Force of mortality is defined using an exponential function of Legendre polynomials, as in Renshaw et al. (1996), plus an extra term which captures mortality shocks. For the extra term Ballotta Haberman (2006) and Ahmadi et al. (2015) consider an Ornstein-Uhlenbeck while we suggest using Lévy...

In this paper we introduce a multivariate Independent Component COGARCH(p,q) model for financial time series. We determine optimal portfolio weights obtained as a solution of different static asset allocation problems. Empirical analysis is conducted on two datasets. The first is composed by 154...

In this paper we investigate empirically the effect of using higher moments in portfolio allocation when parametric and non parametric models are used. The non parametric model considered in this paper is the sample approach while the parametric one is constructed assuming Multivariate Variance...

In this paper we introduce a new parametric distribution, the Mixed Tempered Stable. We show that, by choosing appropriately the value of the distribution parameters, it is possible to obtain some well-known distributions as special cases. The better fit to market returns and to statistical...