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Quantifying Biometric Life Insurance Risks With Non-Parametric Smoothing Methods
Life tables are used to describe the one-year probability of death within a well defined population as a function of attained age and calendar year. These... -
WEATHER DERIVATIVES : ECONOMETRICS AND FINANCIAL ASPECTS
This thesis is one of the first research studies about weather derivatives. Firstly, it focuses on the modelling of temperature, which is the most frequent weather... -
An Economic Evaluation of Model Risk in Long-term Asset Allocations
Following the recent crisis and the revealed weakness of risk management practices, regulators of developed markets have recommended that financial institutions assess... -
On the Range of Admissible Term-Structures
In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some...
