In a bonus-malus system in car insurance, the bonus class of a customer is updated from one year to the next as a function of the current class and the number of claims in the year (assumed Poisson). Thus the sequence of classes of a customer in consecutive years forms a Markov chain, and most...

This paper relaxes the assumption of conditional normal innovations used by Fornari and Mele (1997) in modelling the asymmetric reaction of the conditional volatility to the arrival of news. We compare the performance of the Sign and Volatility Switching ARCH model of Fornari and Mele (1997) and...

We study the shape of the log-returns density $f(x)$ in a CGMY L\'evy process $X$ with given skewness $S$ and kurtosis $K$ of $X(1)$ and without a Brownian component. The jump part of such a process is specified by the L\'evy density which is $C\e^{-Mx}/x^{1+Y}$ for $x0$ and...