In this note we address the problem of finding the direction with maximal skewness for a random vector that follows a multivariate skew-t distribution. The result relies on the well-known representation of the multivariate skew-t distribution as a scale mixture of skew-normal multivariate...

This paper develops a stochastic model for individual claims reserving using observed data on claim payments as well as incurred losses. We extend the approach of Pigeon et al. (2013), designed for payments only, towards the inclusion of incurred losses. We call the new technique the individual...

Finite mixtures of skew distributions have emerged as an effective tool in modelling heterogeneous data with asymmetric features. With various proposals appearing rapidly in the recent years, which are similar but not identical, the connection between them and their relative performance becomes...