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Full-Text Articles in Business
Risky Business: Recommendations For The Insurance Industry To Contribute To Greater Disaster Risk Reduction And Climate Change Adaptation, Jessie G. Rountree
Risky Business: Recommendations For The Insurance Industry To Contribute To Greater Disaster Risk Reduction And Climate Change Adaptation, Jessie G. Rountree
Master's Projects and Capstones
The private insurance industry is susceptible to increasing risk from climate change and can serve as a catalyst to change behavior to minimize loss. The research examined the current impact and future potential of the insurance industry to reduce both physical and financial risk. The insurance industry currently raises awareness, assigns an economic value to risk, advocates for climate change action, and takes measures to reduce physical risk through mitigation. As well, the industry has proven to be a critical influencer to encourage risk-adverse behavior and regulation. Recommendations to the industry to have a greater impact include: 1) pursue more …
Gpusvcalibration: A R Package For Fast Stochastic Volatility Model Calibration Using Gpus, Matthew Dixon, Sabbir Ahmed Khan, Mohammad Zubair
Gpusvcalibration: A R Package For Fast Stochastic Volatility Model Calibration Using Gpus, Matthew Dixon, Sabbir Ahmed Khan, Mohammad Zubair
Business Analytics and Information Systems
In this paper we describe the gpusvcalibration R package for accelerating stochastic volatility model calibration on GPUs. The package is designed for use with existing CRAN packages for optimization such as DEOptim and nloptr. Stochastic volatility models are used extensively across the capital markets for pricing and risk management of exchange traded financial options. However, there are many challenges to calibration, including comparative assessment of the robustness of different models and optimization routines. For example, we observe that when fitted to sub-minute level midmarket quotes, models require frequent calibration every few minutes and the quality of the fit is routine …