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Full-Text Articles in Physical Sciences and Mathematics
An Investigation Of The Influence Of The 2007-2009 Recession On The Day Of The Week Effect For The S&P 500 And Its Sectors, Marcel Alwin Trick
An Investigation Of The Influence Of The 2007-2009 Recession On The Day Of The Week Effect For The S&P 500 And Its Sectors, Marcel Alwin Trick
Masters Theses
"Several studies have shown that the mean returns and the volatility structure of stock markets change seasonally or by day of the week. For instance, some authors found out that Monday returns are lower compared to Friday returns or that volatility on Wednesdays are lower compared to the rest of the week. Other researchers showed that these effects have changed after certain periods of economic stress. This led to the question, whether the day of the week effects in returns and volatility are in the US stock market and if patterns have changed from pre-recession through the 2007-2009 recession into …
Models For High Dimensional Spatially Correlated Risks And Application To Thunderstorm Loss Data In Texas, Tobias Merk
Models For High Dimensional Spatially Correlated Risks And Application To Thunderstorm Loss Data In Texas, Tobias Merk
Masters Theses
"Insurance claims caused by natural disasters exhibit spatial dependence with the strength of dependence being based on factors such as physical distance and population density, to name a few. Accounting for spatial dependence is therefore of crucial importance when modeling these types of claims. In this work, we present an approach to assess spatially dependent insurance risks using a combination of linear regression and factor copula models. Specifically, in loss modeling, observed dependence patterns are highly nonlinear, thus copula-based models seem appropriate since they can handle both linear and nonlinear dependence. The factor copula approach for estimating the spatial dependence …
On Modeling Quantities For Insurer Solvency Against Catastrophe Under Some Markovian Assumptions, Daniel Jefferson Geiger
On Modeling Quantities For Insurer Solvency Against Catastrophe Under Some Markovian Assumptions, Daniel Jefferson Geiger
Doctoral Dissertations
"Insurance companies sometimes face catastrophic losses, yet they must remain solvent enough to meet the legal obligation of covering all claims. Catastrophes can result in large damages to the policyholders, causing the arrival of numerous claims to insurance companies at once. Furthermore, the severity of an event could impact the time until the next occurrence. An insurer needs certain levels of startup capital to meet all claims, and then must have adequate reserves on a continual basis, even more so when catastrophes occur. This work examines two facets of these matters: for an infinite time horizon, we extend and develop …