Mathematical and Statistical Methods for Actuarial Sciences and Finance
164 M. La Rocca and D. Vistocco Following Horst et al. [12], we distinguish three types of style models: i. weak style analysis: ...
Robust estimation of style analysis coefficients 165 2 Sharpe-style regression model The Sharpe-style analysis model regresses p ...
166 M. La Rocca and D. Vistocco In the classical approach, portfolio style is determined by estimating the influence of style ex ...
Robust estimation of style analysis coefficients 167 both in the constituent series (inX) and in the portfolio returns (inY). Th ...
168 M. La Rocca and D. Vistocco Fig. 1.Comparison of the least-squares (LS) estimators and of the median estimators through quan ...
Robust estimation of style analysis coefficients 169 Fig. 2.Comparison of the median estimators through quantile regression (QR) ...
170 M. La Rocca and D. Vistocco technique allows a simple extension toward L-estimators (defined as weighted linear combinations ...
Robust estimation of style analysis coefficients 171 Attardi, L., Vistocco, D.: Comparing financial portfolio style through qua ...
172 M. La Rocca and D. Vistocco Sharpe, W.: Determining a fund’s effective asset mix. Invest. Man. Rev. 2, 59–69 (1998) Wickham ...
Managing demographic risk in enhanced pensions Susanna Levantesi and Massimiliano Menzietti Abstract.This paper deals with demog ...
174 S. Levantesi and M. Menzietti level. Section 5 deals with the profit analysis of the portfolio according to the profit profi ...
Managing demographic risk in enhanced pensions 175 the Italian Life-Table SIM-1999. Actives’ mortalityμ 13 (t)is approximated by ...
176 S. Levantesi and M. Menzietti 4 A risk theory model Demographic risk analysis is carried out on a portfolio of EPs withNi(t) ...
Managing demographic risk in enhanced pensions 177 distribution. We calculate RBC requirements with different time horizons and ...
178 S. Levantesi and M. Menzietti whileYI( 0 ,T)= ∑T t= 1 Y I(t)vρ( 0 ,t)andYP( 0 ,T)=∑T t= 1 Y P(t)vρ( 0 ,t)are the present val ...
Managing demographic risk in enhanced pensions 179 Ta b le 2 .Moments ofu(t)and the finite time ruin probability with initial ca ...
180 S. Levantesi and M. Menzietti Fig. 2.Expected value of annual insurance and patrimonial profit with safety loading = 10% red ...
Managing demographic risk in enhanced pensions 181 Ta b le 5 .Moments ofu(t)and the finite time ruin probability with initial ca ...
182 S. Levantesi and M. Menzietti Ta b le 8. Present value of future profits as ratio to total single premium income, Y( 0 ,T)/( ...
Clustering mutual funds by return and risk levels Francesco Lisi and Edoardo Otranto Abstract.Mutual funds classifications, ofte ...
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