Cash Flow Risk Management in the Property/Liability Insurance Industry: A Dynamic Factor Modeling Approach

DOI10.1080/10920277.2018.1423994zbMath1393.62049OpenAlexW2795791924MaRDI QIDQ4567956

Patricia Born, H. J. Abraham Lin, Chun Wang, Charles Yang, Min-Ming Wen

Publication date: 20 June 2018

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2018.1423994

zbMATH Keywords

principal component analysisdynamic factor modelcash flow risk managementfactor-augmented autoregressive modelproperty/liability insurance industry

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Unnamed Item
• Seasonal integration and cointegration
• Handbook of economic forecasting. Volume 1
• Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
• Cash Flow Matching
• Interest Rate Risk Management

This page was built for publication: Cash Flow Risk Management in the Property/Liability Insurance Industry: A Dynamic Factor Modeling Approach