“...In this paper we focus on robust linear optimization problems with uncertainty regions defined by φ -divergences (for example, chi-squared, Hellinger,...”

“...The vast literature on extrapolative stochastic mortality models focuses mainly on the extrapolation of past mortality trends and summarizes the trends by one...”

“...Forecasted mortality rates using mortality models proposed in the recent literature are sensitive to the sample size. In this paper we propose a method based...”

“...We propose a procedure to take model risk into account in the computation of capital reserves. This addresses the need to make the allocation of capital...”

“...In this paper we present a framework for backtesting all currently popular risk measurement methods for quantifying market risk (including value-at-risk and...”

“...We consider defined benefit pension plans that, at retirement age, allow the participant to choose between a single life annuity and a joint and survivor...”

“...We analyze the importance of longevity risk for the solvency of portfolios of pension annuities. We distinguish two types of mortality risk. Micro-longevity...”

“...In this paper, we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan. We analyze both...”

“...We empirically analyze the impact of transaction costs on the performance of essentially affine interest rate models. We test the implied Euler restrictions...”

“...In this paper we model expenditure on housing for owners and renters by means of endogenous switching regression models for panel data. We explain the share of...”