Small basket equities financing is the bread and butter of hedge fund financing businesses. The collapse of Archegos Capital Management and the losses of its lending banks incurred in early 2021 are timely reminders of how challenging it is for banks to price and risk manage hedge fund transactions. This article develops an equity portfolio financing haircut model that gives credit analysts flexibility when assessing borrower credit quality given hedge funds’ operational opacity and lack of market traded credit products. Recent historical data are used to estimate the Black-Karasinski credit model and double-exponential jump-diffusion asset price model per stock. Computational results for a basket of four Archegos holding stocks show sensible haircuts and haircut diversification effect. A bank opting to trade at less favorable haircut levels could price in higher economic capital charge to compensate and use that to incentivize its funding unit.
小篮子股票融资是对冲基金融资业务的主要内容。Archegos Capital Management的倒闭及其贷款银行在2021年初发生的亏损及时提醒人们，银行对对冲基金交易进行定价和风险管理是多么具有挑战性。本文开发了一个股权投资组合融资减记模型，在对冲基金运营不透明和缺乏市场交易信贷产品的情况下，该模型使信贷分析师在评估借款人信贷质量时具有灵活性。利用最近的历史数据对Black-Karasinski信用模型和双指数跳跃-扩散资产价格模型进行了估计。计算结果表明，一篮子4只Archegos持有的股票具有明显的减记效应和减记分散效应。选择以不太有利的减记水平进行交易的银行，可以在价格中计入更高的经济资本支出，以弥补损失，并利用这一点来激励其融资部门。
{"title":"A Model for Small Basket Equities Financing","authors":"W. Lou","doi":"10.2139/ssrn.3917574","DOIUrl":"https://doi.org/10.2139/ssrn.3917574","url":null,"abstract":"Small basket equities financing is the bread and butter of hedge fund financing businesses. The collapse of Archegos Capital Management and the losses of its lending banks incurred in early 2021 are timely reminders of how challenging it is for banks to price and risk manage hedge fund transactions. This article develops an equity portfolio financing haircut model that gives credit analysts flexibility when assessing borrower credit quality given hedge funds’ operational opacity and lack of market traded credit products. Recent historical data are used to estimate the Black-Karasinski credit model and double-exponential jump-diffusion asset price model per stock. Computational results for a basket of four Archegos holding stocks show sensible haircuts and haircut diversification effect. A bank opting to trade at less favorable haircut levels could price in higher economic capital charge to compensate and use that to incentivize its funding unit.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125514897","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-10DOI: 10.47992/ijcsbe.2581.6942.0119
Sonia Lobo, Ganesh Bhat.S
Purpose: Over the last two decades, globalization and technology advancements in financial markets have resulted in a surge of individual investors, granting them improved access to the financial markets. However, the large range of investment avenues available makes the investors’ decision-making process more complex. To make investors’ lives easier, a stockbroker functions as a liaison between the investor and the stock exchange, allowing them to make more precise investment decisions that are more advantageous for them. Motilal Oswal Financial Services Ltd (MOFSL) is the leading stockbroker firm that offers a wide range of financial services and is the popular choice among Indian investors. To attract new clients and retain the trust of existing customers, the firm needs to maintain a good financial track record. The investment advisor’s financial performance helps to a large measure in determining the firm’s overall financial health. This paper attempts to analyze the financial performance of Motilal Oswal Financial Services Ltd, for the past three fiscal years i.e., 2018-19, 2019-20, and 2020-21. Design/Methodology/Approach: The technique of ratio analysis has been adopted to assess the financial performance of MOFSL using secondary data. Also, the correlation between profitability and efficiency of MOFSL was examined using Pearson correlation. Moreover, SWOC analysis is performed to gain a better understanding of the company’s strategic position. Findings/Result: The interpretation of the ratios calculated, given a favorable impression of the financial status of the company and the tested hypothesis of correlation significance has discoursed that there is no significant correlation between profitability and efficiency of MOFSL. Further, the result of the SWOC investigation has offered new insights into the business. It can be concluded from the study that in the FY 2020-21, the company has outperformed in terms of profitability, liquidity, solvency, and efficiency ratios. Originality/Value: To acknowledge MOFSL’s growing popularity in the financial services industry, research was conducted in which the company’s financial performance was evaluated using four key financial indicators: profitability, liquidity, solvency, and efficiency ratios. Paper Type: A case study analysis based on empirical data.
{"title":"Financial Performance Analysis of Motilal Oswal Financial Services Ltd (MOFSL)","authors":"Sonia Lobo, Ganesh Bhat.S","doi":"10.47992/ijcsbe.2581.6942.0119","DOIUrl":"https://doi.org/10.47992/ijcsbe.2581.6942.0119","url":null,"abstract":"Purpose: Over the last two decades, globalization and technology advancements in financial markets have resulted in a surge of individual investors, granting them improved access to the financial markets. However, the large range of investment avenues available makes the investors’ decision-making process more complex. To make investors’ lives easier, a stockbroker functions as a liaison between the investor and the stock exchange, allowing them to make more precise investment decisions that are more advantageous for them. Motilal Oswal Financial Services Ltd (MOFSL) is the leading stockbroker firm that offers a wide range of financial services and is the popular choice among Indian investors. To attract new clients and retain the trust of existing customers, the firm needs to maintain a good financial track record. The investment advisor’s financial performance helps to a large measure in determining the firm’s overall financial health. This paper attempts to analyze the financial performance of Motilal Oswal Financial Services Ltd, for the past three fiscal years i.e., 2018-19, 2019-20, and 2020-21.\u0000Design/Methodology/Approach: The technique of ratio analysis has been adopted to assess the financial performance of MOFSL using secondary data. Also, the correlation between profitability and efficiency of MOFSL was examined using Pearson correlation. Moreover, SWOC analysis is performed to gain a better understanding of the company’s strategic position. \u0000Findings/Result: The interpretation of the ratios calculated, given a favorable impression of the financial status of the company and the tested hypothesis of correlation significance has discoursed that there is no significant correlation between profitability and efficiency of MOFSL. Further, the result of the SWOC investigation has offered new insights into the business. It can be concluded from the study that in the FY 2020-21, the company has outperformed in terms of profitability, liquidity, solvency, and efficiency ratios. \u0000Originality/Value: To acknowledge MOFSL’s growing popularity in the financial services industry, research was conducted in which the company’s financial performance was evaluated using four key financial indicators: profitability, liquidity, solvency, and efficiency ratios.\u0000Paper Type: A case study analysis based on empirical data.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128365030","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
For cross-border valuation to be consistent with the International CAPM (ICAPM), translating projected cash flows across currencies should account for a currency risk premium and the economic interaction between uncertain cash flows and uncertain exchange rates. The conventional translation method ignores these items. This study proposes a translation method that is consistent with the ICAPM, given the constant perpetual growth model of valuation. Using empirical data, the study illustrates the conventional translation method’s potentially substantial valuation error if the ICAPM describes the risk-return trade-off in financial markets.
{"title":"Cross-Border Valuation Using the International CAPM and the Constant Perpetual Growth Model","authors":"Thomas J. O'Brien","doi":"10.2139/ssrn.3429404","DOIUrl":"https://doi.org/10.2139/ssrn.3429404","url":null,"abstract":"For cross-border valuation to be consistent with the International CAPM (ICAPM), translating projected cash flows across currencies should account for a currency risk premium and the economic interaction between uncertain cash flows and uncertain exchange rates. The conventional translation method ignores these items. This study proposes a translation method that is consistent with the ICAPM, given the constant perpetual growth model of valuation. Using empirical data, the study illustrates the conventional translation method’s potentially substantial valuation error if the ICAPM describes the risk-return trade-off in financial markets.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115565000","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study has done based on the financial analysis of Tesla, inc. to understand its financial position throughout the year 2017 to 2020. The fundamental purpose of this report is to gain some proficient knowledge about ratio analysis through which how the company is performing within the industry could be understood. Data has been collected through Yahoo Finance and using those data, five different ratios, namely, profitability, liquidity, activity, cash-flow, debt ratio, have been performed. Concerning entire factors, this report is mainly supported by concise recommendations, which could be helpful for stakeholders of this company.
{"title":"Financial Analysis of Tesla","authors":"Amal Almenhali, Huda Alhajeri, Huda Almansoori, Nafeja Aljneibi, Nora Almansoori, Nouf Alsulaity, Yousuf Mohammed, Haitham Nobanee","doi":"10.2139/ssrn.3896901","DOIUrl":"https://doi.org/10.2139/ssrn.3896901","url":null,"abstract":"This study has done based on the financial analysis of Tesla, inc. to understand its financial position throughout the year 2017 to 2020. The fundamental purpose of this report is to gain some proficient knowledge about ratio analysis through which how the company is performing within the industry could be understood. Data has been collected through Yahoo Finance and using those data, five different ratios, namely, profitability, liquidity, activity, cash-flow, debt ratio, have been performed. Concerning entire factors, this report is mainly supported by concise recommendations, which could be helpful for stakeholders of this company.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134559090","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Amid the recent developments regarding the Johnson & Johnson vaccination pause and investigation, an opportunity was created to observe and analyze the financial changes to the company's profile that had taken place as a result of the incident, to understand the impacts and effects of the decisions taken by the firm and previous occurrences and scandals impacted the company and the effectiveness of the mitigation efforts the firm has utilized. This paper analyzes the financial profile of the American pharmaceutical giant Johnson and Johnson from 2017 to the present and addresses the company's performance in light of the various turbulences experienced in the hope of providing a solid view on whether to recommend advice against investing in the company.
{"title":"Financial Analysis of Johnson & Johnson in Light of the COVID-19 Vaccination Research Developments","authors":"Khalifa Alhosnai, Kaushang Kharbanda, Hessa Saeed Almazrouei, Asma Ibrahim Alzaabi, Wafaa Aldhanhani, Souhail Mostafa, Shaima Mohamed Alhajiri, Haitham Nobanee","doi":"10.2139/ssrn.3896177","DOIUrl":"https://doi.org/10.2139/ssrn.3896177","url":null,"abstract":"Amid the recent developments regarding the Johnson & Johnson vaccination pause and investigation, an opportunity was created to observe and analyze the financial changes to the company's profile that had taken place as a result of the incident, to understand the impacts and effects of the decisions taken by the firm and previous occurrences and scandals impacted the company and the effectiveness of the mitigation efforts the firm has utilized. This paper analyzes the financial profile of the American pharmaceutical giant Johnson and Johnson from 2017 to the present and addresses the company's performance in light of the various turbulences experienced in the hope of providing a solid view on whether to recommend advice against investing in the company.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117184937","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Easa Alali, Nouf Alhammadi, Mai Saif Almarar, Shamsa Almheiri, Fatima Almarar, Moza Almarar, Latifa Khamis Alremaithi, Haitham Nobanee
The report analyses the financial performance of Moderna Inc for the past four years. Moderna Inc is a biotechnological company that focuses on the development of vaccines using messenger ribonucleic acid (mRNA) technology. The study collected data about the company from secondary sources which are Yahoo Finance and Nasdaq websites. The report analyzed the financial performance of the company by computing profitability ratios, cash flow ratios, leverage ratios, and liquidity ratios. The study concluded by giving recommendations on what the company can do to improve its financial performance in the future.
{"title":"Financial Analysis and Performance Evaluation of Moderna","authors":"Easa Alali, Nouf Alhammadi, Mai Saif Almarar, Shamsa Almheiri, Fatima Almarar, Moza Almarar, Latifa Khamis Alremaithi, Haitham Nobanee","doi":"10.2139/ssrn.3896199","DOIUrl":"https://doi.org/10.2139/ssrn.3896199","url":null,"abstract":"The report analyses the financial performance of Moderna Inc for the past four years. Moderna Inc is a biotechnological company that focuses on the development of vaccines using messenger ribonucleic acid (mRNA) technology. The study collected data about the company from secondary sources which are Yahoo Finance and Nasdaq websites. The report analyzed the financial performance of the company by computing profitability ratios, cash flow ratios, leverage ratios, and liquidity ratios. The study concluded by giving recommendations on what the company can do to improve its financial performance in the future.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133094266","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The paper discusses and analyzes the EMAAR Properties’ financial performance over the past four years between 2017 and 2020, with the use of financial ratios. EMAAR Properties are one of the largest multinational construction companies in the UAE, which earned worldwide fame for the construction of the world's biggest shopping and entertainment centers (Emaar Properties, n.d.). In this case, all the financial ratios are gathered from the annual balance sheet, income, and cash flow statements of the company from Reuters.com to understand how EMAAR Properties has developed from 2017 to 2020. The report shows the points where the company achieved success and points where it needs improvements.
{"title":"Financial Analysis of Emaar Properties","authors":"Abdulla Alneyadi, Alyazi Almansoori, Bakheet Almansoori, Maryam Alhefeiti, Khuzama Alseiari, Shamma Almazrouie, Sultana Almansoori, Haitham Nobanee","doi":"10.2139/ssrn.3895784","DOIUrl":"https://doi.org/10.2139/ssrn.3895784","url":null,"abstract":"The paper discusses and analyzes the EMAAR Properties’ financial performance over the past four years between 2017 and 2020, with the use of financial ratios. EMAAR Properties are one of the largest multinational construction companies in the UAE, which earned worldwide fame for the construction of the world's biggest shopping and entertainment centers (Emaar Properties, n.d.). In this case, all the financial ratios are gathered from the annual balance sheet, income, and cash flow statements of the company from Reuters.com to understand how EMAAR Properties has developed from 2017 to 2020. The report shows the points where the company achieved success and points where it needs improvements.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"130 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123809764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Rashed Al Mheiri, Nasser Al Hosani, E. Saif, Haitham Nobanee
Apple Inc. is a technology company that has established itself as a market leader in the technology industry over the years. After conducting numerous financial ratios, it is evident that the company has achieved its success by efficiently utilizing its assets and equity. Financial ratios analysis was undertaken using data downloaded from Yahoo Finance. All financial ratios were computed over four years between 2016 and 2020. The results were then recorded in a table and a line graph showing the trend line plotted. Through liquidity ratio analysis, this report determined that the company is financially healthy and has the ability to meet its short-term obligations with ease. The company has also succeeded in creating value for the shareholders by having a positive and growing return on investment. The company’s activity ratios depict how it turns its stocks quickly and efficiently into cash. On the other hand, an analysis of the company’s debt ratios indicates that the company does not rely heavily on debt to finance its operations.
{"title":"Ratio Analysis of Apple","authors":"Rashed Al Mheiri, Nasser Al Hosani, E. Saif, Haitham Nobanee","doi":"10.2139/ssrn.3895231","DOIUrl":"https://doi.org/10.2139/ssrn.3895231","url":null,"abstract":"Apple Inc. is a technology company that has established itself as a market leader in the technology industry over the years. After conducting numerous financial ratios, it is evident that the company has achieved its success by efficiently utilizing its assets and equity. Financial ratios analysis was undertaken using data downloaded from Yahoo Finance. All financial ratios were computed over four years between 2016 and 2020. The results were then recorded in a table and a line graph showing the trend line plotted. Through liquidity ratio analysis, this report determined that the company is financially healthy and has the ability to meet its short-term obligations with ease. The company has also succeeded in creating value for the shareholders by having a positive and growing return on investment. The company’s activity ratios depict how it turns its stocks quickly and efficiently into cash. On the other hand, an analysis of the company’s debt ratios indicates that the company does not rely heavily on debt to finance its operations.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128215583","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Khuloud Al Ghanem, Nashwa Al Qubaisi, Hidayah Al Zaabi, Latifa Al Dhahmani, Ahood Al Naqbi, Hind Al Dhanhani, Fatima Al Shamisi, Haitham Nobanee
The business under our conversation is AstraZeneca Oxford is a British global pharma industry, it was established in April 1999, the settlement is in Cambridge, UK. It is the Pharma fabricating industry that produces distinctive live-saving medications to the world. They work on medication for the treatment of oncology and Biopharmaceuticals. An analysis tool that is used to analyze the organizations through quantitative method for gaining understanding into an organization’s liquidity, operational viability, and usefulness by thinking about its financial reports, for instance, the money-related record and pays explanation. Proportion examination is an establishment of essential value investigation. Monetary financial backers and investigators use proportion examination to assess the strength of associations by exploring past and current yearly reports. Current data can show how an organization is performing as time goes on and can be used to assess likely future execution. This data can in like manner contrast an organization's money-related execution and industry midpoints while assessing how an organization heaps confronting others inside a comparative area.
{"title":"Financial Analysis of AstraZeneca","authors":"Khuloud Al Ghanem, Nashwa Al Qubaisi, Hidayah Al Zaabi, Latifa Al Dhahmani, Ahood Al Naqbi, Hind Al Dhanhani, Fatima Al Shamisi, Haitham Nobanee","doi":"10.2139/ssrn.3895292","DOIUrl":"https://doi.org/10.2139/ssrn.3895292","url":null,"abstract":"The business under our conversation is AstraZeneca Oxford is a British global pharma industry, it was established in April 1999, the settlement is in Cambridge, UK. It is the Pharma fabricating industry that produces distinctive live-saving medications to the world. They work on medication for the treatment of oncology and Biopharmaceuticals. An analysis tool that is used to analyze the organizations through quantitative method for gaining understanding into an organization’s liquidity, operational viability, and usefulness by thinking about its financial reports, for instance, the money-related record and pays explanation. Proportion examination is an establishment of essential value investigation. Monetary financial backers and investigators use proportion examination to assess the strength of associations by exploring past and current yearly reports. Current data can show how an organization is performing as time goes on and can be used to assess likely future execution. This data can in like manner contrast an organization's money-related execution and industry midpoints while assessing how an organization heaps confronting others inside a comparative area.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131816026","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The aim of this manuscript is to provide the mathematical and statistical foundations of actuarial learning. This is key to most actuarial tasks like insurance pricing, product development, claims reserving and risk management. The basic approach to these tasks is regression modeling. This manuscript describes the exponential dispersion family which is the most commonly used family of distributions in actuarial modeling. It discusses model fitting and parameter estimation using classical tools from mathematical statistics. It then introduces the crucial tools for prediction and forecast evaluation. Based on these statistical concepts various regression models are studied such as generalized linear models, mixture models and neural network regression models. We explore these modeling approaches from a theoretical and a practical viewpoint on publicly available data and we discuss their applications to insurance modeling. This involves model fitting using Fisher's scoring method, gradient descent algorithms or the expectation-maximization algorithm, model selection, parameter selection, regularization, etc.
{"title":"Statistical Foundations of Actuarial Learning and its Applications","authors":"Mario V. Wuthrich, M. Merz","doi":"10.2139/ssrn.3822407","DOIUrl":"https://doi.org/10.2139/ssrn.3822407","url":null,"abstract":"The aim of this manuscript is to provide the mathematical and statistical foundations of actuarial learning. This is key to most actuarial tasks like insurance pricing, product development, claims reserving and risk management. The basic approach to these tasks is regression modeling. This manuscript describes the exponential dispersion family which is the most commonly used family of distributions in actuarial modeling. It discusses model fitting and parameter estimation using classical tools from mathematical statistics. It then introduces the crucial tools for prediction and forecast evaluation. Based on these statistical concepts various regression models are studied such as generalized linear models, mixture models and neural network regression models. We explore these modeling approaches from a theoretical and a practical viewpoint on publicly available data and we discuss their applications to insurance modeling. This involves model fitting using Fisher's scoring method, gradient descent algorithms or the expectation-maximization algorithm, model selection, parameter selection, regularization, etc.","PeriodicalId":208149,"journal":{"name":"Finance Educator: Courses","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115119681","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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