Academic literature on the topic 'Bootstrap adjustment'

In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, Econometric Theory 22, 15–68) and Saikkonen and Lütkepohl (2000, Journal of Time Series Analysis 21, 435–456). The asymptotic properties of the bootstrap test procedures are derived, and their small-sample properties are studied. The simulation study also considers the standard asymptotic test versions and the Johansen cointegration test for comparison.

The power of the conventional Houck’s model of asymmetry is examined via parametric bootstrap simulation. The results of the bootstrap simulations indicate that the Houck’s model has low power in rejecting the null of symmetric adjustment. The power of the test depends on the bootstrap sample size, level of asymmetry and the amount of noise in the data generating process used in an application. With a small bootstrap sample and large noise level, the Houck’s model display low power in rejecting the null hypothesis of symmetry.

This paper introduces and applies the bootstrap method to compare the power of the test for asymmetry in the Granger and Lee (1989) and Von Cramon-Taubadel and Loy (1996) models. The results of the bootstrap simulations indicate that the power of the test for asymmetry depends on various conditions such as the bootstrap sample size, model complexity, difference in adjustment speeds and the amount of noise in the data generating process used in the application. The true model achieves greater power when compared with the complex model. With small bootstrap sample size or large noise, both models display low power in rejecting the (false) null hypothesis of symmetry.

In this paper, I investigate the power of the Granger and Lee model of asymmetry via bootstrap and Monte Carlo techniques. The simulation results indicate that sample size, level of asymmetry and the amount of noise in the data generating process are important determinants of the power of the test for asymmetry based on bootstrap and Monte Carlo techniques. Additionally, the simulation results suggest that both bootstrap and Monte Carlo methods are successful in rejecting the false null hypothesis of symmetric adjustment in large samples with small error size and strong levels of asymmetry. In large samples, with small error size and strong levels of asymmetry, the results suggest that asymmetry test based on Monte Carlo methods achieve greater power gains when compared with the test for asymmetry based on bootstrap. However, in small samples, with large error size and subtle levels of asymmetry, the results suggest that asymmetry test based on bootstrap is more powerful than those based on the Monte Carlo methods. I conclude that both bootstrap and Monte Carlo algorithms provide valuable tools for investigating the power of the test of asymmetry.

Let ?(u) be the probability of eventual ruin in the classical Sparre Andersen model of risk theory if the initial risk reserve is u. For a large class of such models ?(u) behaves asymptotically like a multiple of exp (–Ru) where R is the adjustment coefficient; R depends on the premium income rate, the claim size distribution and the distribution of the time between claim arrivals. Estimation of R has been considered by many authors. In the present paper we deal with confidence bounds for R. A variety of methods is used, including jackknife estimation of asymptotic variances and the bootstrap. We show that, under certain assumptions, these procedures result in interval estimates that have asymptotically the correct coverage probabilities. We also give the results of a simulation study that compares the different techniques in some particular cases.

Let ?(u) be the probability of eventual ruin in the classical Sparre Andersen model of risk theory if the initial risk reserve is u. For a large class of such models ?(u) behaves asymptotically like a multiple of exp (–Ru) where R is the adjustment coefficient; R depends on the premium income rate, the claim size distribution and the distribution of the time between claim arrivals. Estimation of R has been considered by many authors. In the present paper we deal with confidence bounds for R. A variety of methods is used, including jackknife estimation of asymptotic variances and the bootstrap. We show that, under certain assumptions, these procedures result in interval estimates that have asymptotically the correct coverage probabilities. We also give the results of a simulation study that compares the different techniques in some particular cases.

The speed with which stock markets adjust to information and news flow into asset prices is of importance to investors, regulators and policymakers. In this article, we provide a simple and uniform empirical framework involving the use of a volatility measure to compare the speeds of adjustment in index prices in response to all available market information. The stock indices of 23 major emerging economies are compared with 10 mature stock indices from developed countries with reference to the speed of their price adjustments. We find that the index prices of developed countries adjust faster when compared to those of emerging countries. Our findings are independent of any GARCH specification and are also robust to potential mistakes in the model specification because we make use of a fully empirical bootstrap procedure to compute the standard errors. We also rank the countries in terms of the speed of index price adjustment. The results show that the random walk effect is generic and exists in all price indices.

This paper presented an overview of the Stationary Bootstrap method of nonparametric methods. Multitudes of re-sampled data were generated to conquer the limitations of historical simulation method.The trends of different indexes based on Stationary Bootstrap Method were constructed to test the performance of VBPI strategy under different market conditions and compare its performance with CPPI strategy.Test of the significant difference of performance between CPPI and VBPI disclosed that with sufficient samples, confidence level of 99%, insured ratio of 99% or 98% and window period equivalent to adjustment duration at 20 days, VBPI strategy outperformed CPPI strategy in various test indicators.

Mestrado em Actuarial Science
A norma contabilística IFRS 17 foi publicada a 18 de maio de 2017 com o objetivo de aumentar a comparabilidade entre contratos de seguros por todo o mundo. O Ajustamento de Risco (AR) é introduzido no novo requisito como o elemento que reflete a compensação requerida pela entidade para suportar a incerteza associada a riscos não financeiros quanto ao montante e timing dos fluxos de caixa. Sendo "principles-based", a IFRS 17 não estabelece um método específico para calcular o AR. Este relatório de estágio explora os detalhes técnicos subjacentes ao AR e procura avaliar os possíveis métodos de computação, desde técnicas de quantis, como o "Value-at-Risk", o "Tail-Value-at-Risk" e o "Proportional Hazard Transform", bem como outras medidas de risco utilizadas presentemente, como o método do "Cost-of-Capital". A partir de exemplos ilustrativos para produtos de não-vida e vida, é possível concluir que contratos de seguro com tendências de fluxos de caixa mais voláteis tendem a gerar distribuições de probabilidades de fluxos futuros mais "largas", dada uma maior incerteza sobre os mesmos, o que resulta num maior valor de AR. Para o produto de não-vida, foi utilizado o método de Bootstrap para gerar estocasticamente a distribuição de probabilidades de fluxos futuros.
The accounting standard IFRS 17 was released on 18 May 2017 with the purpose of increasing comparability between insurance contracts globally. The Risk Adjustment (RA) is introduced by the new standard as the element reflecting the compensation required by an entity for bearing the uncertainty that arises from non-financial risk regarding the amount and timing of cash flows. Being principles-based, IFRS 17 does not prescribe a calculation method for the RA. This internship report explores the technical aspects underlying the RA and aims to assess commonly found computational methods, from quantiles measures - like the Value-at-Risk, Tail-Value-at-Risk and the Proportional Hazard Transform - to existing risk measuring techniques, such as the Cost-of-Capital approach. From illustrative examples for both non-life and life products, it is possible to conclude that insurance contracts with more volatile cash flow trends have wider probability distributions of future losses, given an increase in uncertainty, which result in higher RA estimates. For the non-life product, the Bootstrap method is also applied - prior to the risk measures - to stochastically generate a probability distribution function of losses.
info:eu-repo/semantics/publishedVersion

The objective of Paper [I] is to analyze potential effects on the Swedish forest sector of a continuing rise in the use of forest resources as fuel in energy generation. An increasing use of forest resources as an energy input may have effects outside the energy sector. In this paper we consider this by estimating a system of demand and supply equations for the four main actors on the Swedish roundwood market. In Paper [II], we estimate a dynamic factor demand model for the Swedish pulp industry. We find weak evidence of adjustment costs for capital. The results suggest that the user cost of capital is a significant determinant of pulp industry investments. We also find that pulp industry investments are insensitive to variations in the price of electricity. Paper [III] proposes a flexible form of adjustment cost function. An empirical illustration shows that the flexible form can detect both convex and non-convex adjustment costs. Furthermore, the flexible form permits testing for the experience effect on adjustment cost. The objective of paper [IV] is to analyze the price formation for wood fuel used by the Swedish district heating sector. According to previous research there is a significant potential for increasing the use of wood fuel in Sweden. The question raised in this paper is why this potential is not realized. According to our results we cannot reject the efficient market hypothesis for all years. The objective of Paper [V] is to test for market power on the market for biofuels. To achieve our objective we make use of the idea of Granger causality. If past values of quantity contribute significantly to the determination of price, quantity is said to Granger cause price, which we will treat as a sign of market power. According to our findings this effect is present.

Trabalho de projeto de mestrado em Matemática Aplicada à Economia e Gestão, Universidade de Lisboa, Faculdade de Ciências, 2020
A difícil comparabilidade entre as companhias de seguros e a permissão de aplicabilidade de distintas políticas contabilísticas pelas entidades do setor segurador de acordo com o país em que inserem, fez surgir a nova norma para os contratos de seguro: IFRS 17 – Contratos de Seguro. O novo normativo, desenvolvido pelo IASB como substituto da norma interina IFRS 4, materializa-se numa enorme metamorfose na contabilização das demonstrações financeiras das companhias de seguros, revelada pelos novos requisitos, complexos e rigorosos, que são exigidos para a mensuração dos contratos de seguro. O presente estudo aborda especificamente o novo conceito do Risk Adjustment para os riscos não financeiros que surge no domínio deste novo normativo com obrigatoriedade legal a partir de janeiro de 2023. Neste sentido, são desenvolvidas várias metodologias de cálculo desta componente no contexto do modelo geral de mensuração implícito na IFRS 17. As metodologias propostas emergem de abordagens paramétricas e não paramétricas consagradas na Estatística e envolvem procedimentos de estimação de quantis de ordem 𝑝, indicadores do nível de confiança que se pretendeu vincular ao devido procedimento. Nesta sequência, é determinado o Risk Adjustment específico para a mensuração da Liability for Incurred Claims (LIC) da carteira de seguros Multirriscos Habitação da ASP Não Vida, com base em Risk Adjustment marginais determinados ao nível de cada causa de ocorrência dos sinistros e a distintos níveis de confiança que se fundamentam no princípio da prudência das estimativas dos custos face aos serviços passados da Companhia. É também efetuado o paralelismo, teórico e prático, do novo conceito de Risk Adjustment, no contexto da IFRS 17, com o conceito de Risk Margin já existente e transversalmente aplicado pelas companhias de seguros no âmbito do reporte da solvência e situação financeira pelo regime Solvência II.
The difficult comparability between insurance companies and the permission for different accounting policies that entities in the insurance sector may apply, according to the country in which they operate, led to the emergence of the new standard for insurance contracts: IFRS 17 - Insurance Contracts. The new standard, issued by the IASB as a substitute for the interim IFRS 4 standard, materializes in a huge metamorphosis in the accounting of insurance companies' financial statements, revealed by the new, complex and rigorous requirements that are mandatory for the measurement of insurance contracts. This study specifically addresses the new concept of Risk Adjustment for non-financial risks that arises in the field of this new regulation, which is legally mandatory as of January 2023. In this sense, several methodologies for calculating this component are developed in the context of the IFRS 17 general model. The proposed methodologies emerge from the existing parametric and non-parametric approaches in Statistics and involve estimation procedures for pth quantiles, which are indicators of the confidence level that was intended to be linked to the procedure. In this sequence, the specific Risk Adjustment is determined for the measurement of the company’s Liability for Incurred Claims (LIC) for Multi-risk House insurance portfolio, based on marginal Risk Adjustments determined in terms of the reason for the occurrence of claims and determined at different confidence levels, that are based on the principle of prudence in estimating costs related to past services of ASP Não Vida. The theoretical and practical parallelism of the IFRS 17’s new concept of Risk Adjustment is also carried out with the Risk Margin concept, which already exists and is transversely applied by insurance companies in terms of solvency and financial reporting under the Solvency II regime.