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Intro; Preface; Contents; About the Editors; The Effect of Rating Contingent Guidelines and Regulation Around Credit Rating News; 1 Introduction; 2 Rating-Based Investment Guidelines; 3 Data and Analysis Implementation; 4 Results; 5 Concluding Remarks; References; Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors; 1 Introduction; 2 Power of Tests in the Heteroskedastic VAR Model with Heavy-Tailed Errors; 3 Empirical Results; 4 Conclusions; References; Inference in a Non-Homogeneous Vasicek Type Model; 1 Introduction and Background; 2 The Model
3 Fitting the Model4 A Simulation Study; References; Small Sample Analysis in Diffusion Processes: A Simulation Study; 1 Introduction; 2 ML Estimation and Bootstrap Correction; 3 Simulation Experiment and Results; References; Using Deepest Dependency Paths to Enhance Life ExpectancyEstimation; 1 Introduction; 2 Methodology; 3 Results; References; The Optimal Investment and Consumption for Financial Markets Generated by the Spread of Risky Assets for the Power Utility; 1 Market Model; 2 Stochastic Programming Method; 3 Main Results; References; Combining Multivariate Volatility Models
1 Introduction2 MCS Combination Strategy; 3 Empirical Analysis; References; Automatic Detection and Imputation of Outliers in Electricity Price Time Series; 1 Introduction; 2 Time Series Outlier Detection and Imputation; 3 Results and Discussion; References; Bayesian Factorization Machines for Risk Management and Robust Decision Making; 1 Introduction; 2 Prediction; 3 Multiobjective Optimization; References; Improving Lee-Carter Forecasting: Methodology and Some Results; 1 Introduction and Literature; 2 Mathematical Framework and Empirical Methodology
3 Graphical Assessment of the Predictive Accuracy of the ``mLC'' Model4 Concluding Remarks; References; The Bank Tailored Integrated Rating; 1 Motivation and Methodology; 2 Stylized Mathematical Approach; 3 Summaries and Future Developments; Appendix; References; A Single Factor Model for Constructing Dynamic Life Tables; 1 Single Factor Model; 1.1 Adjusting a Sensitivity Function to bx,x*; 1.2 Forecasting Mortality Rates; 2 Lee-Carter (1992) Model; 3 Comparison Between the Single Factor Model and the Lee-Carter Model; References; Variable Annuities with State-Dependent Fees; 1 Introduction
2 The Structure of the Contract3 Valuation Framework; 3.1 The Static Approach; 3.2 The Mixed Approach; 4 Numerical Implementation; References; Dynamic Policyholder Behavior and Surrender Option Evaluation for Life Insurance; 1 Introduction; 2 A Model for the Lapse Rate Estimation According to Policyholder Behavior; 2.1 Step 1; 2.2 Step 2; 3 Some Numerical Results; References; Classification Ratemaking via Quantile Regression and a Comparison with Generalized Linear Models; 1 Introduction; 2 A Quantile Premium Principle Based on a Two-Part Model
3 Fitting the Model4 A Simulation Study; References; Small Sample Analysis in Diffusion Processes: A Simulation Study; 1 Introduction; 2 ML Estimation and Bootstrap Correction; 3 Simulation Experiment and Results; References; Using Deepest Dependency Paths to Enhance Life ExpectancyEstimation; 1 Introduction; 2 Methodology; 3 Results; References; The Optimal Investment and Consumption for Financial Markets Generated by the Spread of Risky Assets for the Power Utility; 1 Market Model; 2 Stochastic Programming Method; 3 Main Results; References; Combining Multivariate Volatility Models
1 Introduction2 MCS Combination Strategy; 3 Empirical Analysis; References; Automatic Detection and Imputation of Outliers in Electricity Price Time Series; 1 Introduction; 2 Time Series Outlier Detection and Imputation; 3 Results and Discussion; References; Bayesian Factorization Machines for Risk Management and Robust Decision Making; 1 Introduction; 2 Prediction; 3 Multiobjective Optimization; References; Improving Lee-Carter Forecasting: Methodology and Some Results; 1 Introduction and Literature; 2 Mathematical Framework and Empirical Methodology
3 Graphical Assessment of the Predictive Accuracy of the ``mLC'' Model4 Concluding Remarks; References; The Bank Tailored Integrated Rating; 1 Motivation and Methodology; 2 Stylized Mathematical Approach; 3 Summaries and Future Developments; Appendix; References; A Single Factor Model for Constructing Dynamic Life Tables; 1 Single Factor Model; 1.1 Adjusting a Sensitivity Function to bx,x*; 1.2 Forecasting Mortality Rates; 2 Lee-Carter (1992) Model; 3 Comparison Between the Single Factor Model and the Lee-Carter Model; References; Variable Annuities with State-Dependent Fees; 1 Introduction
2 The Structure of the Contract3 Valuation Framework; 3.1 The Static Approach; 3.2 The Mixed Approach; 4 Numerical Implementation; References; Dynamic Policyholder Behavior and Surrender Option Evaluation for Life Insurance; 1 Introduction; 2 A Model for the Lapse Rate Estimation According to Policyholder Behavior; 2.1 Step 1; 2.2 Step 2; 3 Some Numerical Results; References; Classification Ratemaking via Quantile Regression and a Comparison with Generalized Linear Models; 1 Introduction; 2 A Quantile Premium Principle Based on a Two-Part Model