dorina lazar - Profile on Academia.edu (original) (raw)

Papers by dorina lazar

Marginal prices of improvements made to blocks of flats: empirical evidence from Romania

International Journal of Strategic Property Management, 2016

Statistical tests for linear and nonlinear dependence and long-memory in Romanian stocks market

Carpathian Journal of Mathematics, 2009

Martingale Difference Hypothesis and Financial Crisis: Empirical Evidence from European Emerging Foreign Exchange Markets

Economic Systems

ABSTRACT

Lazar, D. (2004). On forecasting mortality using Lee-Carter method. Proceedings of the 3rd Conference in Actuarial Science & Finance, September 2-5, Samos, Greece. http://www.stat.ucl.ac.be/Samos2004/proceedings2004/Lazar2.pdf

Lazar, D., Todea, A., Filip, D. (2012). Martingale difference hypothesis and financial crisis: Empirical evidence from emerging foreign exchange markets. Economic Systems, Elsevier. Economic Systems 36(3): 338-350

Economic Systems

Lazar, D., Filip, D.A., Naghy, A. (2009). Statistical tests for linear and nonlinear dependence and long-memory in Romanian stock market. Carpathian Journal of Mathematics 25(1): 92 -103

Carpathian Journal of Mathematics

Lazar, D., Denuit, M. (2012). Multivariate analysis of premium dynamics in P&L Insurance. Journal of Risk and Insurance 79(2): 431-448

Journal of Risk & Insurance

A note on pricing inflation-indexed life annuities

Acta Oeconomica, 2007

Transition Studies Review, 2008

This paper deals with the pricing process of life insurances that provide an insured sum indexed ... more This paper deals with the pricing process of life insurances that provide an insured sum indexed annually according to the current inflation rate. In these terms we propose an appropriate formula for the discount factor. In order to describe the inflation, we consider a stochastic autoregressive model. We deduce analytical expressions for the mean value and the variance of random variable defined as the present value of 1 unit indexed annually according to the inflation rate, payable over t years, when inflation is generated by an autoregressive process of order one. At the same time, we obtain numerical results for the Romanian life table, regarding the mean and the standard deviation for the actuarial present value of a pure endowment life insurance with the sum insured indexed annually with the inflation rate.

In this paper, we develop a model supporting the so-called square-root formula used in Solvency I... more In this paper, we develop a model supporting the so-called square-root formula used in Solvency II to aggregate the modular life SCR. Describing the insurance policy by a Markov jump process, we can obtain expressions similar to the square-root formula in Solvency II by means of limited expansions around the best estimate. Numerical illustrations are given, based on German population data. Even if the squareroot formula can be supported by theoretical considerations, it is shown that the QIS correlation matrix is highly questionable.

New evidence for underwriting cycles in US property-liability insurance

The Journal of Risk Finance, 2012

Purpose – The purpose of this paper is to highlight some testing procedures, both in time/frequen... more Purpose – The purpose of this paper is to highlight some testing procedures, both in time/frequency framework, useful to test for significant cycles in insurance data. The US underwriting cycle is measured using the growth rates of real premiums. Design/methodology/approach – In addition to the traditional AR(2) model, two new approaches are suggested: testing for a significant peak in the periodogram using Fisher g test and a nonparametric version of it, and testing for unit root cycles in insurance data. Findings – All approaches find empirical evidence for a cyclical behaviour of the growth rates of property-liability real premiums. Results on the length of dominant cycle still diverge, according to the approach (time/frequency domain). Originality/value – Compared to the existing literature, the present study innovates in that it highlights additional testing procedures, helpful to detect significant cycles in insurance time series. The underwriting cycle is analysed through the growth rates of real premiums.

New evidence for underwriting cycles in US property-liability insurance

Purpose – The purpose of this paper is to highlight some testing procedures, both in time/frequen... more Purpose – The purpose of this paper is to highlight some testing procedures, both in time/frequency framework, useful to test for significant cycles in insurance data. The US underwriting cycle is measured using the growth rates of real premiums. Design/methodology/approach – In addition to the traditional AR(2) model, two new approaches are suggested: testing for a significant peak in the periodogram using Fisher g test and a nonparametric version of it, and testing for unit root cycles in insurance data. Findings – All approaches find empirical evidence for a cyclical behaviour of the growth rates of property-liability real premiums. Results on the length of dominant cycle still diverge, according to the approach (time/frequency domain). Originality/value – Compared to the existing literature, the present study innovates in that it highlights additional testing procedures, helpful to detect significant cycles in insurance time series. The underwriting cycle is analysed through the growth rates of real premiums.

Multivariate Analysis of Premium Dynamics in P&L Insurance

Journal of Risk and Insurance, 2012

This article studies the dynamic relationship between premiums and losses on the U.S. property–ca... more This article studies the dynamic relationship between premiums and losses on the U.S. property–casualty insurance market, accounting for the external impacts of GDP and interest rate. Compared to the existing literature, the present work innovates in that the dynamic relationships between premiums, losses, GDP, and interest rate are studied in a cointegration framework, single-equation and vector approach, involving the long- and short-run dynamics. The results suggest a stable long-run equilibrium between premiums, losses, and general economy. On short term, the premiums adjust quickly and significantly to the long-term disequilibrium and have a strong autoregressive behavior. External factors contribute to explain the dynamics of premiums.

Applied Stochastic Models in Business and Industry, 2009

The method of mortality forecasting proposed by Lee and Carter describes a time series of age-spe... more The method of mortality forecasting proposed by Lee and Carter describes a time series of age-specific log-death rates as a sum of an independent of time age-specific component and a bilinear term in which one of the component is a time-varying factor reflecting general change in mortality and the second one is an age-specific parameter. Such a rigid model structure implies that on average the mortality improvements for different age groups should be proportional, regardless of the calendar period: a single time factor drives the future death rates. This paper investigates the use of multivariate time series techniques for forecasting age-specific death rates. This approach allows for relative speed of decline in the log death rates specific to the different ages. The dynamic factor analysis and the Johansen cointegration methodology are successfully applied to project mortality. The inclusion of several time factors allows the model to capture the imperfect correlations in death rates from 1 year to the next. The benchmark Lee–Carter model appears as a special case of these approaches. An empirical study is conducted with the help of the Johansen cointegration methodology. A vector-error correction model is fitted to Belgian general population death rates. A comparison is performed with the forecast of life expectancies obtained from the classical Lee–Carter model. Copyright © 2009 John Wiley & Sons, Ltd.

This study investigates the effects of the Global crisis on the relative efficiency of ten Centra... more This study investigates the effects of the Global crisis on the relative efficiency of ten Central and Eastern European emerging stock markets, using the Generalized Spectral test of in a rolling window approach. This test is robust to the distributional assumptions, to the presence of time-varying volatility, being able to detect a wide range of linear and non-linear dependencies in conditional mean. The results suggest that the degree of markets inefficiency varies through time, providing empirical support for the Adaptive Market Hypothesis rather than for a clear trend towards higher efficiency as postulated by the classical Efficient Market Hypothesis. Surprisingly, during the crisis period there has been registered an improvement of the degree of efficiency in the case of seven markets out of ten.

Marginal prices of improvements made to blocks of flats: empirical evidence from Romania

International Journal of Strategic Property Management, 2016

Statistical tests for linear and nonlinear dependence and long-memory in Romanian stocks market

Carpathian Journal of Mathematics, 2009

Martingale Difference Hypothesis and Financial Crisis: Empirical Evidence from European Emerging Foreign Exchange Markets

Economic Systems

ABSTRACT

Lazar, D. (2004). On forecasting mortality using Lee-Carter method. Proceedings of the 3rd Conference in Actuarial Science & Finance, September 2-5, Samos, Greece. http://www.stat.ucl.ac.be/Samos2004/proceedings2004/Lazar2.pdf

Lazar, D., Todea, A., Filip, D. (2012). Martingale difference hypothesis and financial crisis: Empirical evidence from emerging foreign exchange markets. Economic Systems, Elsevier. Economic Systems 36(3): 338-350

Economic Systems

Lazar, D., Filip, D.A., Naghy, A. (2009). Statistical tests for linear and nonlinear dependence and long-memory in Romanian stock market. Carpathian Journal of Mathematics 25(1): 92 -103

Carpathian Journal of Mathematics

Lazar, D., Denuit, M. (2012). Multivariate analysis of premium dynamics in P&L Insurance. Journal of Risk and Insurance 79(2): 431-448

Journal of Risk & Insurance

A note on pricing inflation-indexed life annuities

Acta Oeconomica, 2007

Transition Studies Review, 2008

This paper deals with the pricing process of life insurances that provide an insured sum indexed ... more This paper deals with the pricing process of life insurances that provide an insured sum indexed annually according to the current inflation rate. In these terms we propose an appropriate formula for the discount factor. In order to describe the inflation, we consider a stochastic autoregressive model. We deduce analytical expressions for the mean value and the variance of random variable defined as the present value of 1 unit indexed annually according to the inflation rate, payable over t years, when inflation is generated by an autoregressive process of order one. At the same time, we obtain numerical results for the Romanian life table, regarding the mean and the standard deviation for the actuarial present value of a pure endowment life insurance with the sum insured indexed annually with the inflation rate.

In this paper, we develop a model supporting the so-called square-root formula used in Solvency I... more In this paper, we develop a model supporting the so-called square-root formula used in Solvency II to aggregate the modular life SCR. Describing the insurance policy by a Markov jump process, we can obtain expressions similar to the square-root formula in Solvency II by means of limited expansions around the best estimate. Numerical illustrations are given, based on German population data. Even if the squareroot formula can be supported by theoretical considerations, it is shown that the QIS correlation matrix is highly questionable.

New evidence for underwriting cycles in US property-liability insurance

The Journal of Risk Finance, 2012

Purpose – The purpose of this paper is to highlight some testing procedures, both in time/frequen... more Purpose – The purpose of this paper is to highlight some testing procedures, both in time/frequency framework, useful to test for significant cycles in insurance data. The US underwriting cycle is measured using the growth rates of real premiums. Design/methodology/approach – In addition to the traditional AR(2) model, two new approaches are suggested: testing for a significant peak in the periodogram using Fisher g test and a nonparametric version of it, and testing for unit root cycles in insurance data. Findings – All approaches find empirical evidence for a cyclical behaviour of the growth rates of property-liability real premiums. Results on the length of dominant cycle still diverge, according to the approach (time/frequency domain). Originality/value – Compared to the existing literature, the present study innovates in that it highlights additional testing procedures, helpful to detect significant cycles in insurance time series. The underwriting cycle is analysed through the growth rates of real premiums.

New evidence for underwriting cycles in US property-liability insurance

Purpose – The purpose of this paper is to highlight some testing procedures, both in time/frequen... more Purpose – The purpose of this paper is to highlight some testing procedures, both in time/frequency framework, useful to test for significant cycles in insurance data. The US underwriting cycle is measured using the growth rates of real premiums. Design/methodology/approach – In addition to the traditional AR(2) model, two new approaches are suggested: testing for a significant peak in the periodogram using Fisher g test and a nonparametric version of it, and testing for unit root cycles in insurance data. Findings – All approaches find empirical evidence for a cyclical behaviour of the growth rates of property-liability real premiums. Results on the length of dominant cycle still diverge, according to the approach (time/frequency domain). Originality/value – Compared to the existing literature, the present study innovates in that it highlights additional testing procedures, helpful to detect significant cycles in insurance time series. The underwriting cycle is analysed through the growth rates of real premiums.

Multivariate Analysis of Premium Dynamics in P&L Insurance

Journal of Risk and Insurance, 2012

This article studies the dynamic relationship between premiums and losses on the U.S. property–ca... more This article studies the dynamic relationship between premiums and losses on the U.S. property–casualty insurance market, accounting for the external impacts of GDP and interest rate. Compared to the existing literature, the present work innovates in that the dynamic relationships between premiums, losses, GDP, and interest rate are studied in a cointegration framework, single-equation and vector approach, involving the long- and short-run dynamics. The results suggest a stable long-run equilibrium between premiums, losses, and general economy. On short term, the premiums adjust quickly and significantly to the long-term disequilibrium and have a strong autoregressive behavior. External factors contribute to explain the dynamics of premiums.

Applied Stochastic Models in Business and Industry, 2009

The method of mortality forecasting proposed by Lee and Carter describes a time series of age-spe... more The method of mortality forecasting proposed by Lee and Carter describes a time series of age-specific log-death rates as a sum of an independent of time age-specific component and a bilinear term in which one of the component is a time-varying factor reflecting general change in mortality and the second one is an age-specific parameter. Such a rigid model structure implies that on average the mortality improvements for different age groups should be proportional, regardless of the calendar period: a single time factor drives the future death rates. This paper investigates the use of multivariate time series techniques for forecasting age-specific death rates. This approach allows for relative speed of decline in the log death rates specific to the different ages. The dynamic factor analysis and the Johansen cointegration methodology are successfully applied to project mortality. The inclusion of several time factors allows the model to capture the imperfect correlations in death rates from 1 year to the next. The benchmark Lee–Carter model appears as a special case of these approaches. An empirical study is conducted with the help of the Johansen cointegration methodology. A vector-error correction model is fitted to Belgian general population death rates. A comparison is performed with the forecast of life expectancies obtained from the classical Lee–Carter model. Copyright © 2009 John Wiley & Sons, Ltd.

This study investigates the effects of the Global crisis on the relative efficiency of ten Centra... more This study investigates the effects of the Global crisis on the relative efficiency of ten Central and Eastern European emerging stock markets, using the Generalized Spectral test of in a rolling window approach. This test is robust to the distributional assumptions, to the presence of time-varying volatility, being able to detect a wide range of linear and non-linear dependencies in conditional mean. The results suggest that the degree of markets inefficiency varies through time, providing empirical support for the Adaptive Market Hypothesis rather than for a clear trend towards higher efficiency as postulated by the classical Efficient Market Hypothesis. Surprisingly, during the crisis period there has been registered an improvement of the degree of efficiency in the case of seven markets out of ten.