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Full-Text Articles in Mathematics
On The Double Chain Ladder For Reserve Estimation With Bootstrap Applications, Larissa Schoepf
On The Double Chain Ladder For Reserve Estimation With Bootstrap Applications, Larissa Schoepf
Masters Theses
"To avoid insolvency, insurance companies must have enough reserves to fulfill their present and future commitment-refer to in this thesis as outstanding claims towards policyholders. This entails having an accurate and reliable estimate of funds necessary to cover those claims as they are presented. One of the major techniques used by practitioners and researchers is the single chain ladder method. However, though most popular and widely used, the method does not offer a good understanding of the distributional properties of the way claims evolve. In a series of recent papers, researchers have focused on two potential components of outstanding claims, …
Day Of The Week Effect In Returns And Volatility Of The S&P 500 Sector Indices, Juan Liu
Day Of The Week Effect In Returns And Volatility Of The S&P 500 Sector Indices, Juan Liu
Masters Theses
"Previous studies have shown that returns associated with the stock market or foreign exchange's futures show variations across the day of the week. On such study, that employs a modified GARCH model for estimation, shows that returns associated with the S&P 500 stock index is highest on Wednesday and lowest returns on Monday. The same study shows that volatility is highest on Fridays and lowest on Wednesdays. In this study we investigate if this day-of-the-week effect on returns and volatility is present in the different sectors that constitute the S&P 500 index. The data set used provides daily returns from …
Abel Dynamic Equations Of The First And Second Kind, Sabrina Heike Streipert
Abel Dynamic Equations Of The First And Second Kind, Sabrina Heike Streipert
Masters Theses
"In this work, we study Abel dynamic equations of the first and the second kind. After a brief introduction to time scales, we introduce the Abel differential equations of the first and the second kind, as well as the canonical Abel form in the continuous case. Using the existing information, we derive novel results for time scales. We provide formulas for the Abel dynamic equations of the second kind and present a solution method. We furthermore achieve a special class of Abel equations of the first kind and discuss the canonical Abel equation. We get relations between common dynamic equations …