Essays about: "Variance risk premium"

Showing result 1 - 5 of 14 essays containing the words Variance risk premium.

1. 1. Black Box Optimization Framework for Reinsurance of Large Claims

   University essay from Stockholms universitet/Statistiska institutionen

   Author : Sina Mozayyan; [2022]
   Keywords : augmented Lagrangian; constraint optimization by linear interpolation; derivative-free black box optimization; DIRECT L ; evolutionary optimization; NLopt package; mean-variance premium principle; risk management; Solvency II;

   Abstract : A framework for optimization of reinsurance strategy is proposed for an insurance company with several lines of business (LoB), maximizing the Economic Value of purchasing reinsurance. The economic value is defined as the sum of the average ceded loss, the deducted risk premium, and the reduction in the cost of capital. READ MORE

3. 2. The effects of political uncertainty on options: An empirical study of S&P 500, Euro Stoxx 50, and S&P sectors around political events

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Gabriel Wannes; Nihat Anwar; [2021]
   Keywords : Political uncertainty; Options; Implied volatility; Sectors;

   Abstract : We study options spanning political events and examine whether a price premium, associated with the political uncertainty from events, exists. First, we use recent data and replicate parts of Kelly, Pastor, and Veronesi (2016) by analysing how the price risk, variance risk, and tail risk associated with political events, affect equity options on the S&P 500 and Euro Stoxx 50 indices. READ MORE

4. 3. Evaluation of the Variance in the Premium Provision Estimate : Handling Inhomogeneous and Decreasing Risk in Premium Provision Purposes

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Eric Egelius; Anna Methander; [2021]
   Keywords : Premium Provision; Reserves; Insurance; Claim Frequency; Inhomogeneous Risk; Claim Severity; Hidden Fault; Title Transfer Insurance; Premiereserv; Reserv; Försäkring; Skadefrekvens; Inhomogen Risk; Skadekostnad; Dolda Fel; Säljaransvarsförsäkring;

   Abstract : The costs related to events of losses within non-life insurance are stochastic and a prerequisite of running a successful insurance business is to predict risks and future costs. From both a business- and regulatory perspective, it is of high interest to have a genuine understanding of the precision and the sensitivity of the estimated costs and future risks. READ MORE

5. 4. Bank stock return sensitivity to changes in interest rate level and volatility

   University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Author : Filip Bengtsson; Alfred Persson; [2018]
   Keywords : Banks; stock return; interest rates; volatility; GARCH-M;

   Abstract : This paper examines how the level and volatility of interest rates affect the stock return of banks using a GARCH-M model. Data is collected for Swedish and Danish banks stock return and interest rates on monthly basis for the period January 2000 to April 2018. READ MORE

6. 5. Bitcoin: The New Digital Gold?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Kathery Angelica Razo Mendoza; [2018]
   Keywords : Bitcoin; Gold; Digital Gold; Minimum Variance Portfolio; Tangency Portfolio; In-sample and out-sample portfolios.; Business and Economics;

   Abstract : Bitcoin has become a mainstream in the financial world. It has several similarities with Gold as low correlation with stocks, inflation hedge, government decentralization and the no currency attachment. Therefore, the name of the new “Digital Gold”. This study compares Gold and Bitcoin, offered as an alternatives financial assets. READ MORE