The distribution of the total incurred losses of an accident year (or underwriting year) is considered. Before commencement of the accident year, there is a prior on this quantity. The distribution may eveolve over time according to Bayesian revision which takes account of the accumulation of...

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisispolicy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative,forward-looking assessments of the resilience of financial systems as a whole, to particularlyadverse shocks. Therefore,...

The cross-classified chain ladder has a number of versions, depending on the distribution to which observations are subject. The simplest case is that of Poisson distributed observations, and then maximum likelihood estimates of parameters are explicit.Most other cases, however, lead to implicit...

Prediction markets for future events are increasingly common, and they often trade several contracts for the same event. This paper considers the distribution of a normative risk-neutral trader who, given any portfolio of contracts traded on the event, would choose not to reallocate that...

The sample covariance matrix is known to contain substantial statistical noise, making it inappropriate for use in financial decision making. Leading researchers have proposed various filtering methods that attempt to reduce the level of noise in the covariance matrix estimator. In most cases,...

This study proposes a Bayesian approach for exact finite-sample inference of an instrument-free estimation method that builds upon joint estimation using copulas to deal with endogenous covariates. Although copula approaches with applications to handle regressor-endogeneity have been frequently...

Cet article est une revue de la littérature où le temps passé dans un état est une variable aléatoire issue d’un mélange continu de distributions. Elle s’est constituée à partir de l’estimation de fonctions de hasards et de méthodes d’approximations d’intégrales. Nous...

This paper discusses a tool for optimization of econometric models based on genetic algorithms. First, we briefly describe the concept of this optimization technique. Then, we explain the design of a specifically developed algorithm and apply it to a difficult econometric problem, the...

Predicting default probabilities is at the core of credit risk management and is becoming more and more important for banks in order to measure their client's degree of risk, and for firms to operate successfully. The SVM with evolutionary feature selection is applied to the CreditReform...