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Volatility in financial time series is mainly analysed through two classes of models; the Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models and the Stochastic Volatility (SV) ones. GARCH models are straight-forward to estimate using maximum likelihood techniques, while SV models require more complex inferential and computational… (More)

- Jan Terje Kvaløy, Linda Reiersølmoen Neef
- Lifetime data analysis
- 2004

Proportional intensity models are widely used for describing the relationship between the intensity of a counting process and associated covariates. A basic assumption in this model is the proportionality, that each covariate has a multiplicative effect on the intensity. We present and study tests for this assumption based on a score process which is… (More)

- Kjersti Aasa, Linda Reiersølmoen Neef, Lloyd Williams, Dag Raabe
- 2015

A key aspect of the Solvency II regulatory framework is to compute the best estimate of the liabilities. This best estimate should be the probabilityweighted average of future cash-flows, discounted to its present value. Movements in economic variables are often the driving force of changes in liability present values. Hence, many life insurers need… (More)

Projects may be evaluated and compared according to the Net Present Value (NPV) of their cash flow. The NPV is the discounted expected revenues minus the costs over the lifetime of the project. Traditional NPV calculations do not take into account the uncertainty in the variables that influence the revenues and costs. We present a simulation approach to… (More)

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