Browsing Research Articles (Statistics and Actuarial Science) by Title
Now showing items 3-22 of 29
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Calculation aspects of the European rebalanced basket option using Monte Carlo methods : valuation
(Operations Research Society of South Africa, 2012)Extra premiums can be charged to a client to guarantee a minimum payout of a contract on a portfolio that gets rebalanced on a regular basis back to fixed proportions. The valuation of this premium can be changed to that ... -
Catastrophe modelling : deriving the 1-in-200 year mortality shock for a South African insurer’s capital requirements under solvency assessment management
(Actuarial Society of South Africa, 2015)This paper investigates catastrophe risk for South African life insurers by considering the additional deaths that could arise from a 1-in-200 year mortality shock. Existing South African academic research on catastrophic ... -
Changes in mortality of people living with HIV in South Africa and their potential implications for life assurers
(Actuarial Society of South Africa, 2016)This research investigates the impact of improved (and improving) mortality experience in South Africa as a result of the increased (and increasing) access to antiretroviral treatment on South African life assurers, the ... -
An easy and low cost option for economic statistical process control using Excel
(Operations Research Society of South Africa, 2009)ENGLISH SUMMARY : In this paper, a user-friendly, Excel program is developed to search for the optimal values of the parameters in minimizing the total cost function in both economic and economic statistical designs of the ... -
Equity- and entity-based multiples in emerging markets : evidence from the JSE Securities Exchange
(Clute Institute, 2013-05)Analysts typically distinguish between equity- and entity-based approaches when employing the free cash flow model to perform equity valuations. However, when multiples are used to perform equity valuations, analysts ... -
Extending a scatterplot for displaying group structure in multivariate data : a case study
(Operations Research Society of South Africa, 2005)ENGLISH SUMMARY : The power of canonical variate analysis (CVA) biplots, when regarded as extensions of or- dinary scatterplots to describe variation and group structure in multivariate observations, is demonstrated by ... -
Fermentation-derived aroma compounds in varietal young wines from South Africa
(SASEV, 2010-09)The volatile composition of 925 single cultivar young Sauvignon blanc, Chardonnay, Pinotage, Merlot, Shiraz and Cabernet Sauvignon wines of vintages 2005 to 2007, was determined using gas chromatography-flame ionisation ... -
Flexible graphical assessment of experimental designs in R : the vdg package
(Foundation for Open Access Statistics, 2016-10)The R package vdg provides a flexible interface for producing various graphical summaries of the prediction variance associated with specific linear model specifications and experimental designs. These methods include ... -
Historic bells in Moravian Missions in South Africa's Western Cape
(Historical Association of South Africa, 2014-11)The Moravian Church was the first denomination to begin with missionary work among the indigenous people in South Africa and today the church still has a very strong presence in the country. After opening their first mission ... -
Host markers in Quantiferon supernatants differentiate active TB from latent TB infection : preliminary report
(BioMed Central, 2009-05)Background: Interferon gamma release assays, including the QuantiFERON® TB Gold In Tube (QFT) have been shown to be accurate in diagnosing Mycobacterium tuberculosis infection. These assays however, do not discriminate ... -
Identifying secondary series for stepwise common singular spectrum analysis
(Operations Research Society of South Africa, 2013)Common singular spectrum analysis is a technique which can be used to forecast a primary time series by using the information from a secondary series. Not all secondary series, however, provide useful information. A first ... -
The impact of behavioural economics and finance on retirement provision
(Actuarial Society of South Africa, 2016)The significant shift from defined benefit to defined contribution retirement funds in South Africa has led to many fund members bearing responsibility for a range of risks. Many of these risks, such as those related to ... -
The impact of industry classification on the valuation accuracy of multiples in the South African capital market
(The Clute Institute, 2013-01)Although multiples are used extensively in practice, empirical guidance in emerging markets is limited in this regard. In terms of valuation accuracy, the impact of peer group selection by way of industry classification ... -
Interpretable multi-label classification by means of multivariate linear regression
(South African Statistical Association, 2019)In this paper, the potential of using a multivariate regression approach in order to obtain interpretable output in a multi-label classification problem is investigated. We focus in our analysis on extensions of ordinary ... -
Monitoring gender remuneration inequalities in academia using biplots
(Operations Research Society of South Africa, 2008)ENGLISH SUMMARY : Gender remuneration inequalities at universities have been studied in various parts of the world. In South Africa, the responsibility largely rests with individual higher education institutions to establish ... -
Obsessive-compulsive disorder and trichotillomania : a phenomenological comparison
(BioMed Central, 2005-01)Background: Similarities between obsessive-compulsive disorder (OCD) and trichotillomania (TTM) have been widely recognized. Nevertheless, there is evidence of important differences between these two disorders. Some authors ... -
Plasma sarcosine does not distinguish early and advanced stages of prostate cancer
(Health and Medical Publishing Group (HMPG), 2012-08)Introduction. Diagnosis of prostate cancer by prostate specific antigen (PSA) is error-prone and cannot distinguish benign prostatic hyperplasia (BPH) from malignant disease, nor identify aggressive and indolent types. ... -
Precision, consistency and bias in emerging equity markets
(International Foundation for Research & Development, 2014-05)The use of multiples is a popular approach employed by analysts to perform valuations. These multiples are based on optimal value drivers, the valuation performance of which should be underpinned by empirical findings from ... -
Quantification of estimation instability and its application to threshold selection in extremes
(South African Statistical Association, 2015-03) -
A realised volatility measurement using quadratic variation and dealing with microstructure effects
(Operations Research Society of South Africa, 2006)ENGLISH SUMMARY : A volatility measurement that overcomes the respective problems encountered when implementing the realised and Discrete Sine Transform volatility measurements is defined and discussed in this paper. First ...
