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Citations since 2017
2 Research Items
January 2011 - January 2016
Ernst & Young
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...
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...
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...
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...