This paper propose to incorporate the family of Gegenbauer Autoregressive Moving Average (GARMA) models and a special sub family called the Autoregressive Fractionally Integrated Moving Average (ARFIMA) models into the mean functions of count distributions, including Poisson, Negative Binomial...

In this paper we demonstrate how to develop analytic closed form solutions to optimal multiple stopping time problems of direct relevance to applications in insurance for Operational Risk. Within this context we study a class of insurance products where the policy holder has the option to insure...

In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation...

Several international electronic financial exchanges have begun to announce they will explore the adoption of blockchain technology in their trade processing and reporting for execution and clearing. Therefore, in this work we will begin by providing a detailed discussion and overview of the new...

This response has been put together by academics and in total independence of any corporate or individual interests. Our results are solely driven by scientific analysis and presented in the interest of the financial and business community, both the regulated entities and the regulators alike....

In this manuscript we explore a range of perspectives being adopted by industry and regulators in order to classify cyber crime or cyber risk loss processes. The purpose of this is to better understand and discuss the emerging perspectives on this class of risk process in order to inform...

Increasing the accuracy of forecasting of mortality rates and improving the projection of life expectancy is an important consideration for insurance companies and governments since misleading predictions may result in insufficient funds for retirement and pension plans. The existence of long...

A new class of models for non-Gaussian spatial random fields is developed for spatial field reconstruction in environmental and sensory network monitoring. The developed family of models utilises a class of transformation functions known as the Tukey g-and-h transformation to create a new class...

Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under the generalised linear modelling framework. In this...

In this paper we develop a class of applied probabilistic continuous time but discretized state space decompositions of the characterization of a multivariate generalized diffusion process. This decomposition is novel and, in particular, it allows one to construct families of mimicking classes...