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Quantitative Risk Solutions Lab
Prof. Gareth W. Peters
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]
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