The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears naturally in rating triggered step-up bonds, where the...

Market risks are the prospect of financial losses- or gains- due to unexpected changes in market prices and rates. Evaluating the exposure to such risks is nowadays of primary concern to risk managers in financial and non-financial institutions alike. Until late 1980s market risks were estimated...

Property claim services (PCS) provides indices for losses resulting from catastrophic events in the US. In this paper, we study these indices and take a closer look at distributions underlying insurance claims. Surprisingly, the lognormal distribution seems to give a better fit than the Paretian...

If, in the mid 1980?s, one had asked the average statistician about the difficulties of using Bayesian Statistics, his/her most likely answer would have been ?Well, there is this problem of selecting a prior distribution and then, even if one agrees on the prior, the whole Bayesian inference is...

Behavioral studies and recent empirical research suggest higher levels of inventory on hand can lead consumers to increase consumption. Inventory on hand is therefore posited to exert two countervailing forces on the probability of purchase incidence. First, higher levels of inventory reduce the...

The paper analyzes the adoption of various e-business technologies. Strong empirical evidence is found for the existence of increasing returns to adoption due to indirect network externalities between related technologies. If a company is close to the technological frontier, its probability of...

We study the asymptotic behaviour of frequency domain maximum likelihood estimators of mis-specified models of long memory Gaussian series. We show that even if the long memory structure of the time series is correctly specified, mis-specification of the short memory dynamics may result in...

Many methods of computational statistics lead to matrix-algebra or numerical- mathematics problems. For example, the least squares method in linear regression reduces to solving a system of linear equations. The principal components method is based on finding eigenvalues and eigenvectors of a...

We solve an N 2 N player general-sum differential game. The optimization problem considered here is based on the Uzawa Lucas model of endogenous growth. Agents have logarithmic preferences and own two capital stocks. Since the number of players is an arbitrary fixed number N 2 N, the model?s...