Valuation of Indonesian catastrophic earthquake bonds with generalized extreme value (GEV) distribution and Cox-Ingersoll-Ross (CIR) interest rate model

2015 ◽  
Author(s):  
Gunardi ◽  
Ezra Putranda Setiawan
Keyword(s):  
Interest Rate ◽  
Extreme Value ◽  
Rate Model ◽  
Generalized Extreme Value ◽  
Gev Distribution ◽  
Catastrophic Earthquake ◽  
Interest Rate Model

scholarly journals DC Pension Plan with Refund of Contributions under Affine Interest Rate Model

2020 ◽  
pp. 1-16
Author(s):  
Udeme O. Ini ◽  
Obinichi C. Mandah ◽  
Edikan E. Akpanibah
Keyword(s):  
Interest Rate ◽  
Optimal Investment ◽  
Hjb Equation ◽  
Pension Scheme ◽  
Theoretic Approach ◽  
Rate Model ◽  
Risky Assets ◽  
Investment Plan ◽  
Interest Rate Model ◽  
The Impact

This paper studies the optimal investment plan for a pension scheme with refund of contributions, stochastic salary and affine interest rate model. A modified model which allows for refund of contributions to death members’ families is considered. In this model, the fund managers invest in a risk free (treasury) and two risky assets (stock and zero coupon bond) such that the price of the risky assets are modelled by geometric Brownian motions and the risk free interest rate is of affine structure. Using the game theoretic approach, an extended Hamilton Jacobi Bellman (HJB) equation which is a system of non linear PDE is established. Furthermore, the extended HJB equation is then solved by change of variable and variable separation technique to obtain explicit solutions of the optimal investment plan for the three assets using mean variance utility function. Finally, theoretical analyses of the impact of some sensitive parameters on the optimal investment plan are presented.

scholarly journals Estimating changes of temperatures and precipitation extremes in India using the Generalized Extreme Value (GEV) distribution

2018 ◽  
Author(s):  
Kishore Pangaluru ◽  
Isabella Velicogna ◽  
Tyler C. Sutterley ◽  
Yara Mohajerani ◽  
Enrico Ciraci ◽  
...  
Keyword(s):  
Extreme Temperature ◽  
Extreme Value ◽  
Precipitation Extremes ◽  
Temperature Extremes ◽  
Extreme Temperatures ◽  
Return Periods ◽  
Generalized Extreme Value ◽  
Gev Distribution ◽  
Cold Extreme ◽  
Temperature And Precipitation

Abstract. Changes in extreme temperature and precipitation may give some of the largest significant societal and ecological impacts. For changes in the magnitude of extreme temperature and precipitation over India, we used a statistical model of generalized extreme value (GEV) distribution. The GEV statistical distribution is a time-dependent distribution with different time scales of variability bounded by a precipitation, maximum (Tmax), and minimum (Tmin) temperature extremes and also assessed their possibility changes are evaluated and quantified over India is presented. The GEV-based method is applied on both precipitation and temperature extremes over India during the 20th and 21st centuries using multiple coupled climate models taking an interest in the Coupled Model Intercomparison Project Phase 5 (CMIP5) and observational datasets. The regional means of historical warm extreme temperatures are 34.89, 36.42, and 38.14 °C for three different (10, 20, and 50-year) periods, respectively; whereas the cold extreme mean temperatures are 7.75, 4.19, and −1.57 °C. It indicates that 20th century cold extreme temperatures have relatively larger variations than the warm extremes. As for the future, the CMIP5 models of warm extreme regional mean values increase from 0.33 to 0.75 °C in all return periods (10-, 20-, and 50-year periods), while in the case of cold extreme means values vary between 0.58 and 2.29 °C. In the future, cold extreme values have a larger increasing rate over the northwest, northeast, some parts of north-central, and Inter Peninsula regions. The CRU precipitation extremes are larger than the historical extreme precipitation in all three (10, 20, and 50-year) return-periods.

scholarly journals Nonparametric estimation and specification testing of a two-factor interest rate model

2021 ◽  
Author(s):  
Brennan Scott Thompson
Keyword(s):  
Interest Rate ◽  
Nonparametric Estimation ◽  
Rate Model ◽  
Specification Testing ◽  
Interest Rate Model

Nonparametric estimation and specification testing of a two-factor interest rate model

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