In order to ensure the safe operation of the distribution network and to understand the operation of the distribution network, it is necessary to monitor the various operating parameters of the distribution network in real time and to send the various measurement parameters to the dispatching...

The future revision of capital requirements and a market-consistent valuation of non-hedgeable liabilities lead to an increasing attention on forecasting longevity trends. In this field, many methodologies focus on either modeling mortality or pricing mortality-linked securities (as longevity...

CDO tranche spreads (and prices of related portfolio-credit derivatives) depend on the market’s perception of the future loss distribution of the underlying credit portfolio. Applying Sklar’s seminal decomposition to the distribution of the vector of default times, the portfolio-loss...

This paper explores the possibility of evaluating the adequacy of Markov-switching time series models by comparing selected functionals (such as the spectral density function and moving empirical moments) obtained from the data with those of the fitted model using a bootstrap algorithm. The...