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Publications in Uncertainty

Optimal Capital Allocation in a Hierarchical Corporate Structure

Insurance: Mathematics and Economics

English

The Power of Unit Root Tests Against Nonlinear Local Alternatives

Journal of Time Series Analysis

Applied Mathematics

English

Unit Root Tests and Heavy-Tailed Innovations

Journal of Time Series Analysis

Applied Mathematics

English

Bootstrap Joint Prediction Regions

Journal of Time Series Analysis

Applied Mathematics

English

Temporal Aggregation of Seasonally Near-Integrated Processes

Journal of Time Series Analysis

Applied Mathematics

English

The Calculation of Some Limiting Distributions Arising in Near-Integrated Models With GLS Detrending

Journal of Time Series Analysis

Applied Mathematics

English

Sensitivity of Risk Measures With Respect to the Normal Approximation of Total Claim Distributions

Insurance: Mathematics and Economics

English

Full Bayesian Analysis of Claims Reserving Uncertainty

Insurance: Mathematics and Economics

English

Time-Varying Transition Probabilities for Markov Regime Switching Models

Journal of Time Series Analysis

Applied Mathematics

English

On LM-type Tests for Seasonal Unit Roots in the Presence of a Break in Trend

Journal of Time Series Analysis

Applied Mathematics

English