Department: Business.

We introduce a novel approach to optimal investment-reinsurance problems of an insurance company facing model uncertainty via a game theoretic approach. The insurance company invests in a capital market index whose dynamics follow a geometric Brownian motion. The risk process of the company is...

We propose a novel empirical framework to assess the likelihood of joint and conditional failure for Euro area sovereigns. Our model is based on a dynamic skewed-t copulawhich captures all the salient features of the data, including skewed and heavy-tailed changes in the price of CDS protection...

We present a simple new methodology to allow for time variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. We update parameters using the score of the forecasting distribution rather than squared lagged observations. This allows the parameter...

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...

We consider a stochastic volatility stock price model in which the volatility is a non-centered continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Lo\`{e}ve expansion for the integrated variance, and using sharp estimates of the density of a...

Due to poverty, serious soil erosion and shortage of rural household energy in Loess Hilly Region, Gansu Province, China, excessive consumption of biofuel has become a critical factor underlying eco-environment degeneration. Data on rural household energy use was obtained by questionnaires, and...

To better understand how city-level greenhouse gas (GHG) emissions have evolved, we performed a multi-sectoral decomposition analysis to disentangle the GHG emissions in Tianjin from 2001 to 2009. Five sectors were considered, including the agricultural, industrial, transportation, commercial...

In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bonds are available. Different from classical optimal investment and reinsurance problem, this paper studies the...