2013)This study provides systematic analysis of points of structural change in probability distributions. In observed frequency data of earthquakes, such a threshold exists due to the non-detection of events below a certain ...
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(University of Pretoria, 2014)The modelling technique known as Artificial Neural Networks (ANNs) is investigated. ANNs have the ability to detect and project non-linear relationships between variables. Further, they can adapt in dynamically changing ...
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(University of Pretoria, 2020)Banks are key to a well-functioning economy. Periods of economic stress could put banks and therefore the financial system at risk so regulators such as the Prudential Authority in South Africa need to know if banks are ...
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(University of Pretoria, 2019)Social unrest, terrorism and other forms of political violence events are highly unpredictable. These events are driven by human intent and intelligence, both of which are extremely difficult to model accurately. This has ...
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(University of Pretoria, 2019)The modern quantitative portfolio manager is the quintessential “jack of all trades”. Not only do they need to be an expert in the specific area of portfolio management, they also need to have a thorough understanding of ...
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(University of Pretoria, 2018)The study aims to quantitatively assess the extent to which sovereign ratings could be explained by a set of economic variables. A wide variety of factors could potentially bias a credit rating agency’s decision. The ...
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(University of Pretoria, 2019)We introduce new tiered bank network structures, allowing for many di erent bank sizes, and compare risk propagation in these structures with the well-known Erd˝os-R´enyi, assortative and disassortative structures. The ...
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(University of Pretoria, 2007-02-20)Hattendorff's theorem on the zero means and uncorrelatedness of losses in disjoint time periods on a life insurance policy is derived for payment streams, discount functions and time periods that are all stochastic. Thiele's ...
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(University of Pretoria, 2005-11-01)Please read the abstract in the section 00front of this document
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(University of Pretoria, 2011-04-07)AFRIKAANS: Die lewensversekeringsbedryf in Suid-Arrika is ‘n groot mobi1iseerder van langtermyn diskresionêre kapitaal en verleen beskerming teen finansiële ver1iese wat weens die intrede van persoonlike risiko’s voorkom. ...
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(University of Pretoria, 2003-05-15)Property insurance covers policyholders against losses arising out of a wide range of occurrences. Premiums are calculated by taking into account estimates of the frequency and the severity of the losses. Estimating the ...