January 2021 - 27 articles
The aim of this paper is to assess the impact of reforms introduced in the operation of Polish open pension funds on management style, risk exposure and related investment performance. The article analyzes the impact of the reformed regulations on th...
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...
Predicting the evolution of mortality rates plays a central role for life insurance and pension funds. Standard single population models typically suffer from two major drawbacks: on the one hand, they use a large number of parameters compared to the...
In this article, a model for pandemic risk and two stochastic extensions is proposed. It is designed for actuarial valuation of insurance plans providing healthcare and death benefits. The core of our approach relies on a deterministic model that is...
In the past 25 years, computer scientists and statisticians developed machine learning algorithms capable of modeling highly nonlinear transformations and interactions of input features. While actuaries use GLMs frequently in practice, only in the pa...
The global nature of the Czech economy means that quantitative knowledge of the influence of the exchange rate provides useful information for all participants in the international economy. Systematic and academic research show that the issue of esti...
In this paper, we examine the impact of investors’ attention to COVID-19 on stock market returns and the moderating effect of national culture on this relationship. Using daily data from 34 countries over the period 23 January to 12 June 2020,...
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