This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a general state-space modelling methodology, which allows...

This paper deals with the estimation of continuous-time diffusion processes which model the dynamics of a well diversified world stock index (WSI). We use nonparametric kernel-based estimation to empirically identify a square root type diffusion coefficient function in the dynamics of the...

This paper addresses one of the main challenges faced by insurance companies and risk management departments, namely, how to develop standardised framework for measuring risks of underlying portfolios and in particular, how to most reliably estimate loss severity distribution from historical...