Browsing by Author "Ogungbenle, Gbenga Michael"

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A Theoretical Plethora of Modelling Actuarial Risk Aversion Coefficient
(©Daffodil International University, 2021-12-17) Ogungbenle, Gbenga Michael; Zayed, Nurul Mohammad; Hassan, Mohammad Arif; Imran, Mohammad Ali
The goal of the paper is to theoretically evaluate an approximate actuarial aversion risk coefficient in relation to future utility trend and discuss an analytic model for investigating the behaviour of risk aversion random risk together with the infiuence it exerts on utility function. By initiating Newton s process, the result shows that the scheme holder’s risk premium for small actuarially neutral risk , is the product ofhalfofthe aversion and the volatility term. The paper stresses the importance of numerical methods in actuarial risk theory and also brings our attention to risk measurement applications. Furthermore, it describes the procedure of estimating the intensity of aversion co-efficient using numerical algorithm. It relies heavily on the analytic properties of utility function whose gradient function does not vanish. The estimation of aversion coefficient lends credence to risk theory because of its potency to measure riskiness of insurance portfolio guiding both risk manager and scheme holder either or not to assume risk. However, the estimation of aversion involves a model based on the knowledge of differential equation.
Application of Stochastic Differential Equation in Insurance Portfolio Construction Involving Leverage Function and Elasticity of Debt and Equity
(Daffodil International University, 2021-06-30) Ogungbenle, Gbenga Michael; Ihedioha, Silas Abahia; Zayed, Nurul Mohammad
Leverage effect specifies the functional relationship between stock returns and volatility. As stock price declines, volatility tends to rise. Thus, the variability in market prices of a company's stock has pervasive effect when measuring the level of leverage in the capital structure. The determination of portfolio value of an investor using the continuous time second order stochastic differential equation has major consequence on leverage function. Usually, structural stochastic value of leveraged firms treats company's portfolio as equity whose underlying instrument is the company's asset. In this paper, the objectives are to theoretically: (i) measure the value of insurance company's portfolio by second order stochastic differential equation, (ii) apply Ito's rule to obtain a value on its leverage function and, (iii) obtain the analytical correspondence between equity and volatility in a leveraged company through infinitesimal calculus. The stochastic second order differential equation of portfolio value under two arguments results in equilibrium position which provides the traded price of the derivative, furthermore the linear combination of first order derivative of volatilities with respect to equity and debt is vanishingly zero based on the underlying elasticity of stock volatilities. The resultant effect is that elasticity = of debt and equity cancel out and -15E, SOSE, 51
Structural Implications of Consol Rate on the Predicted Yield Curve
(Daffodil International University, 2020-06-18) Ogungbenle, Gbenga Michael; Adeyele, Joshua Solomon; Ogungbenle, Simeon Kayode
This paper leans heavily on Nelson Siegel tested on Nigerian Euro-bond. The objectives of this paper are to obtain the model for (r) the forward rate and spot rate function (it) compute the console rate and (iii) investigate the rationale behind the parallel shift on the predicted yield curve. We selected data at 12 different points from the daily closing of the Nigerian Eurobond from January to December 2018 to fit the Nigerian Eurobond yield curve using the Nelson Siegel model. In order to facilitate a deeper understanding of the term structure approximation model of Nigerian Euro-bond from first principles, our initial data was re-run to permit further interpretation on the estimation and our results show that the variation caused by consol is responsible for the parallel shift on the predicted yield curve indicating that the value of the predicted Eurobond moves up or down in the same direction corresponding to the same degree of the corresponding change in the consol rate. Furthermore, based on the upward sloping behavior of the yield curve, the Nigerian economy is expanding and consequently, long-term investments will tend to be very risky.
The Disparity Between Exponentially and Lognormally Distributed Mean Severities in General Insurance Business
(©Daffodil International University, 2020-12-04) Ogungbenle, Gbenga Michael
The purpose of this study is to enable us to obtain mean losses of an insured risk by means of the operational behaviour of density function with deductible modifications and then compare the mean severities under exponentially and log-normally distributed arbitrary policy in a cost per loss and cost per payment circumstances. The mean losses model thus obtained for an arbitrary policy in general insurance under deductible coverage modifications is meant to reduce the number and magnitude of claims received. Furthermore, the mean losses are then used to compute premium numerically, based on the applied deductible. Rate relativity data on deductible was obtained through a non-life insurance agent operating in property insurance market in Lagos. The result show that despite log-normal severity distribution has a thicker tail than the exponential distribution, its cost per loss payment (Y;) is correspondingly lower in value than the values of exponential mean loss that is (YZ )log normal < (YZ)expential. While the cost per payment is uniformly constant throughout the entire domain of definition for the deductible under exponential distribution, the insurer experiences higher cost per payment than expected in the subinterval 45 SD S1 under lognormal regime. It is, therefore, recommended that the insurer is advised to apply deductible in this subdomain to disapprove nuisance claims and control the problem of moral hazard.