Search results for "Scenario simulation"

showing 2 items of 2 documents

Insurance league: Italy vs. U.K

2003

Insurers are competing by adopting product innovations that provide the insured with integrated coverage for actuarial and financial risks. This article compares the contract structures of blended life policies between the insurance markets in Italy and the United Kingdom within the context of asset-liability management and welfare analysis. © Emerald Backfiles 2007.

Actuarial scienceInsurance policyInsurance lawEconomicsAuto insurance risk selectionCasualty insuranceLiability insuranceInsurance with guarantee stochastic programming scenario simulationGeneral insuranceIncome protection insuranceBond insuranceFinance
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Simulating term structure of interest rates with arbitrary marginals

2011

Decision models under uncertainty rely their analysis on scenarios of the economic factors. A key economic factor is the term structure of interest rates (yields). Simulation models of the yield curve usually assume that the conjugate distribution of the interest rates is lognormal. Dynamic models, like vector auto-regression, implicitly postulate that the logarithm of the interest rates is normally distributed. Statistical analyses have, however, shown that stationary transformations (yield changes) of the interest rates are substantially leptokurtic, thus posing serious doubts on the reliability of the available models. We propose in this paper a VARTA model (Biller and Nelson, 2003) to s…

Logarithmmedia_common.quotation_subjectYield (finance)Management Science and Operations ResearchTerm (time)Interest rateScenario simulationyield curveSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.fat tailsLog-normal distributionKurtosisEconometricsvector autoregressive modelYield curveStatistics Probability and UncertaintyBusiness and International ManagementDecision modelmedia_commonMathematics
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