The paid-incurred chain (PIC) reserving method is a claims reserving method in general insurance that allows to combine claims payments and incurred losses information in a mathematical consistent way. The main criticism on the original Bayesian log-normal PIC model presented in Merz-Wuthrich...

What is the probability of high inflation; how high, when? These questions are important to all investors since even the 2% level to which we are accustomed will cut an investor's portfolio by over 17% during a decade. This 2% level is the target of the Federal Reserve, along with near 0%...

Accurate Value at Risk (VaR) estimations are crucial for the robustness and stability of a financial system. Even though significant advances have been made in the field of risk modelling, many crises have emerged during the same period, and an explanation for this is that the advanced models...

We construct measures of uncertainty and its dispersion exploiting the heterogeneity of a large set of model predictions. The approach is forward-looking, can be computed in real-time, and can be applied at any frequency. We illustrate the methodology with expected shortfall predictions of...

We propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the 2008/9 financial crisis, we demonstrate how the approach can be used for timely systemic risk monitoring of large European banks and...

We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong predictive content for the future distribution of market returns. This is a robust feature of the last century of U.S. data and, most importantly, can be exploited in real time....

This paper investigates the performance of inflation indicators for predicting the probability of inflation falling inside or outside constant and moving target ranges with a probit model for U.S. data. Particular attention will be given to the moving target range that future inflation will be...