An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the time series and quantiles of the distribution of a...

An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the time series and quantiles of the distribution of a...

The idea of using common Posson shock processes to model dependent event frequencies is well known in the reliability literature. In this paper we examine these models in the context of insurance loss modelling and credit risk modelling...

Hedging methods to mitigate the exposure of variable annuity products to market risks require the calculation of market risk sensitivities (or "Greeks"). The complex, path-dependent nature of these products means these sensitivities typically must be estimated by Monte Carlo simulation. Standard...

This paper examines latent risk factors in models for migration risk. We employ thestandard statistical framework for ordered categorical variables and induce dependencebetween migrations by means of latent risk factors. By assuming a Markov process forthe dynamics of the latent factors, the...

We consider the modelling of rare events in financial time series,and introduce a marked point process model for the excesses of thetime series over a high threshold that combines a self-exciting processfor the exceedances with a mark (size) dependent process. This allowsrealistic models for...