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Browsing Actuarial Science by Title
Now showing items 1-20 of 46
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(Lippincott, Williams and Wilkins, 2019-07)BACKGROUND : The Kingdom of Bahrain has a high incidence of diabetes and associated foot complications. Simultaneously, low 25-hydroxyvitamin D (25[OH]D) levels are common in this population and may be associated with the ...
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(Springer, 2019-11)Age estimation in living individuals around the age of 18 years remains a difficult challenge. In this study, the anterior inferior vertebral ring apophysis development of cervical vertebrae C2, C3, and C4 of 496 white and ...
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(University of Pretoria, 2018)The study aims to quantitatively assess the extent to which sovereign ratings could be explained by a set of economic variables. A wide variety of factors could potentially bias a credit rating agency’s decision. The ...
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(University of Pretoria, 2023)Stochastic volatility models have become immensely popular since their introduction in 1993 by Heston. This is because their dynamics are more consistent with market behaviour compared to the standard Black-Scholes model. ...
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(University of Pretoria, 2014)The modelling technique known as Artificial Neural Networks (ANNs) is investigated. ANNs have the ability to detect and project non-linear relationships between variables. Further, they can adapt in dynamically changing ...
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(Taylor and Francis, 2022)In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) ...
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(Wiley, 2022-03)A computable general equilibrium (CGE) model is used as a regulatory tool for the banking sector in South Africa. The model is used to determine the effects of regulatory penalties, capital adequacy requirements (CAR) and ...
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(Springer, 2020-06)In this article a banking sector Computable general equilibrium (CGE) model for South Africa is developed. The model is used to estimate the potential effect of regulatory policy on the economy and as a risk assessment ...
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(Wiley, 2024-12)The South African Reserve Bank (SARB) uses interest rates to control inflation. The Computable General Equilibrium (CGE) model can contribute to inflation targeting objective and also determine the effects on banks and ...
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(Actuarial Society of South Africa, 2023-12)While insurers are not typically the most significant contributors to systemic risk, their actions and behaviour may materially contribute to such risk. This study considers the models that may be used to detect systemic ...
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(Academy of Science of South Africa, 2022-03)An important topic for retirees is determining how much they can safely withdraw from their retirement savings: draw too much from their retirement fund and risk outliving their retirement savings, or draw too little and ...
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(University of Pretoria, 2011-04-07)AFRIKAANS: Die lewensversekeringsbedryf in Suid-Arrika is ‘n groot mobi1iseerder van langtermyn diskresionêre kapitaal en verleen beskerming teen finansiële ver1iese wat weens die intrede van persoonlike risiko’s voorkom. ...
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(Cambridge University Press, 2011-08-31)This paper analyses the driving forces behind the willingness of South African courts to hear actuarial expert testimony in even the most simple of cases, in contrast to the more circumspect approach of the English courts, ...
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(Actuarial Society of South Africa, 2022)It is well known that interest rate risk is a dominating factor when pricing long-dated contingent claims. The Heston stochastic volatility model fails to capture this risk as the model assumes a constant interest rate ...
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(University of Pretoria, 2014-04-30)The research attempts to resolve which method of estimation is the most consistent for the parameters of the earthquake model, and how these different methods of estimation, as well as other changes, in the earthquake model ...
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(MDPI, 2022-11)Spread options are notoriously difficult to price without the use of Monte Carlo simulation. Some strides have been made in recent years through the application of Fourier transform methods; however, to date, these methods ...
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(Springer, 2018-09)Third molar development of 705 White and 563 Black South African individuals aged between 15 and 25 years was assessed from panoramic radiographs obtained from the School of Dentistry, University of Pretoria, South Africa. ...
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(Actuarial Society of South Africa, 2017)In this research we describe how forward-looking information on the statistical properties of an asset can be extracted directly from options market data and demonstrate how this can be practically applied to portfolio ...
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(AOSIS, 2024-05-31)BACKGROUND : This study focuses on diversifying fixed income attribution beyond yield and duration by identifying new risk premia applicable to various investment strategies. AIM : To identify cross-sectional bond risk ...
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(World Scientific Publishing, 2019-03)We consider the fraction of nodes that default in large, stochastic, inhomogeneous financial networks following an initial shock to the system. Results for deterministic sequences of networks are generalized to stochastic ...
Now showing items 1-20 of 46