Open Access. Powered by Scholars. Published by Universities.®
Finance and Financial Management Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Institution
- Keyword
-
- ANOVA (1)
- Analytical forecasting (1)
- And Gompertz (1)
- Annuity (1)
- Antithetic random number (1)
-
- Bond rating (1)
- Causality (1)
- Choice function (1)
- Coefficients (1)
- Corporations--Finance (1)
- Credit risk (1)
- Crossed classification (1)
- Default rate (1)
- Derivative securities (1)
- Earnings forecasting (1)
- Economic assumptions (1)
- Equity (1)
- Estimation. (1)
- Expenses (1)
- Experience rating (1)
- Extreme selection (1)
- Extreme value distribution (1)
- Finance (1)
- Financial instruments (1)
- Financial risk management (1)
- Fit measure (1)
- Force of mortality (1)
- Forecasting models (1)
- Forecasting techniques (1)
- Gamma distribution (1)
Articles 1 - 11 of 11
Full-Text Articles in Finance and Financial Management
Auditor Concentration Of Listed Public Companies On International Stock Exchanges, Ramesh Narasimhan, Shifei Chung
Auditor Concentration Of Listed Public Companies On International Stock Exchanges, Ramesh Narasimhan, Shifei Chung
Department of Accounting and Finance Faculty Scholarship and Creative Works
This paper explores the concentration of audit services provided to listed public companies on the Stock Exchanges of Canada, Hong Kong, London, and Singapore. The Canadian and London stock exchanges are chosen as representatives of the North American and European markets, while the Hong Kong and Singapore exchanges represent the newly developed Asia Pacific markets. Public accounting firms have benefited from the globalisation trends by expanding their own markets. The reason frequently mentioned for the mergers of the Big 8 accounting firms to form the Big 6 is that they want to increase their international presence and be in a …
Bond Rating Agencies And Stock Analysts: Who Knows What When?, Louis H. Ederington, Jeremy C. Goh
Bond Rating Agencies And Stock Analysts: Who Knows What When?, Louis H. Ederington, Jeremy C. Goh
Research Collection Lee Kong Chian School Of Business
Both bond ratings agencies and stock analysts evaluate publicly traded companies and communicate their opinions to investors. Comparing the timelines of each, it is found that Granger causality flows both ways. While most bond downgrades are preceded by declines in actual and forecasting earnings, both actual earnings and forecasts of future earnings tend to fall following downgrades. Although part of this post-downgrade forecast revision can be attributed to negative news regarding actual earnings, most appears to be reaction to the downgrade itself. Little change is found in actual earnings following upgrades. Analysts, however, tend to increase their forecasts of future …
Actuarial Techniques In Risk Pricing And Cash Flow Analysis For U.K. Bank Loans, Philip Booth, Duncan E.P. Walsh
Actuarial Techniques In Risk Pricing And Cash Flow Analysis For U.K. Bank Loans, Philip Booth, Duncan E.P. Walsh
Journal of Actuarial Practice (1993-2006)
A cash flow model is developed to set the price for a loan to a borrower with known risks. Similarities are noted between this model and those used for profit testing in life insurance. We emphasize aspects that reasonably can be treated in several ways and also indicate where the cash flow model differs from the pricing methods usually employed in bank lending. The sensitivity of interest rates to various parameters of the model such as the length of loan and the expected default rate is examined. Also, we examine how features of loans, including cash back and early repayments, …
Outlier Analysis Of Annual Retail Price Inflation: A Cross-Country Study, Wai-Sum Chan
Outlier Analysis Of Annual Retail Price Inflation: A Cross-Country Study, Wai-Sum Chan
Journal of Actuarial Practice (1993-2006)
Wilkie's stochastic investment model and its variants have been increasingly applied by actuaries around the world to actuarial modeling and simulation. This paper performs time series outlier analysis on retail price inflation, which is the driving force of Wilkie's composite model. The data come from four developed countries: the United Kingdom, the United States, Canada, and Australia. The fit of the model is significantly improved after the adjustment of outliers. The analysis also identifies exogenous events that have intervened in the inflation dynamics. An example is given to demonstrate the importance of outlier analysis on stochastic simulation. Finally, inflation trends …
Stability Of Representative Crediting Rate Scenarios Under Monte Carlo Simulations, Sarah L.M. Christiansen, Kelley Buchacker
Stability Of Representative Crediting Rate Scenarios Under Monte Carlo Simulations, Sarah L.M. Christiansen, Kelley Buchacker
Journal of Actuarial Practice (1993-2006)
We develop a methodology to ensure that a Monte Carlo simulation of the distribution of the primary rates, used for determining an interest crediting rate, is stable regardless of the initial random number seed. We consider the implications of the use of antithetic random normal deviates upon the scenario process and modifications to the candidate list and the choice function within the representative process. It is shown that the use of antithetic random deviates alone does not have a statistically significant effect on our results. The other two modifications (candidate selection algorithm and choice function) are statistically significant. Furthermore, the …
Principles And Application Of Credibility Theory, Vincent Goulet
Principles And Application Of Credibility Theory, Vincent Goulet
Journal of Actuarial Practice (1993-2006)
We review the history of the practical development of credibility theory. Emphasis is placed on the two main approaches to credibility theory: limited fluctuation credibility and greatest accuracy credibility. We explain when each approach should and should not be used. The presentation of greatest accuracy credibility theory starts with a review of (exact) Bayesian credibility and then moves to the Buhlmann-Straub model. Estimators of the structure parameters are discussed. Examples are presented to illustrate the concepts. Finally, the hierarchical credibility and crossed classification credibility models are presented.
Derivatives, Corporate Hedging, And Shareholder Wealth: Modigliani-Miller Forty Years Later, Kimberly D. Krawiec
Derivatives, Corporate Hedging, And Shareholder Wealth: Modigliani-Miller Forty Years Later, Kimberly D. Krawiec
Faculty Scholarship
No abstract provided.
Journal Of Actuarial Practice, Volume 6, Nos. 1 And 2, 1998, Colin Ramsay , Editor
Journal Of Actuarial Practice, Volume 6, Nos. 1 And 2, 1998, Colin Ramsay , Editor
Journal of Actuarial Practice (1993-2006)
ARTICLES
Principles and Application of Credibility • Vincent Goulet
Actuarial Techniques in Risk Pricing and Cash Flow Analysis for U.K. Bank Loans • Philip Booth and Duncan E.P. Walsh
Stability of Representative Crediting Rate Scenarios Under Monte Carlo Simulations • Sarah L.M. Christiansen and Kelley Buchacker
Outlier Analysis of Annual Retail Price Inflation: A Cross-Country Study • Wai-Sum Cha
An Analysis of Australian Pensioner Mortality by Pre-Retirement Income • David Knox and Andrew Tomlin
Using Parametric Statistical Models to Estimate Mortality Structure: The Case of Taiwan • Shih-Chieh Chang
A Frailty Model for Projection of Human Mortality Improvements • Shaun …
An Analysis Of Australian Pensioner Mortality By Pre-Retirement Income, David Knox, Andrew Tomlin
An Analysis Of Australian Pensioner Mortality By Pre-Retirement Income, David Knox, Andrew Tomlin
Journal of Actuarial Practice (1993-2006)
The existence of a relationship between an individual's socioeconomic status and his or her mortality is often accepted, but it is difficult to measure this relationship objectively. This study analyses the relationship between an individual's final salary immediately prior to retirement and mortality rates during retirement. The data used are taken from a large Australian public sector pension plan. A strong inverse relationship is found, which decreases with age. Some of the implications of these results for individual annuity markets and public pension policy are discussed.
A Frailty Model For Projection Of Human Mortality Improvements, Shaun S. Wang, Robert L. Brown
A Frailty Model For Projection Of Human Mortality Improvements, Shaun S. Wang, Robert L. Brown
Journal of Actuarial Practice (1993-2006)
Based on the everyday observations that individual human beings vary significantly in their capacity to combat death, we adopt a so-called frailty model of human mortality. This frailty model assumes that each individual in a given population is endowed with his or her own frailty index, r, which remains constant for life. In addition, we assume that the individual's force of mortality (hazard rate function) at age x, Ux(r), satisfies Ux(r) = rUx where Ux is the population's base force of mortality at age x. Given the probability distribution of the frailty index among the newborns in the population, an …
Using Parametric Statistical Models To Estimate Mortality Structure: The Case Of Taiwan, Shih-Chieh Chang
Using Parametric Statistical Models To Estimate Mortality Structure: The Case Of Taiwan, Shih-Chieh Chang
Journal of Actuarial Practice (1993-2006)
A mixture parametric model is used to analyze the changing pattern of Taiwanese mortality from 1926 to 1991. Three different age ranges are modeled as mixtures of extreme value distributions, namely the Weibull, inverse Weibull, and Gompertz distributions. The results show a significant improvement of mortality over the years.