In this paper we address the issue of modeling and forecasting electricity loads. We apply a two-step procedure to a series of system-wide loads from the California power market. First, we remove the weekly and annual seasonalities. Then, after analyzing properties of the deseasonalized data we...

It is common practice in most insurance lines for the coverage to be restricted by a deductible. In the paper we investigate the influence of deductibles on pure risk premiums. We derive simple but practical formulae for premiums under franchise, fix amount, proportional, limited proportional...

In this paper we investigate properties of R-GARCH processes with positive strictly stable innovations. We derive the unconditional distributions and analyze the dependence structure. This analysis is carried out by means of the measure of dependence - the codifference - which extends the...