Research Papers/Topics in Actuarial Science

Application Of Discrete And Continous Time Models In Valuation Of Credit Insurance For Asset-Based Lending Companies

ABSTRACTAsset-based lending companies and other loan providers are exposed to risk of loandefaults by borrowers. To reduce this risk, these companies acquire credit insurance. Thuswhen the borrower defaults in payment, the insurance company covers a percentage of theoutstanding balance which generates a way to lessen and spread credit risk that the lenderincurs. Therefore there are a number of methods put in place such as frequency-serverityand hazard rate models used to value credit insuranc...

Statistical Approach To Prediction Of Financial Distress Of Listed Firms In The Nairobi Securties Exchange

ABSTRACTThis research project examined the phenomenon of bankruptcy prediction from a developing economyperspective using the Altman Z-score models. These models rank among the bankruptcy models,whose main purpose is to detect the impending bankruptcy in good time. Drawing an empiricaldata from audited financial statements of firms listed in Nairobi Security Exchange in Kenya, the authortested Altman original Z-score (1968)and the Emerging Markets (1993) models using the datasetof the years e...

Marshall–Olkin Power Lomax Distribution For Modeling Of Wind Speed Data

Accurate collection of wind speed records is significant for numerous wind power applications. The present investigation aims to highlight the use of the Marshall–Olkin Power Lomax (MOPLx) distribution for wind speed data. We examine the actual wind speed records gathered from three stations Bahawalpur, Gwadar, and Haripur. The dataset is demonstrated by using MOPLx distribution and compare its modeling performance with renowned probability distributions, for example, Weibull– Lomax,...

The Influence Of Microeconomic Variables On Stock Prices Of Companies Listed On Ghana Stock Exchange

ABSTRACTThis study examines the long-run equilibrium relationship and the direction of causality between stock prices at Ghana Stock Exchange (GSE) and a set of five stock market oriented factors technically can be defined as microeconomic variables. The study employs time series data comprising of the stock prices of listed companies for the period spanning from April 1998 to April, 2013 and key microeconomic variables, benchmarks of corporate performance, obtained from the annual financial ...

Analysing The Effects Of Macroeconomic Variables On Inflation In Ghana Using Distributed Lag Models.

The study examines the relation between inflation and some key macroeconomic variables such as money supply, interest rate, exchange rate, and GDP in Ghana. These macroeconomic variables are obtained from the Bank of Ghana spanning through January 1990 to December 2014. Data obtained were on monthly basis. However, it is only the GDP which was an annual data but had been transformed into monthly data. We use the Augmented Dickey-Fuller (ADF) technique; the Granger Cau...

Performance Measurement Of Probability Distributions In Modelling Non-life Insurance Claims

In this thesis, we model non-life insurance claims by using the two-parameter Negative Binomial (NB) and three-parameter Discrete Generalised Pareto (DGP) distributions. Data from National Insurance Commission (NIC) on Reported and Settled Claims counts for the period 2012 - 2016 were considered. The maximum likelihood estimation (MLE) was adopted to fifit Negative Binomial and Discrete Generalised Pareto to the count data. In the latter case, the estimation involved ...

Modelling Asset Returns In A Portfolio Using Ornstein-Uhlenbeck Stochastic Proce

ABSTRACT The study explores the modelling of asset returns in portfolio as a stochastic process which exhibits mean reversion towards the long-term stationary mean. This can be thought of as if an asset return is connected to its long-run mean with a spring which pulls the asset return towards the long-run mean. The study investigates the stochastic nature of two assets returns by use of autoregressive and Ornstein-Uhlenbeck (OU) processes to illustrate the features of the assets weekly...

Statistical Analysis Of The Effect Of Inflation And Exchange Rate On Stock market Returns In Ghana

ABSTRACT The study examined the effect of exchange rate and inflation on stock market returns in Ghana. Monthly inflation and exchange rate data obtained from the Bank of Ghana and monthly market returns computed from the GSE all-share index from January 2000 through to December 2013 was used. The Autoregressive Distributed Lag (ARDL) cointegration technique, the Error correction parametization of the ARDL model and Markov transition probabilities were used in unveiling this dynam...

Effects of Dependent Claims on The Probability of Ruins, The Time to Ruin Given Ruin Occurs

ABSTRACT Ruin basically occurs to an insurance company when the claims paid out supersedes its initial capital and total premiums accumulated. In the classical theory of risk, the surplus is a significant model that deals with how long an insurance company's capital or surplus evolves. The first time ruin occurs is very crucial and the business must try to prevent it from happening again because it makes the business inefficient and inoperable. The time to ruin is so much a function...

Application of BÜHLMANNS-Straub Credibility Theory to Claim Histories of Non-Life Marine Insurers in Ghana

ABSTRACT The study sought to demonstrate how credibility claim costs without the consideration of claim frequency and claim severities underlined by different risk profiles underestimate claim costs or premiums charged policyholders by non-life insurance companies. We used secondary data of non-life marine insurers in Ghana, claim histories that range from the period of 2013 to 2018. The claim histories included claim sizes, claim counts and policy counts. Bühlmans-Straub Credibility ...

Forecasting Mortality Rate And Modelling Longevity Risk of SSNIF Pensioners

ABSTRACT Predicting mortality trend and hedging of longevity risk in recent times has gained attention at a period when life expectancies are increasing unexpectedly. Life insurance companies may make more profit owing to the advancements in technology, hygiene, and medical procedures which leads to decreasing liabilities emanating from payment of reducing death benefit payments. However, longevity improvements may result in losses for annuity insurance schemes such as pensions. The stu...

ASSESSING THE IMPACT OF RISK BASED INSURANCE SUPERVISION METHODOLOGY ON NON-LIFE INSURANCE COMPANIES IN GHANA

ABSTRACTThe purpose of this research is to evaluate how the inception of risk based supervisory approach has influenced the solvency positions of insurers in Ghana. The study considered 20 General Insurance Companies from 2008 – 2018. The main objectives of the study were to generate credibility risk premium values for individual claim experience to be used as an average premium regulator and develop Performance ratio thresholds for the Insurance Industry in Ghana using credibility theories...

A STOCHASTIC ANALYSIS OF INVESTMENT PROSPECTS IN WEST AFRICA: A CASE OF GHANA AND NIGERIA

ABSTRACTThe main aim of this study is to analyse investment prospect in Ghana and Nigeria using rate of inflation, 90-day Treasury bill rate (interest rate) and local currency per US dollar exchange rate. The dataset span from January, 2003 to June, 2014. Stochastic time series analyses (ARIMA and ARCH-type) models were employed in the forecasting of the macroeconomic variables and simple investment accumulation was also employed in the accumulation of investment returns. The results revealed...

On mathematical models for pension fund optimal selection strategies

Pension, being regular payments made to retirees or their beneficiaries after retiring from active service, needs efficient and effective management because of the funds involved as the living standard of the retirees and their dependants rest on it after retirement. In attempt to maximize the wealth of pension contributors, the investors may end up losing the pension fund assets because higher returns on investment go hand in hand with higher risk of loss of invested contributions/savi...

A review of mortality differential

A REVIEW OF MORTALITY DIFFERENTIALS.Abere, OmotayoJohncally([email protected])Department of Actuarial Science & Insurance, University of LagosNigeriaMojekwu, Joseph Nnamdi (Corresponding Author)Department of Actuarial Science & Insurance, University of LagosNigeriaE-mail: [email protected] Abstract.Introduction: Mortality differentials can be described as those determinants or indicators that measure relative differences in the timing of death between different groups. They measure...


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