Longevity Risk becomes an important challenge in the recent Year because of the decreases in the mortality rates and the rising in the life expectancy through the decades. In this article, we propose a consistent multi-factor dynamics affine mortality model to the longevity risk modeling, we...

The modeling of wind speed is a traditional topic in meteorological researches where the main interest is on the short term forecast of wind speed intensity and direction. More recently this theme has received some interest in the quantitative finance literature for its relations with the...

PurposeThe purpose of this paper is to propose an improved reinsurance pricing framework, which includes a crop yield forecasting model that integrates weather variables and crop production information from different geographically correlated regions using a new credibility estimator, and closed...

In this study we propose a stochastic mortality forecast model that may be viewed as a Lévy process. First, age, period and cohort effects are objectively identified in a given matrix of historic mortality data. Next, these patterns are removed from the matrix of mortality improvement rates. We...

We introduce the Qualitative Expectations Hypothesis (QEH) as a new approach to modeling macroeconomic and Financial outcomes. Building on John Muth's seminal insight underpinning the Rational Expectations Hypothesis (REH), QEH represents the market's forecasts to be consistent with the...

We introduce the Qualitative Expectations Hypothesis (QEH) as a new approach to modeling macroeconomic and Financial outcomes. Building on John Muth's seminal insight underpinning the Rational Expectations Hypothesis (REH), QEH represents the market's forecasts to be consistent with the...

We introduce the Qualitative Expectations Hypothesis (QEH) as a new approach to modeling macroeconomic and financial outcomes. Building on John Muth's seminal insight underpinning the Rational Expectations Hypothesis (REH), QEH represents the market's forecasts to be consistent with the...

We consider the problem of finding a valid covariance matrix in the FX market given an initial non-PSD estimate of such a matrix. The standard no-arbitrage assumption implies additional linear constraints on such matrices, which automatically makes them singular. As a result, one cannot just...