Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance. They are used to replicate efficient frontiers or...

In this paper, we present a Bayesian non-linear model to analyze matching pairs of microarray expression data. This model generalizes, in terms of neural networks, standard linear matching models. As a practical application, we analyze data of patients with Acute Lymphoblastic Leukemia and we...

Prediction intervals in State Space models can be obtained by assuming Gaussian innovations and using the prediction equations of the Kalman filter, where the true parameters are substituted by consistent estimates. This approach has two limitations. First, it does not incorporate the...

Mortality data on an aggregate level are characterized by very large sample sizes. For this reason, uninformative outcomes are evident in common Goodness-of-Fit measures. In this paper we propose a new measure that allows comparison of different mortality models even for large sample sizes....

Penalized splines (P-splines) and individual random effects are used for the analysis of spatial count data. P-splines are represented as mixed models to give a unified approach to the model estimation procedure. First, a model where the spatial variation is modelled by a two-dimensional...

In this paper we consider the problem of admission control of Bernoulli arrivals to a buffer with geometric server, in which the controller’s actions take effect one period after the actual change in the queue length. An optimal policy in terms of marginal productivity indices (MPI) is derived...

We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs). This model applies independent component analysis (ICA) to search the conditionally heteroskedastic latent factors. We will use two ICA...

We study the efficiency properties of the goodness-of-fit test based on the Qn statistic introduced in Fortiana and Grané (2003) using the concepts of Bahadur asymptotic relative efficiency and Bahadur asymptotic optimality. We compare the test based on this statistic with those based on the...

In the current paper, we introduce a new calibration methodology for the LIBOR market model driven by LIBOR additive processes based in an inverse problem. This problem can be splitted in the calibration of the continuous and discontinuous part, linking each part of the problem with at-the-money...

We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean and variance and the conditional...