The Value-at-Risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional approaches to VAR computations - the variance-covariance method, historical simulation, Monte Carlo simulation, and stress-testing - do not provide satisfactory evaluation of possible...

The Value-at-Risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional approaches to VAR computations -the variance-covariance method, historical simulation, Monte Carlo simulation, and stress-testing- do not provide satisfactory evaluation of possible...

This paper proposes a new and unified framework for the Sen and Sen-Shorrocks-Thon indices of poverty intensity, which shows an explicit connection between the two indices and the undelying social evaluation function. This paper also identifies the common multiplicative decomposition of the two...

Hodrick-Prescott (HP) Filter of (most often, seasonally adjusted) quaterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that HP...

In this paper we show how the assumption that higher moments do not depend on the regressors can be exploited in a GMM framework, and we provide very simple estimators that are equivalent to GMM estimators. These simple estimators can be calculated by linear regressions which have been augmented...

Bergin and Lipman (1996) show that the refinement effect from the random mutations in the adaptive population dynamics in Kandori, Mailath and Rob (1993) and Young (1993) is due to restrictions on how these mutation rates vary across population states. We here model mutation rates as...

This paper suveys several recently proposed regression-based methods that can be used to evaluate the usefulness of seasonally adjusted data, with specific focus on Census X-12 adjustment. These methods examine whether seasonality has indeed been removed and whether key properties (like a trend...

In this paper, a very general model of survival data with (exclusive or inclusive) right censoring, explanatory processes and a baseline predictable hazard function is considered in the ocntezt of nonparametric Bayasian analysis. particular cases are semiparametric proportional hazards and...

The aim of this paper if to give some comments on two approximations used to price reinstatements related to excess of loss reinsurance. For the pro rate capita clause, we will study the rate on line method. For the pro rate temporis clause, we will study the use of a trivial approximation. The...

The aim of this short note is to investigate the impact of duplicates in a life insurance portfolio by means of the supermodular order. Most classical results involving the variances are generalized using the stop-less order.