On Effects of Stochastic Volatility and Long Memory Towards Mortgage Insurance Models: An Empirical Study
The change in collateral price is one of the challenges in modeling mortgage insurance. Current work mostly considers collateral price similar to addressing risky asset modelling, in which geometric Brownian motion is being used to model its underlying processes. This assumption has been heavily cri...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Pushpa Publishing House, Prayagraj, India
2021
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/30842/1/AAS%202021%2001-10.pdf http://www.pphmj.com/ |
| _version_ | 1825806255466217472 |
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| author | Alhagyan, Mohammed Misiran, Masnita Omar, Zurni |
| author_facet | Alhagyan, Mohammed Misiran, Masnita Omar, Zurni |
| author_sort | Alhagyan, Mohammed |
| collection | UUM |
| description | The change in collateral price is one of the challenges in modeling mortgage insurance. Current work mostly considers collateral price similar to addressing risky asset modelling, in which geometric Brownian motion is being used to model its underlying processes. This assumption has been heavily criticized due to its lack of fundamental dependencies in its distribution. This work provides |
| first_indexed | 2024-07-04T06:46:37Z |
| format | Article |
| id | uum-30842 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:46:37Z |
| publishDate | 2021 |
| publisher | Pushpa Publishing House, Prayagraj, India |
| record_format | eprints |
| spelling | uum-308422024-06-10T08:36:18Z https://repo.uum.edu.my/id/eprint/30842/ On Effects of Stochastic Volatility and Long Memory Towards Mortgage Insurance Models: An Empirical Study Alhagyan, Mohammed Misiran, Masnita Omar, Zurni QA Mathematics The change in collateral price is one of the challenges in modeling mortgage insurance. Current work mostly considers collateral price similar to addressing risky asset modelling, in which geometric Brownian motion is being used to model its underlying processes. This assumption has been heavily criticized due to its lack of fundamental dependencies in its distribution. This work provides Pushpa Publishing House, Prayagraj, India 2021 Article PeerReviewed application/pdf en cc4_by https://repo.uum.edu.my/id/eprint/30842/1/AAS%202021%2001-10.pdf Alhagyan, Mohammed and Misiran, Masnita and Omar, Zurni (2021) On Effects of Stochastic Volatility and Long Memory Towards Mortgage Insurance Models: An Empirical Study. Advances and Applications in Statistics. pp. 1-10. ISSN 0972-3617 http://www.pphmj.com http://www.pphmj.com/ http://www.pphmj.com/ |
| spellingShingle | QA Mathematics Alhagyan, Mohammed Misiran, Masnita Omar, Zurni On Effects of Stochastic Volatility and Long Memory Towards Mortgage Insurance Models: An Empirical Study |
| title | On Effects of Stochastic Volatility and Long Memory Towards Mortgage Insurance Models: An Empirical Study |
| title_full | On Effects of Stochastic Volatility and Long Memory Towards Mortgage Insurance Models: An Empirical Study |
| title_fullStr | On Effects of Stochastic Volatility and Long Memory Towards Mortgage Insurance Models: An Empirical Study |
| title_full_unstemmed | On Effects of Stochastic Volatility and Long Memory Towards Mortgage Insurance Models: An Empirical Study |
| title_short | On Effects of Stochastic Volatility and Long Memory Towards Mortgage Insurance Models: An Empirical Study |
| title_sort | on effects of stochastic volatility and long memory towards mortgage insurance models an empirical study |
| topic | QA Mathematics |
| url | https://repo.uum.edu.my/id/eprint/30842/1/AAS%202021%2001-10.pdf http://www.pphmj.com/ |
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