Now showing items 1-3 of 3

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    Claims modeling with and alternative gamma-exponentiated weibull distribution and ruinprobability approximation 

    Pawat Paksaranuwat; Samruam Chongcharoen (National Institute of Development Administration, 2016)

    In this dissertation, two studies that are beneficial for actuaries and the insurance business are proposed. In the first study, an exponentiated Weibull distribution using gamma-generated distribution is modified to obtain an alternative gamma-exponentiated Weibull (AGEW) distribution; its sub-models include both gamma and Weibull distributions, both of which are popular in claims modeling by insurance companies. Its basic structural properties such as distribution function, density function, and moments were investigated. Moreover, the ...
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    Essays on credit risk measurement 

    Pornpong Sakdapat; Yuthana Sethapramote (National Institute of Development Administration, 2018)

    This dissertation investigates the applications of the Merton KMV model with the conditional volatility (GARCH) to measure credit risk in Thailand. The thesis consists of three essays. First essays calculate the distance to defaults during Mar 2010 to Apr 2018 with various methods and check the validity of the data to provide warning indicator of the default in the 461 listed companies. Result show that Both Merton KMV and conditional volatility GARCH distance to default move with the same direction while conditional volatility GARCH distance to ...
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    Performance of Islamic indices : The opportunity for non-muslim countries 

    Sarina Preechalert; Anukul Chiralaksanakul (National Institute of Development Administration, 2015)

    Hitherto, comparative study of Islamic finance in both non-Muslim and Muslim countries is scarce. This is including the area of investment in Islamic equity portfolio in non-Muslim countries. Consequently, it is interesting to study performance comparison of investment in Islamic financial products such as Islamic indices created by Muslim and non-Muslim countries. Results obtained from this research will be useful for investors as investment information and for Islamic and non-Islamic countries alike to create investment alternatives such ...