We introduce new semi-parametric models for the analysis of rates and proportions, such as proportions of default, (expected) loss-given-default and credit conversion factor encountered in credit risk analysis. These models are especially convenient for stress test exercises. We show that...

We introduce a general state-space (or latent factor) model for time series and panel data. The state process has a polynomial expansion based dynamics that can approximate any Markov dynamics arbitrarily well, and has a latent, endogenous switching regime interpretation. The resulting...

In some survival analysis, characterizing tail properties is of vital importance because of the huge economic cost associated with the large duration samples. In this paper, I study asymptotic properties in bivariate survival models with bivariate heterogeneity (frailty).I derive the appropriate...

This paper studies count processes in Insurance, in which we allow the underlying risk factor to be partially unobservable and potentially time-varying. We propose a Poisson model with a stochastic intensity, or dynamic frailty process. It is based on an autoregressive gamma process, which...