Reserving in general insurance is often done using chain-ladder-type methods.  We propose a method aimed at situations where there is a sudden change in the economic environment affecting the policies for all accident years in the reserving triangle.  It is shown that methods for forecasting...

For some time there has been a puzzle surrounding the seasonal behaviour of stock returns. This paper demonstrates that there is an asymmetric relationship between risk and return across the different months of the year. The paper finds that systematic risk is only priced during the months of...

A spline-DCS model is developed to forecast the conditional distribution of high-frequency financial data with periodic behavior. The dynamic cubic spline of Harvey and Koopman (1993) is applied to allow diurnal patterns to evolve stochastically over time. An empirical application illustrates...

In this article, we study the pattern as well as the systematic features of the calendar effect perceived in the intraday volatility of the foreign exchange rate of the euro vis-à-vis the dollar at five minutes of intervals. We obtain by the means of this analysis a differentiation of these...

Reserving in general insurance is often done using chain-ladder-type methods. We propose a method aimed at situations where there is a sudden change in the economic environment affecting the policies for all accident years in the reserving triangle. It is shown that methods for forecasting...

Analyses the situation of female migrant workers. Presents the legislative framework relating to immigration, trafficking and the employment of migrants.