Modelling stochastic mortality for dependent lives

Author(s):

Jaap Spreeuw

 et al.

This paper is a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity approach.

Updated: 22/09/2011
Comments:
Views: 3,674

Modelling stochastic mortality for dependent lives

Author(s):

Jaap Spreeuw

 et al.

This paper is a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity approach.

Updated: 22/09/2011
Comments:
Views: 3,674

Stochastic processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics

We consider a new class of processes, called LG processes, defined as linear combinations ofindependent gamma processes. Their distributional and path-wise properties are explored by following their relation to polynomial and Dirichlet (B-) splines. In particular, it is shown that the density of an LG process can be expressed in terms of Dirichlet (B-) splines, introduced independently by Ignatov and Kaishev (1987, 1988, and 1989) and Karlin et al. (1986).

Updated: 22/09/2011
Comments:
Views: 4,724

Momentum profits, non-normality risks and the business cycle

This paper investigates the extent to which the profitability of momentum strategies is a compensation for exposure to systematic departures from normality. We document that winner returns are more negatively skewed than loser returns, and that the winners exhibit higher positive kurtosis than the losers.

Updated: 24/10/2011
Comments:
Views: 3,934

The third annual Cass-Capco conference of the Cass-Capco institute paper series on risk

Author(s):

Podcast containing interviews, presentations and keynote address of the event at Cass Business School on 19 April 2010

Updated: 30/09/2011
Comments:
Views: 8,833

Developing a risk rating methodology

This report provides the guidelines necessary for standardising the measurement of risk so that it can be applied to make meaningful comparisons between one fund and another.

Updated: 30/10/2014
Comments: 8
Views: 13,507

Insurance solvency under parameter uncertainty

Financial institutions such as insurance companies or banks are regulated according to a Value-at-Risk principle. This means that they have to hold enough capital, such that their probability of becoming insolvent over a fixed time horizon (e.g. 1 year) is very low (e.g. at most 0.5%). Calculation of the required capital according to this principle stumbles on the quite fundamental difficulty of estimating the probability of very extreme scenarios based on limited data sets.

Updated: 22/09/2011
Comments:
Views: 8,674

Stochastic claims reserving in general insurance

Claims reserves are held by insurance companies so that they have sufficient funds to pay claims when they are submitted by policyholders. In general insurance, insurance policies usually last for a year; the policyholder pays an upfront premium and then expects any claims to be met - no matter when they are made. The problem for insurers is that there is often a delay before the claims are arrive, and then a further delay before they are paid.

Updated: 24/01/2013
Comments:
Views: 15,919

Stochastic claims reserving in general insurance

Claims reserves are held by insurance companies so that they have sufficient funds to pay claims when they are submitted by policyholders. In general insurance, insurance policies usually last for a year; the policyholder pays an upfront premium and then expects any claims to be met - no matter when they are made. The problem for insurers is that there is often a delay before the claims are arrive, and then a further delay before they are paid.

Updated: 24/01/2013
Comments:
Views: 15,919