Similar Search Results

Parameter risk in time-series mortality forecasts

Kleinow, Torsten; Richards, Stephen J. - In: Scandinavian actuarial journal (2017) 9, pp. 804-828

Persistent link: https://www.econbiz.de/10011848682

Longevity risk analysis : applications to the Italian regional data

Scognamiglio, Salvatore - In: Quantitative finance and economics 6 (2022) 1, pp. 138-157

Persistent link: https://www.econbiz.de/10013498884

Disentangling trend risk and basis risk with functional time series

Liu, Yanxin; Li, Johnny Siu-Hang - In: Risks : open access journal 11 (2023) 12, pp. 1-18

trend risk and population basis risk. In particular, the cross- and auto-correlations between the innovations of the latent … uncorrelated. This permits us to disentangle trend risk and population basis risk, thereby sparing us from the need to use a …

Persistent link: https://www.econbiz.de/10014446577

Technical note: cyclic variables and Markov decision processes

Haviv, Avery - In: Operations research 68 (2020) 4, pp. 1231-1237

Persistent link: https://www.econbiz.de/10012288435

Time Series Forecasting With a Learning Algorithm : An Approximate Dynamic Programming Approach

Collado, Ricardo - 2019

We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future...

Persistent link: https://www.econbiz.de/10012894079