This paper discusses different classes of loss models in non-life insurance settings. It then overviews the class of Tukey transform loss models that have not yet been widely considered in non-life insurance modelling, but offer opportunities to produce flexible skewness and kurtosis features...

The ability to test for statistical causality in linear and non-linear contexts, in stationary or non-stationary settings and to identify whether statistical causality influences trend of volatility forms a piratically important class of problems to explore in multi-modal and multivariate...

Nonlinear non-Gaussian state-space models arise in numerous applications in statistics and signal processing. In this context, one of the most successful and popular approximation techniques is the Sequential Monte Carlo (SMC) algorithm, also known as particle filtering. Nevertheless, this...

In many problems, complex non-Gaussian and/or nonlinear models are required to accurately describe a physical system of interest. In such cases, Monte Carlo algorithms are remarkably flexible and extremely powerful approaches to solve such inference problems. However, in the presence of a...

We present a large-scale study of commonality in liquidity and resilience across assets in an ultra high-frequency (millisecond-time stamped) Limit Order Book (LOB) dataset from a pan-European electronic equity trading facility. We first show that extant work in quantifying liquidity...

This article presents a guided introduction to a general class of interacting particle methods and explains throughout how such methods may be adapted to solve general classes of inference problems encountered in actuarial science and risk management. Along the way, the resulting specialized...

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has however become well accepted to utlise a Loss Distributional Approach (LDA) paradigm to model...

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies different insurance policies in the context of capital reduction for a range of extreme loss...

α-stable distributions are utilized as models for heavy-tailed noise in many areas of statistics, finance and signal processing engineering. However, in general, neither univariate nor multivariate αα-stable models admit closed form densities which can be evaluated pointwise. This complicates...

In this paper, we develop novel Markov chain Monte Carlo sampling methodology for Bayesian Cointegrated Vector Auto Regression (CVAR) models. Here we focus on two novel exten sions to the sampling methodology for the CVAR posterior distribution. The first extension we develop replaces the...