It is quite common that the structure of a time series changes abruptly. Identifying these change points and describing the model structure in the segments between these change points is an important task in financial time series analysis. Change point detection is the identification of abrupt...

Generalized additive models for location, scale and shape define a flexible, semi-parametric class of regression models for analyzing insurance data in which the exponential family assumption for the response is relaxed. This approach allows the actuary to include risk factors not only in the...