We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions...

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions...

We investigate the model of Froot and Stein (1998), a model that has very strong implications for risk management. We argue that their conclusions are too strong and need to be qualified. Also, there are some unusual consequences of their model, which may be linked to the chosen pricing formula

Hiquest;gh, Linton and Nielsen (2006) showed that the famous result in the reward winning paper of Froot and Stein (1998) is not correct in the sense that their result does not follow from their assumptions. In this paper we show that the economic intuition behind the paper of Froot and Stein...

This paper considers Danish insurance business lines, for which the pricing methodology recently has been dramatically upgraded. A costly affair, but nevertheless the benefits greatly exceed the costs; without a proper pricing mechanism, you are simply not competitive. We show that experience...

Reserving in general insurance is often done using chain-ladder-type methods.  We propose a method aimed at situations where there is a sudden change in the economic environment affecting the policies for all accident years in the reserving triangle.  It is shown that methods for forecasting...

It is of considerable interest to forecast future mesothelioma mortality. No measures for exposure are available so it is not straight forward to apply a doseresponse model. It is proposed to model the counts of deaths directly using a Poisson regression with an age-period-cohort structure, but...

It is of considerable interest to forecast future mesothelioma mortality.  No measures for exposure are available so it is not straight forward to apply a dose-response model.  It is proposed to model the counts of deaths directly using a Poisson regression with an age-period-cohort structure,...