Essays about: "Riskpremier"
Showing result 1 - 5 of 6 essays containing the word Riskpremier.
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1. SUSTAINABLE INVESTMENTS IMPACT ON FINANCIAL PERFORMANCE : A Panel Data Analysis of the Relationship Between ESG Factors and Financial Performance
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : Sustainability is a broad concept where sustainability factors have become more fundamental during the recent years. However, the importance of these factors has not been as central when explaining stock returns. Thus, we perform this study with the aim to investigate the relationship between sustainability factors and financial performance. READ MORE
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2. Bayesian insurance pricing using informative prior estimation techniques
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : Large, well-established insurance companies build statistical pricing models based on customer claim data. Due to their long experience and large amounts of data, they can predict their future expected claim losses accurately. In contrast, small newly formed insurance start-ups do not have access to such data. READ MORE
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3. Risk Premium Prediction of Car Damage Insurance using Artificial Neural Networks and Generalized Linear Models
University essay from KTH/Matematisk statistikAbstract : Over the last few years the interest in statistical learning methods, in particular artificial neural networks, has reawakened due to increasing computing capacity, available data and a strive towards automatization of different tasks. Artificial neural networks have numerous applications, why they appear in various contexts. READ MORE
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4. Risk premia implied by derivative prices
University essay from KTH/Matematisk statistikAbstract : The thesis investigates the potential to recover the real world probabilities of an underlying asset from derivative prices by using the recovery approach developed in (Carr & Yu, 2012) and (Ross, 2011). For this purpose the VIX Index and US Treasury bills are used to recover the VIX dynamics and the short rate dynamics under the real world probability measure. READ MORE
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5. Allocation Methods for Alternative Risk Premia Strategies
University essay from KTH/Matematisk statistikAbstract : We use regime switching and regression tree methods to evaluate performance in the risk premia strategies provided by Deutsche Bank and constructed from U.S. research data from the Fama French library. The regime switching method uses the Baum-Welch algorithm at its core and splits return data into a normal and a turbulent regime. READ MORE