We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be calculated using this model. We use ultra-high-frequency data for blue-chip companies to motivate a particular choice of...

Las compañías aseguradoras deben calcular la cuantía de las reservas y la dotación de provisiones para hacer frente al pago de siniestros que o bien no han sido comunicados o bien no han sido cerrados. En este trabajo, se aplica el método Chain-Ladder para la estimación puntual de las...

In order to handle past and future liability taken by insurance contracts concluded, any insurance company must constitute and maintain technical reserves. Substantiating technical reserves is done through actuarial methods and its over-evaluation or under-evaluation influence solvency and...

This article explores Bayesian joint models of event times and longitudinal measures with an attempt to overcome departures from normality of the longitudinal response, measurement errors, and shortages of confidence in specifying a parametric time-to-event model. We allow the longitudinal...

Models for survival data generally assume that covariates are fully observed. However, in medical studies it is not uncommon for biomarkers to be censored at known detection limits. A computationally-efficient multiple imputation procedure for modeling survival data with covariates subject to...

In this paper, we discuss Bayesian inference of unobserved heterogeneity for unemployment duration data in the presence of right and interval-censoring, and non-proportionality. We employ accelerated failure time models with three different distributional assumptions: log-logistic, log-normal,...

The problem of estimating the parameters in a generalized linear model when a covariate is subject to censoring is studied. A new method based on an estimating function approach is proposed. The method does not assume a parametric form for the distribution of the response given the regressors...

Quantile regression offers a semiparametric approach to modeling data with possible heterogeneity. It is particularly attractive for censored responses, where the conditional mean functions are unidentifiable without parametric assumptions on the distributions. A new algorithm is proposed to...