Actuarial Science Research Papers/Topics

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 Causality Test Techniqu...

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 two steps. First, th...

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 retur...

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 dynamics. The A...

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 of the ...

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 theory...

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 study in...

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

ABSTRACT The 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 theorie...

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

ABSTRACT The 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 reveale...

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/savings. T...

A review of mortality differential

A REVIEW OF MORTALITY DIFFERENTIALS. Abere, OmotayoJohncally([email protected]) Department of Actuarial Science & Insurance, University of Lagos Nigeria Mojekwu, Joseph Nnamdi (Corresponding Author) Department of Actuarial Science & Insurance, University of Lagos Nigeria E-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 m...

EFFECTS OF FIRM SPECIFIC FACTORS ON NON-LIFE INSURANCE COMPANIES’ PROFITABILITY IN UGANDA; A CASE STUDY OF UGANDA INSURANCE MARKET

This study investigates the effect of firm-specific factors on the profitability of non-life insurance companies operating in Uganda to be more specific, to examine the relationship between profitability and economic factors, firm size, underwriting factor.  For this purpose, secondary data of 21 non-life insurance companies operating in Uganda from the period 2004–2015 were collected from IRA. The data was analyzed using descriptive statistics, coefficient of determination (R2), standard...

INVESTMENT OF PENSION FUNDS IN NIGERIAN BOND MARKET

ABSTRACT Since the Defined Contributory scheme was introduced to replace the Define Benefit scheme in Nigeria, the pension assets in Nigeria has increased annually. The resultant effect of the increase of pension funds implies more responsibility for the Pension fund administrators to shoulder. Pension fund administrators regulated by the National Pension Commission were established to handle the investment of pension assets. The Nigerian bond market is an avenue for the investment of pensio...

Assessing the Awareness Level of Actuarial Science Among Staff and Students of Nigerian Universities: A Study of University of Jos.

With its recent introduction as a course of study in the University of Jos, the number of students applying to study actuarial science in the University remains dismally low. This study was designed to assess the awareness level of actuarial science in the University of Jos community. Primary dataobtained with a semi-structured questionnaire administered on 280 respondents comprising academic and non-academic staff and students was analyzed using Descriptive statistical techniques. The study...

PORTFOLIO OPTIMIZATION OF SMALL ENTERPRISES AGAINST ADVERSE CHANGES IN INTEREST RATE

PORTFOLIO OPTIMIZATION OF SMALL ENTERPRISES AGAINST ADVERSE CHANGES IN INTEREST RATE TABLE OF CONTENTSDECLARATION...........................................................................................................iiiACKNOWLEDGEMENT............................................................................................................iiii DEDICATION.............................................................................................................................iiiv LIST O...


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