Risks, Volume 10, Issue 8

Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions, probability...

Life insurers, whose contractual liabilities include providing minimum guaranteed interest rates to policyholders, are significantly affected by persistently low interest rates. Hence, this study reviews the literature on the prolonged low interest r...

Classification models are very sensitive to data uncertainty, and finding robust classifiers that are less sensitive to data uncertainty has raised great interest in the machine learning literature. This paper aims to construct robust support vector...

We discuss several known formulas that use the Macaulay duration and convexity of commonly used cash flow streams to approximate their net present value, and compare them with a new approximation formula that involves hyperbolic functions. Our object...

How to consider the a priori risks in experience-rating models has been questioned in the actuarial community for a long time. Classic past-claim-rating models, such as the Buhlmann–Straub credibility model, normalize the past experience of eac...

The revolution in neural networks is a significant technological shift. It has an impact on not only all aspects of production and life, but also economic research. Neural networks have not only been a significant tool for economic study in recent ye...

This research aims to develop a determinant variable of the Sukuk rating derived from agency and asymmetry theories. This research is essential because Sukuk or Islamic Bonds is needed in Indonesia, with 85% of its population out of 320 million peopl...

The problem of determining the cost of equity is crucial to the development of organizations. It is an essential means of calculating value creation. The financial literature has proposed several models for estimating the cost of equity, such as the...

In this study, we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY-driven Ornstein–Uhlenbeck process. To this end, we first calculate the characteristic function of the transition...

The prediction of future mortality improvements is of substantial importance for areas such as population projection, government welfare policies, pension planning and annuity pricing. The Lee-Carter model is one of the widely applied mortality model...