Abstract In crush spread commodity trading strategies it is a common practice to select portfolio positions not based on statistical properties, but instead based on physical refinery conditions and efficiency in extracting byproducts from crushing raw soybeans to get soymeal and soyoil. The...

The main objective of this work is to develop a detailed step-by-step guide to the development and application of a new class of efficient Monte Carlo methods to solve practically important problems faced by insurers under the new solvency regulations. In particular, a novel Monte Carlo method...

We revisit the gamma-gamma Bayesian chain-ladder (BCL) model for claims reserving in non-life insurance. This claims reserving model is usually used in an empirical Bayesian way using plug-in estimates for variance parameters, because this empirical Bayesian framework allows us for closed form...