We establish 16 good practice principles for modelling defined contribution pension plans. These principles cover the following issues: model specification and calibration; modelling quantifiable uncertainty; modelling member choices; modelling member characteristics, such as occupation and...

Classical interval estimation ignores misspecification uncertainty that is almost inevitable in practice. This paper proposes an approach to construct an uncertainty interval that incorporates misspecification based on an $f$-divergence. We construct the uncertainty interval estimators using...

We propose a belief-generating model from which we build a statistical measure of investor disagreement. We simulate differences in beliefs across investors by endowing them with different machine learning models for forecasting returns from the same set of inputs. We measure disagreement as the...

The nuclear industry uses fuel performance codes to demonstrate integrity preservation of fuel rods. These codes include a complex system of models with empirical constants that one needs to calibrate for best estimates and uncertainties. However, deriving the appropriate level of uncertainty is...

Essential features of the multigrid Ensemble Kalman Filter (G. Moldovan , G. Lehnasch , L. Cordier , M. Meldi , A multigrid /ensemble Kalman filter strategy for assimilation of unsteady flows , Journal of Computational Physics 443-110481 ) recently proposed for Data Assimilation of fluid flows...

In this paper, we show how the factor modeling approach widely used to model yield curve evolution in real-world applications can be adapted to pricing applications using the Musiela HJM modeling framework. The resulting risk-neutral modeling framework combines the intuitiveness and...

This paper provides estimates of COVID-19 effective reproduction numbers worldwide and explains their evolution for selected European countries since the start of the pandemic, taking account of changes in voluntary and government-mandated social distancing, incentives to comply, vaccination and...

This paper provides an analysis of scenarios on the evolution of the EU GDP and aggregate consumption over the period 2020-2030, focusing on the role played by the COVID-19 shock. The gap between estimated precrisis trends and projected paths for three important variables are obtained using...