This article discusses the determination of risk capital based on "aversion" functions. Aversion functions weigh different outcomes according to perceived severity. Many practical and popular risk measures are usefully viewed in terms of aversion functions including those arising from distortion...

This article explores alternative state space representations for ARMA models. We advocate representations that have minimal state order and appealing Kalman filter steady state properties. We derive expressions for smoother output and describe concrete connections to classical infinite sample...

The Lee-Carter method for mortality forecasting is outlined, discussed and improved utilizing standard time series approaches. The new framework, which integrates estimation and forecasting, delivers more robust results and permits more detailed insight into underlying mortality dynamics. An...