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Full-Text Articles in Insurance
Valuation And Risk Management Of Some Longevity And P&C Insurance Products, Yixing Zhao
Valuation And Risk Management Of Some Longevity And P&C Insurance Products, Yixing Zhao
Electronic Thesis and Dissertation Repository
Numerous insurance products linked to risky assets have emerged rapidly in the last couple of decades. These products have option-embedded features and typically involve at least two risk factors, namely interest and mortality risks. The need for models to capture risk factors' behaviours accurately is enormous and critical for insurance companies. The primary objective of this thesis is to develop pricing and hedging frameworks for option-embedded longevity products addressing correlated risk factors. Various methods are employed to facilitate the computation of prices and risk measures of longevity products including those with maturity benefits. Furthermore, in order to be prepared for …
Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater
Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater
SMU Data Science Review
The problem of forecasting market volatility is a difficult task for most fund managers. Volatility forecasts are used for risk management, alpha (risk) trading, and the reduction of trading friction. Improving the forecasts of future market volatility assists fund managers in adding or reducing risk in their portfolios as well as in increasing hedges to protect their portfolios in anticipation of a market sell-off event. Our analysis compares three existing financial models that forecast future market volatility using the Chicago Board Options Exchange Volatility Index (VIX) to six machine/deep learning supervised regression methods. This analysis determines which models provide best …