Publikationer
- Master's Thesis (Stockholm University)
Black Box Optimization Framework for Reinsurance of Large Claims
A framework for optimization of reinsurance strategy is proposed for an insurance company with several lines of business (LoB), maximizing the Economic Value of purchasing reinsurance. The economic value is defined as the sum of the average ceded loss, the deducted risk premium, and the reduction in the cost of capital. The framework relies on simulated large claims per LoB rather than specific distributions, which gives more degrees of freedom to the insurance company.Three models are presented, two non non-linear optimization models and a benchmark model. One non-linear optimization model is on individual LoB level and the other one is on company level with additional constraints using space bounded black box algorithms. The benchmark model is a Brute Force method using quantile discretization of potential retention levels, that helps to visualize the optimization surface.
The best results are obtained by a two-stage optimization using a mixture of global and local optimization algorithms. The economic value is maximized by 30% and reinsurance premium is halved if the optimization is made at the company level, by putting more emphasis on reduction in the cost of capital and less to average ceded loss. The results indicate an over-fitting when using VaR as the risk measure, impacting reduction in the cost of capital. As an alternative, Average VaR is recommended being numerically more robust.
URN: urn:nbn:se:su:diva-206704
OAI: oai:DiVA.org:su-206704
DiVA, id: diva2:1675027
- Master's Thesis (KTH Royal Institute of Technology)
Algorithmic Trading and Prediction of Foreign Exchange Rates Based on the Option Expiration Effect
The equity option expiration effect is a well observed phenomenon and is explained by delta hedge rebalancing and pinning risk, which makes the strike price of an option work as a magnet for the underlying price. The FX option expiration effect has not previously been explored to the same extent. In this paper the FX option expiration effect is investigated with the aim of finding out whether it provides valuable information for predicting FX rate movements. New models are created based on the concept of the option relevance coefficient that determines which options are at higher risk of being in the money or out of the money at a specified future time and thus have an attraction effect. An algorithmic trading strategy is created to evaluate these models. The new models based on the FX option expiration effect strongly outperform time series models used as benchmarks. The best results are obtained when the information about the FX option expiration effect is included as an exogenous variable in a GARCH-X model. However, despite promising and consistent results, more scientific research is required to be able to draw significant conclusions.
URN: urn:nbn:se:kth:diva-252297
OAI: oai:DiVA.org:kth-252297
DiVA, id: diva2:1319888
- Bachelor Thesis (SU)
Statistical Research of Exchange Rates : Comparison between Different Forecasting Models
The foreign exchange market is the world’s largest market and is an essential part of the global society of today. The FX market enables companies to trade with different currencies across country borders. It is also a large trade-platform for both big and small financial actors, who greatly benefit from the advantages of good predictions. Modeling of financial instruments is one of the most commonly used investment strategies and its area of application ranges from the FX market to markets suchas the stock market and the commodity market. In this paper, four different statistical models are used to model the currency pair Euro-US Dollar. These methods are random walk, ARIMA, ARIMA-GARCH and VAR. Besides investigating which method that gives the best forecasts, the method that best describes the training datais also found. Furthermore, for the dynamic VAR model, it is explored how the FX market affects, and is affected by, the long term and short term interest. The results show that ARIMA(3,1,2) is the best at describing the exchange rate while VAR(2) with the exchange rate and the difference between long term interests as variables gives the best predictions.
URN: urn:nbn:se:su:diva-152182
OAI: oai:DiVA.org:su-152182
DiVA: diva2:1178062
- Bachelor Thesis (KTH Royal Institute of Technology)
Statistical Research of Comparing Dividends from Swedish Companies
Dividends are of great interest to many, and their impact is felt by shareholders and companies all around the world. Among shareholders dividends are often viewed as being positive. When a company makes decisions regarding their dividend policy there is a lot they have to consider. A large dividend could make the company’s shares more attractive, but a large dividend will also mean that the company has less capital to fund product development and other investments. In this study in mathematical statistics, multiple linear regression is used to model the dividend yield, i.e. dividend divided by share price, for large Swedish companies active in three sectors: finance and property; technology, health and telecom, and industry. A regression model was made for each of these three sectors, and statistical tests were conducted to assess how well these models describe the relationship between dividend yield and the variables used as dependent variables. Of the final three models that the study resulted in, the model made for companies in the financial and property sectors fitted the data the best.
URN: urn:nbn:se:kth:diva-210865
OAI: oai:DiVA.org:kth-210865
DiVA: diva2:1120578
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Gymnasiearbete
Ansats till att bevisa Fermats stora sats (PDF)
Fermats lilla sats,, avslöjar nya användningsområden för primtal. I detta arbete görs ännu en gång ett försök att bevisa Fermats stora sats som inte fick bevis förrän flera hundra år efter. Den här gången genom Fermats lilla sats.
År 2014 tävlade jag med detta arbete i finalen av unga forskare.
