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...

For a class of multivariate skew normal distributions, the noncentral skew chi-square distribution is studied. The necessary and sufficient conditions under which a sequence of quadratic forms is generalized noncentral skew chi-square distributed random variables are obtained. Several examples...

This paper documents an investigation into the use of portfolio selection methods to construct a hedge fund with a currency overlay. The fund, which is based on number of international stock and bond market indices and is constructed from the perspective of a Sterling investor, allows the...