Technika československého dělnického nemocenského pojištění
Testing Linearity in an AR Errors-in-variables Model with Application to Stochastic Volatility
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given data set, a statistical test is required. In this paper, we develop such a test of a linear hypothesis versus a general composite nonparametric alternative using the state space representation of the SV model as an errors-in-variables AR(1) model. The power of the test is analyzed. We provide a simulation study and apply the test to the HFDF96...
The Hull-White model and multiobjective calibration with consistent curves: empirical evidence.
The Number-System of Algebra / H. B. Fine (Review).
The problem of determining estimators for different structural parameters in the case of credibility results for weighted contracts
This paper presents and analyzes the estimators of the structural parameters, in the Bühlmann-Straub model, involving complicated mathematical properties of conditional expectations and of conditional covariances. So to enable to use the better linear credibility results obtained in this model, we will provide useful estimators for the structure parameters. From the practical point of view it is stated the attractive property of unbiasedness for these estimators.
The problem of determining estimators for the different structural parameters in the case of the credibility results for weighted contracts.
The relationship between stock markets of major developed countries and Asian emerging markets.
The use of copulas in the study of certain transforms of random variables with applications in finance.
Theoretical and practical considerations regarding bonus-malus system.
Time series modelling of the Kobe-Osaka earthquake recordings.