Standardised mortality-linked securities are easier to analyse and more conducive to the development of liquidity. However, when a pension plan relies on standardised instruments to hedge its longevity risk exposure, it is inevitably subject to various forms of basis risk. In this paper, we use...

We describe an algorithm for estimating the parameters of time-series models expressed in state-space form. The algorithm is based on the EM algorithm, and generalizes an algorithm given by Shumway and Stoffer (1982)

Purpose – In the USA, private insurance companies serve as an integral part of the delivery and risk sharing of the federal crop insurance program. Governed by the Standard Reinsurance Agreement (SRA), private crop insurance companies must designate an eligible crop insurance contract to the...

We present an approach via a multivariate preconditioned conjugate gradient (MPCG) algorithm for maximum likelihood estimation of parameters from vector ARFIMA models with Gaussian errors. This approach involves the solution of a block-Toeplitz system, and Monte Carlo integration over the...

We present an approach for exact maximum likelihood estimation of parameters from univariate and multivariate autoregressive fractionally integrated moving average models with Gaussian errors using the Expectation Maximization (EM) algorithm. The method takes advantage of the relation between...

Purpose – The purpose of this research is examine the development of livestock mortality insurance, and associated challenges, in order to provide an improved understanding regarding the operation of livestock mortality insurance. Design/methodology/approach – In a many countries, livestock...

Purpose – China frequently suffers from weather-related natural disasters and weather risk is recognized as a source of wide-spread systemic risk throughout large swaths of China. During these periods farmers' crops are at risk and for a largely poor population few can afford the turmoil to...