Linda Reiersølmoen Neef

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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)
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)
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)
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