Erik Bølviken   
Norway

Author
 
Date: Thursday, March 21

Session: 84

Financial Risk


Paper

   Stochastic volatility:Modeling the latent process empirically
 


Presentation

* * *

Summary

A non-parametric pseudo-likelihood technique for the estimation of the autocorrelation function of a latent process influencing the volatility of financial variables is proposed and applied to serveral index series. A basic interminateness in the problem is pointed out and the potential of the method indicated.
* * *
 
 

 
Date: Friday, March 22

Session: 90

ASTIN


Paper

   Loss reserves and financial risk: The rich and the poor
 

* * *

Summary

The effect of including financial risk in actuarial reserve calculation is investigated. It is demonstrated that the requirements are quite sensitive towards the investment profile.

* * *
 

Author