Poisson Incorporated Credibility Regression Modelling of Systematic Mortality Risk for Populations with Finite Data

By muchela on Mon, 03/13/2023 - 14:44

Abstract

This study considered the modeling of systematic mortality risk for populations with finite data using the Poisson incorporated Credibility regression model. For novelty, we have included the credibility regression approach to modelling mortality by assuming the number of annual deaths follow a Poisson distribution. Our model shows improvement in precision levels when estimating mortality risk compared to classical models used in European countries.

Estimating Value at Risk (VaR) and Expected Shortfall Using Normal Weighted Inverse Gaussian Distributions

By muchela on Mon, 03/13/2023 - 14:32

Abstract

This study calculates the VaR for Normal Weighted Inverse Gaussian (NWIG) distributions. Value at Risk (VaR) and Expected Shortfall (ES) is commonly used measures of potential risk for losses in financial markets. The Normal Inverse Gaussian (NIG) distribution, a particular instance of the Generalized Hyperbolic Distribution (GHD), is widely utilised in literature when discussing VaR and ES. However, there are additional specific situations of GHD called Normal Inverse Gaussian Related Distributions that can be used.

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