Preprint Journal Papers Risk and Insurance

Title:   Stochastic Period and Cohort Effect State Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principle Components.

Toczydlowska D., Peters G.W., Fung M.C. and Shevchenko P.V.

Preprint [SSRN] and [arXiv]

Title:   Stress-Testing European Sovereign Yield Curves Using Liquidity and Credit Quality Factros (a Multi-curve stress testing framework)

Karimalis E., Kosmidis I. and Peters G.W.

Preprint [SSRN]

Title:   A Unified Approach to Mortality Modelling Using State-Space Framework: Characterisation, Identification, Estimation and Forecasting.

Fung M.C., Peters G.W., and Shevchenko P.V.

Preprint [SSRN] and [arXiv]

1 / 1

Please reload

QRSLab since 2009

  • LinkedIn Social Icon
  • Twitter Social Icon
  • Google+ Social Icon