Modeling Excess Mortality and Interest Rates using Mixed Fractional Brownian Motions
Fuente:
arXiv
Saved in:
| Main Authors: | Zhou, Kenneth Q., Zhou, Hongjuan |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Mortality Heterogeneity and Actuarial Fairness in China's Notional Defined Contribution Pension System
by: Dong, Xiaoyu, et al.
Published: (2026)
by: Dong, Xiaoyu, et al.
Published: (2026)
A note on Refracted Skew Brownian Motion with an application
by: Ahmadi, Zaniar, et al.
Published: (2024)
by: Ahmadi, Zaniar, et al.
Published: (2024)
A Natural Hedging Framework for Longevity Risk with Graphical Risk Assessment
by: Gabric, Lydia J., et al.
Published: (2025)
by: Gabric, Lydia J., et al.
Published: (2025)
A new paradigm of mortality modeling via individual vitality dynamics
by: Zhu, Xiaobai, et al.
Published: (2024)
by: Zhu, Xiaobai, et al.
Published: (2024)
Adaptive Money Market Interest Rate Strategy Utilizing Control Theory
by: Boneh, Yuval
Published: (2024)
by: Boneh, Yuval
Published: (2024)
DeFi Liquidation Risk Modeling Using Geometric Brownian Motion
by: Belenko, Timofei, et al.
Published: (2025)
by: Belenko, Timofei, et al.
Published: (2025)
Zero-Shot Forecasting Mortality Rates: A Global Study
by: Petnehazi, Gabor, et al.
Published: (2025)
by: Petnehazi, Gabor, et al.
Published: (2025)
Hybrid Hidden Markov Model for Modeling Equity Excess Growth Rate Dynamics: A Discrete-State Approach with Jump-Diffusion
by: Alswaidan, Abdulrahman, et al.
Published: (2026)
by: Alswaidan, Abdulrahman, et al.
Published: (2026)
Static Hedging of Freight Rate Risk in the Shipping Market under Model Uncertainty
by: Papayiannis, Georgios I.
Published: (2022)
by: Papayiannis, Georgios I.
Published: (2022)
Systemic risk measures with markets volatility
by: Sun, Fei, et al.
Published: (2018)
by: Sun, Fei, et al.
Published: (2018)
Optimal Abatement Schedules for Excess Carbon Emissions Towards a Net-Zero Target
by: Albrecher, Hansjoerg, et al.
Published: (2026)
by: Albrecher, Hansjoerg, et al.
Published: (2026)
Extreme-case Range Value-at-Risk under Increasing Failure Rate
by: Su, Yuting, et al.
Published: (2025)
by: Su, Yuting, et al.
Published: (2025)
The Limits of Lognormal: Assessing Cryptocurrency Volatility and VaR using Geometric Brownian Motion
by: Kaur, Ekleen
Published: (2026)
by: Kaur, Ekleen
Published: (2026)
Capital-Allocation-Induced Risk Sharing
by: Chong, Wing Fung, et al.
Published: (2026)
by: Chong, Wing Fung, et al.
Published: (2026)
Uncertainty and financial market resilience: Evidence from China
by: Wei, Si-Yao, et al.
Published: (2024)
by: Wei, Si-Yao, et al.
Published: (2024)
Risk spillovers between the BRICS and the U.S. staple grain futures markets
by: Shao, Ying-Hui, et al.
Published: (2024)
by: Shao, Ying-Hui, et al.
Published: (2024)
Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change
by: Yang, Yan-Hong, et al.
Published: (2024)
by: Yang, Yan-Hong, et al.
Published: (2024)
Russia-Ukraine conflict and the quantile return connectedness of grain futures in the BRICS and international markets
by: Yang, Yan-Hong, et al.
Published: (2024)
by: Yang, Yan-Hong, et al.
Published: (2024)
FCOC: A Fractal-Chaotic Co-driven Framework for Financial Volatility Forecasting
by: Zeng, Yilong, et al.
Published: (2025)
by: Zeng, Yilong, et al.
Published: (2025)
Standard and stressed value at risk forecasting using dynamic Bayesian networks
by: Gross, Eden, et al.
Published: (2025)
by: Gross, Eden, et al.
Published: (2025)
Stochastic Earned Value Analysis using Monte Carlo Simulation and Statistical Learning Techniques
by: Acebes, Fernando, et al.
Published: (2024)
by: Acebes, Fernando, et al.
Published: (2024)
Model Combination in Risk Sharing under Ambiguity
by: Kroell, Emma, et al.
Published: (2025)
by: Kroell, Emma, et al.
Published: (2025)
Model Aggregation for Risk Evaluation and Robust Optimization
by: Mao, Tiantian, et al.
Published: (2022)
by: Mao, Tiantian, et al.
Published: (2022)
A State-Dependent Dual Risk Model
by: Zhu, Lingjiong
Published: (2015)
by: Zhu, Lingjiong
Published: (2015)
The Merton's Default Risk Model for Public Company
by: Gankhuu, Battulga
Published: (2024)
by: Gankhuu, Battulga
Published: (2024)
A Risk Mitigation Model of Monetary Ecosystem with Stablecoins
by: Wen, Hongzhe, et al.
Published: (2025)
by: Wen, Hongzhe, et al.
Published: (2025)
Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches
by: Rehman, Shafique Ur, et al.
Published: (2024)
by: Rehman, Shafique Ur, et al.
Published: (2024)
An Integrated Model for Financial Risk Assessment of Grid-ignited Wildfires
by: Nematshahi, Saeed, et al.
Published: (2025)
by: Nematshahi, Saeed, et al.
Published: (2025)
Tail Risk Analysis for Financial Time Series
by: Kiriliouk, Anna, et al.
Published: (2024)
by: Kiriliouk, Anna, et al.
Published: (2024)
Lessons From Model Risk Management in Financial Institutions for Academic Research
by: Alaghmandan, Mahmood, et al.
Published: (2024)
by: Alaghmandan, Mahmood, et al.
Published: (2024)
Option Pricing beyond Black-Scholes Model:Quantum Mechanics Approach
by: Li, Pengpeng, et al.
Published: (2026)
by: Li, Pengpeng, et al.
Published: (2026)
Improving Business Insurance Loss Models by Leveraging InsurTech Innovation
by: Quan, Zhiyu, et al.
Published: (2024)
by: Quan, Zhiyu, et al.
Published: (2024)
Combining Value-at-Risk and Expected Shortfall forecasts via the Model Confidence Set
by: Amendola, Alessandra, et al.
Published: (2024)
by: Amendola, Alessandra, et al.
Published: (2024)
Integrated Machine Learning and Hydrodynamic Modeling for Agricultural Land Flood Under Climate Change Scenarios
by: Amin Hassanjabbar, et al.
Published: (2025)
by: Amin Hassanjabbar, et al.
Published: (2025)
Modeling and Forecasting Tail Risk Spillovers: A Component-Based CAViaR Approach
by: Lacava, Demetrio
Published: (2026)
by: Lacava, Demetrio
Published: (2026)
A Counterfactual Diagnostic Framework for Explaining KS Deterioration in Credit Risk Model Validation
by: Wang, Yiqing
Published: (2026)
by: Wang, Yiqing
Published: (2026)
Credit Risk Assessment Model for UAE Commercial Banks: A Machine Learning Approach
by: Saxena, Aditya, et al.
Published: (2024)
by: Saxena, Aditya, et al.
Published: (2024)
Using CPI in Loss Given Default Forecasting Models for Commercial Real Estate Portfolio
by: Wu, Ying, et al.
Published: (2024)
by: Wu, Ying, et al.
Published: (2024)
SHAP Stability in Credit Risk Management: A Case Study in Credit Card Default Model
by: Lin, Luyun, et al.
Published: (2025)
by: Lin, Luyun, et al.
Published: (2025)
Deviance Voronoi Residuals for Space-Time Point Process Models: An Application to Earthquake Insurance Risk
by: Bairakdar, Roba, et al.
Published: (2024)
by: Bairakdar, Roba, et al.
Published: (2024)
Similar Items
-
Mortality Heterogeneity and Actuarial Fairness in China's Notional Defined Contribution Pension System
by: Dong, Xiaoyu, et al.
Published: (2026) -
A note on Refracted Skew Brownian Motion with an application
by: Ahmadi, Zaniar, et al.
Published: (2024) -
A Natural Hedging Framework for Longevity Risk with Graphical Risk Assessment
by: Gabric, Lydia J., et al.
Published: (2025) -
A new paradigm of mortality modeling via individual vitality dynamics
by: Zhu, Xiaobai, et al.
Published: (2024) -
Adaptive Money Market Interest Rate Strategy Utilizing Control Theory
by: Boneh, Yuval
Published: (2024)