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4681 results in Mathematical finance

Page 19 of 235

  • PES volume 36 issue 2 Cover and Back matter

  • Journal:
    Probability in the Engineering and Informational Sciences / Volume 36 / Issue 2 / April 2022
    Published online by Cambridge University Press:
    06 April 2022, pp. b1-b2
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  • PES volume 36 issue 2 Cover and Front matter

  • Journal:
    Probability in the Engineering and Informational Sciences / Volume 36 / Issue 2 / April 2022
    Published online by Cambridge University Press:
    06 April 2022, pp. f1-f2
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  • Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion

  • Eric C. K. Cheung, Haibo Liu
  • Journal:
    Probability in the Engineering and Informational Sciences / Volume 37 / Issue 2 / April 2023
    Published online by Cambridge University Press:
    31 March 2022, pp. 387-417
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  • This paper studies a generalization of the Gerber-Shiu expected discounted penalty function [Gerber and Shiu (1998). On the time value of ruin. North American Actuarial Journal 2(1): 48–72] in the context of the perturbed compound Poisson insurance risk model, where the moments of the total discounted claims and the discounted small fluctuations (arising from the Brownian motion) until ruin are also included. In particular, the latter quantity is represented by a stochastic integral and has never been analyzed in the literature to the best of our knowledge. Recursive integro-differential equations satisfied by our generalized Gerber-Shiu function are derived, and these are transformed to defective renewal equations where the components are identified. Explicit solutions are given when the individual claim amounts are distributed as a combination of exponentials. Numerical illustrations are provided, including the computation of the covariance between discounted claims and discounted perturbation until ruin.

  • Climate scenario analysis: An illustration of potential long-term economic & financial market impacts

  • Luca Bongiorno, Andrew Claringbold, Lisa Eichler, Claire Jones, Bert Kramer, Louise Pryor, Nick Spencer
  • Journal:
    British Actuarial Journal / Volume 27 / 2022
    Published online by Cambridge University Press:
    30 March 2022, e7
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  • This paper illustrates the potential impacts of climate change on financial markets, focusing on their long-term significance. It uses a top-down modelling tool developed by Ortec Finance in partnership with Cambridge Econometrics that combines climate science with macro-economic and financial effects to examine the possible impacts of three plausible (not extreme) climate pathways. The paper first considers the impact on gross domestic product (GDP), finding that GDP is lower in all three pathways, with the most severe reduction in the Failed Transition Pathway where the Paris Agreement climate targets are not met. The model then translates these GDP impacts into financial market effects. In the Failed Transition Pathway, cumulative global equity returns are approximately 50% lower over the period 2020–2060 than in the climate-uninformed base case. For the other two pathways where the Paris Agreement targets are met, the corresponding figures are 15% and 25% lower returns than in the base case. Results are provided for other asset classes too. These demonstrate that climate change represents a significant market risk, with implications for financial planning, modelling and regulation.

Page 19 of 235