Masters Research Reports (Statistics and Actuarial Science)

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Masters Research Reports (Statistics and Actuarial Science)

 

Recent Submissions

  • Optimal asset allocation for South African pension funds under the revised Regulation 28 
    Koegelenberg, Frederik Johannes (Stellenbosch : Stellenbosch University, 2012-03)
    ENGLISH ABSTRACT: On 1 July 2011 the revised version of Regulation 28, which governs the South African pension fund industry with regard to investments, took effect. The new version allows for pension funds to invest ...
  • Calculation aspects of the European Rebalanced Basket Option using Monte Carlo methods 
    Van der Merwe, Carel Johannes (Stellenbosch : University of Stellenbosch, 2010-12)
    ENGLISH ABSTRACT: Life insurance and pension funds offer a wide range of products that are invested in a mix of assets. These portfolios (II), underlying the products, are rebalanced back to predetermined fixed proportions ...
  • Confidence intervals for estimators of welfare indices under complex sampling 
    Kirchoff, Retha (Stellenbosch : University of Stellenbosch, 2010-03-01)
    ENGLISH ABSTRACT: The aim of this study is to obtain estimates and confidence intervals for welfare indices under complex sampling. It begins by looking at sampling in general with specific focus on complex sampling and ...
  • The implementation of noise addition partial least squares 
    Moller, Jurgen Johann (Stellenbosch : University of Stellenbosch, 2009-03)
    When determining the chemical composition of a specimen, traditional laboratory techniques are often both expensive and time consuming. It is therefore preferable to employ more cost effective spectroscopic techniques such ...
  • Aspects of copulas and goodness-of-fit 
    Kpanzou, Tchilabalo Abozou (Stellenbosch : Stellenbosch University, 2008-12)
    The goodness-of- t of a statistical model describes how well it ts a set of observations. Measures of goodness-of- t typically summarize the discrepancy between observed values and the values expected under the model ...
  • 'n Ondersoek na die eindige steekproefgedrag van inferensiemetodes in ekstreemwaarde-teorie 
    Van Deventer, Dewald (Stellenbosch : University of Stellenbosch, 2005-03)
    Extremes are unusual or rare events. However, when such events – for example earthquakes, tidal waves and market crashes - do take place, they typically cause enormous losses, both in terms of human lives and monetary ...
  • Aspects of some exotic options 
    Theron, Nadia (Stellenbosch : University of Stellenbosch, 2007-12)
    The use of options on various stock markets over the world has introduced a unique opportunity for investors to hedge, speculate, create synthetic financial instruments and reduce funding and other costs in their trading ...
  • An analysis of income and poverty in South Africa 
    Malherbe, Jeanine Elizabeth (Stellenbosch : University of Stellenbosch, 2007-03)
    The aim of this study is to assess the welfare of South Africa in terms of poverty and inequality. This is done using the Income and Expenditure Survey (IES) of 2000, released by Statistics South Africa, and reviewing ...
  • Modelling market risk with SAS Risk Dimensions : a step by step implementation 
    Du Toit, Carl (Stellenbosch : University of Stellenbosch, 2005-03)
    Financial institutions invest in financial securities like equities, options and government bonds. Two measures, namely return and risk, are associated with each investment position. Return is a measure of the profit or ...
  • Interest rate model theory with reference to the South African market 
    Van Wijck, Tjaart (Stellenbosch : University of Stellenbosch, 2006-03)
    An overview of modern and historical interest rate model theory is given with the specific aim of derivative pricing. A variety of stochastic interest rate models are discussed within a South African market context. The ...

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