This article discusses the determination of risk capital based on quot;aversionquot; functions. Aversion functions weigh different outcomes according to perceived severity or likelihood. Many risk measures are usefully viewed in terms of aversion functions including those arising from distortion...

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...

The smoothing filter is appropriately modified for state space models with an unknown initial condition. Modifications are confined to an initial stretch of the data. An application illustrates procedures. Copyright 2003 Blackwell Publishing Ltd.

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...