We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the...

The goals of this paper are twofold: we describe common features in data sets from motor vehicle insurance companies and we investigate a general strategy which exploits the knowledge of such features. The results of the strategy are a basis to develop insurance tariffs. The strategy is applied...

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...