Carel van der Merwe

Carel van der Merwe
Stellenbosch University | SUN · Department of Statistics and Acturial Science

PhD, FRM, CFA, PRM

About

4
Publications
178
Reads
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1
Citation
Citations since 2017
2 Research Items
1 Citation
20172018201920202021202220230.00.20.40.60.81.0
20172018201920202021202220230.00.20.40.60.81.0
20172018201920202021202220230.00.20.40.60.81.0
20172018201920202021202220230.00.20.40.60.81.0
Introduction
Skills and Expertise
Additional affiliations
February 2016 - present
Stellenbosch University
Position
  • Lecturer
January 2011 - January 2016
Ernst & Young
Position
  • Consultant
Education
July 2016 - December 2019
Stellenbosch University
Field of study
  • Mathematical Statistics
July 2016 - December 2019
Ghent University
Field of study
  • Economics
January 2016 - December 2016
Professional Risk Managers' International Association
Field of study
  • Financial Risk Management

Publications

Publications (4)
Article
Techniques to visualise and understand large amounts of data are of paramount importance. In most settings, this data is usually multivariate, which further stresses the need for effective visualisation techniques. Multivariate visualisation techniques such as canonical variate analysis (CVA) biplots allow for simultaneous lower-dimensional visuali...
Article
Accounting standards require one to minimize the use of unobservable inputs when calculating fair values of financial assets and liabilities. In emerging markets and less developed countries, zero curves are not as readily observable over the longer term, as data are often more sparse than in developed countries. A proxy for the extended zero curve...
Article
Full-text available
Extra premiums may be charged to a client to guarantee a minimum payout of a contract on a portfolio that gets rebalanced back to fixed proportions on a regular basis. The valuation of this premium can be seen as that of the pricing of a European put option with underlying rebalanced portfolio. This paper finds the most efficient estimators for the...
Article
Full-text available
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 on a regular basis. This is done by selling the better performing assets and buying the worse performing assets. Life insurance...

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