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, 66 (2). pp. 1-10. ISSN 0972-3617

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Abstract

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

Item Type:	Article
Uncontrolled Keywords:	Geometric fractional Brownian motion, stochastic volatility, long memory, mortgage insurance, risk mitigation
Subjects:	Q Science > QA Mathematics
Divisions:	School of Quantitative Sciences
Depositing User:	Mdm. Sarkina Mat Saad @ Shaari
Date Deposited:	10 Jun 2024 08:16
Last Modified:	10 Jun 2024 08:16
URI:	https://repo.uum.edu.my/id/eprint/30854

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