January 2021 - 27 articles
The risks associated with global supply chain management has created a discourse among practitioners and academics. This is evident by the business uncertainties growing in supply chain management, which pose threats to the entire network flow and ec...
Consider an insurance company whose surplus is modelled by an arithmetic Brownian motion of not necessarily positive drift. Additionally, the insurer has the possibility to invest in a stock modelled by a geometric Brownian motion independent of the...
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the time serie...
Legislation imposes insurance companies to project their assets and liabilities in various financial scenarios. Within the setup of with-profit life insurance, we consider retrospective reserves and bonus, and we study projection of balances with and...
We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to the mode...
Forecasting survival probabilities and life expectancies is an important exercise for actuaries, demographers, and social planners. In this paper, we examine extensively a number of link functions on survival probabilities and model the evolution of...
Different types of natural events hit the United States every year. The data of natural hazards from 1900 to 2016 in the US shows that there is an increasing trend in annul natural disaster losses after 1980. Climate change is recognized as one of th...
The issue of economic security is becoming an increasingly urgent one. The purpose of this article is to develop a method for assessing threats to the economic security of the Russian region. This method is based on step-by-step actions: first of all...
Hidden Markov model (HMM) is a powerful machine-learning method for data regime detection, especially time series data. In this paper, we establish a multi-step procedure for using HMM to select stocks from the global stock market. First, the five im...
One crucial task of actuaries is to structure data so that observed events are explained by their inherent risk factors. They are proficient at generalizing important elements to obtain useful forecasts. Although this expertise is beneficial when pai...
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