We consider a quadratic stochastic intensity model with Gaussian autore-gressive factor, derive explicit formulas for the predictive mortality tables andprovide the recursive updating formulas are also provided. We also explainhow to use appropriately the Kalman ¯lter to estimate the parameters...

We develop a unified approach with closed-form solutions for pricing bonds, stocks,currencies and their derivatives. The specification assumes a fundamental risk factorrepresented by a stochastic positive definite matrix following a Wishart autoregressive(WAR) process. By assuming a...

Risks are usually represented and measured by volatility-covolatility matrices.Wishart processes are models for a dynamic analysis of multivariaterisk, that describe the evolution of stochastic volatility-covolatility matrices,constrained to be symmetric positive definite. The autoregressive...

This paper provides a uni¯ed statistical framework for the analysis of distortion riskmeasures (DRM) and of their sensitivities with respect to parameters representing riskaversion and/or pessimism. We derive the general formula for calculating the functionalasymptotic distribution of the...