This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints. Moment constraints are often used to identify and estimate the mean and variance parameters and are however discarded when estimating error quantiles. In order to prevent...

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints. Moment constraints are often used to identify and estimate the mean and variance parameters and are however discarded when estimating error quantiles. In order to prevent...

The main goal is to develop and, consequently, compare stochastic methods for detection whether a structural change in panel data occurred at some unknown time or not. Panel data of our interest consist of a moderate or relatively large number of panels, while the panels contain a small number...

Interest rates are one of the main risk factors for insurance companies. Both assets and liabilities react to the movement of interest rates. Therefore, it is essential to have an adequate model of interest rates for Solvency II applications. Here, we address some of the existing issues under...

Here we make several comments concerning the full nonparametric Bayesian approach that motivated the new techniques in the paper "Credibility estimation of distribution functions with applications to experience rating and general insurance,'' by Cai, Wen, Wu, and Zhou, published in the North...

In this article, we propose a multivariate Pascal mixture regression model as an alternative to understand the association between multivariate count response variables and their covariates. When compared to the copula approach, this proposed class of regression models is not only less complex...

The structure of a typical rainfall insurance is complex; insurance payoffs are based on many parameters such as the rainfall volume, the rainfall distribution (the number of consecutive dry days), the number of days with excess rainfall etc. Such a complex insurance structure is essential to...

The iterated Bornhuetter-Ferguson loss reserving method generates an infinite sequence of reserve formulas, with the chain ladder and Bornhuetter-Ferguson formulas at opposite extremes. The sequence also contains the Benktander-Hovinen formula. Although the literature contains parametric...

We derive in a straightforward manner and through a unified framework the main known results related to the estimation of the ultimate prediction uncertainty within the famous Mack's distribution-free chain-ladder model, specifically, the Mack and BBMW formulas, and explain the deviation between...

In the same spirit as the Mack standard deviation for non-life reserves, which can be estimated with a closed-form formula applied to a loss development triangle (see Mack 1993), this article introduces a closed-form formula to estimate the skewness of non-life reserves which can also be applied...