Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Jean-François Bégin"'
Autor:
Jean-François Bégin
Publikováno v:
Risks, Vol 4, Iss 4, p 46 (2016)
Life insurers are exposed to deflation risk: falling prices could lead to insufficient investment returns, and inflation-indexed protections could make insurers vulnerable to deflation. In this spirit, this paper proposes a market-based methodology f
Externí odkaz:
https://doaj.org/article/eab840cf82a9423cbd2d35991646679e
Autor:
Jean-François Bégin
Publikováno v:
North American Actuarial Journal. :1-28
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ed4244f6f70e45570063d7177bb7be30
https://doi.org/10.1080/10920277.2022.2100425
https://doi.org/10.1080/10920277.2022.2100425
Publikováno v:
Insurance: Mathematics and Economics. 105:293-312
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::81dfdd170efd29fb69d08ad20bdeccc9
https://doi.org/10.1016/j.insmatheco.2022.04.008
https://doi.org/10.1016/j.insmatheco.2022.04.008
Publikováno v:
Management Science. 68:2166-2201
We propose the option realized variance as an observable variable to summarize the information from high-frequency option data. This variable aggregates intraday option returns from midquote prices to compute an option’s total variability for a giv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fd3425c84f5f185d916f23b9d4fcf014
https://doi.org/10.1287/mnsc.2020.3949
https://doi.org/10.1287/mnsc.2020.3949
Autor:
Jean-François Bégin
Publikováno v:
ASTIN Bulletin. 51:779-812
This article proposes a complex economic scenario generator that nests versions of well-known actuarial frameworks. The generator estimation relies on the Bayesian paradigm and accounts for both model and parameter uncertainty via Markov chain Monte
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8e28d69a982b1e0914b4d45dc9eb0d95
https://doi.org/10.1017/asb.2021.21
https://doi.org/10.1017/asb.2021.21
Publikováno v:
North American Actuarial Journal. 26:82-101
Economic scenario generators (ESGs) for equities are important components of the valuation and risk management process of life insurance and pension plans. Because the resulting liabilities are ver...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::87538639fad55bdbd605d4ac872a8fb4
https://doi.org/10.1080/10920277.2020.1837636
https://doi.org/10.1080/10920277.2020.1837636
Publikováno v:
Journal of Computational and Graphical Statistics. 30:452-466
In this study, we develop a deterministic nonlinear filtering algorithm based on a high-dimensional version of Kitagawa (1987) to evaluate the likelihood function of models that allow for stochastic volatility and jumps whose arrival intensity is als
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::35f485c3827e0bea53ca3946de73a3e7
https://doi.org/10.1080/10618600.2020.1840995
https://doi.org/10.1080/10618600.2020.1840995
Publikováno v:
Journal of Pension Economics and Finance. 21:260-293
In collective pension arrangements without a sponsor guarantee, assets and liabilities are commingled, and members' benefits are adjusted to reflect emerging plan experience. Stakeholders pay attention to the fairness of the intergenerational transac
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::923361e932f42e7e49cd16b0246312e5
https://doi.org/10.1017/s1474747220000293
https://doi.org/10.1017/s1474747220000293
Autor:
Jean-François Bégin
Publikováno v:
Insurance: Mathematics and Economics. 94:58-78
In this article, we study intergenerational risk and cost sharing for a variety of collective funded pension plans. Inspired by the literature on contingent claim analysis in pension insurance, we derive time-varying contribution and benefit levels.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1d19ff3cb2a777feaae945add47c0292
https://doi.org/10.1016/j.insmatheco.2020.06.009
https://doi.org/10.1016/j.insmatheco.2020.06.009