In non-life insurance practice, actuaries are often faced with the challenge of predicting the number of claims and claim amounts to be incurred at any given time, which serve to implement fair pricing and reserves given the nature of the risk. This paper extends Jewell's credible distribution...

The valuation of options and to a large extent the financial derivatives market require an optimal estimation of the volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation of the volatility parameter for an asset using...

Conditional distribution functions are important statistical objects for the analysis of a wide class of problems in econometrics and statistics. We propose flexible Gaussian representations for conditional distribution functions and give a concave likelihood formulation for their global...

Conditional distribution functions are important statistical objects for the analysis of a wide class of problems in econometrics and statistics. We propose flexible Gaussian representations for conditional distribution functions and give a concave likelihood formulation for their global...

This article considers a methodology for flexibly characterizing the relationship between a response and multiple predictors. Goals are (1) to estimate the conditional response distribution addressing the distributional changes across the predictor space, and (2) to identify important predictors...