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A multivariate Tweedie lifetime model : censoring and truncation

Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael - In: Insurance / Mathematics & economics 64 (2015), pp. 203-213

Persistent link: https://www.econbiz.de/10011398009

Lifetime dependence models generated by multiply monotone functions

Alai, Daniel H.; Landsman, Zinoviy - In: Scandinavian actuarial journal (2018) 7, pp. 576-604

Persistent link: https://www.econbiz.de/10011939711

Inhomogeneous Dependency Modelling with Time Varying Copulae

Giacomini, Enzo - 2017

Measuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of...

Persistent link: https://www.econbiz.de/10012966239

A tractable model for indices approximating the growth optimal portfolio

Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10010347344

Inhomogeneous dependency modelling with time varying copulae

Giacomini, Enzo; Härdle, Wolfgang; Ignatieva, Ekaterina; … - 2006

Persistent link: https://www.econbiz.de/10003402279

Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions

Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 65 (2015), pp. 172-186

Persistent link: https://www.econbiz.de/10011428649

Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices

Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75

Persistent link: https://www.econbiz.de/10011389699

[Rezension von: Gourieroux, Christian; Jasiak, Joann, The econometrics of individual risk, credit, insurance, and marketing]

Sherris, Michael - In: Journal of economic literature 45 (2007) 4, pp. 1049-1053

Persistent link: https://www.econbiz.de/10003632655

Scenario selection with LASSO regression for the valuation of variable annuity portfolios

Nguyen, Hang; Sherris, Michael; Villegas, Andrés M.; … - In: Insurance : mathematics and economics 116 (2024), pp. 27-43

Persistent link: https://www.econbiz.de/10015066777

Affine mortality : a Github repository for estimation, analysis and projection of affine mortality models

Ungolo, Francesco; Sherris, Michael; Zhou, Yuxin - 2021

Persistent link: https://www.econbiz.de/10012628991