Events

Monday, June 19, 2017 — 4:00 PM EDT

Risk Measures in a Quantile Regression Credibility Framework

Here, we extend the idea of embedding the classical credibility model into risk measures, as was presented by Pitselis (2016), to the idea of embedding regression credibility into risk measures. The resulting credible regression risk measures capture the risk of individual insurer's contract (in finance, the individual asset return portfolio) as well as the portfolio risk consisting of several similar but not identical contracts (in finance, several similar portfolios of asset returns),  which are grouped together to share the risk. In insurance, credibility plays a special role of spreading the risk. In financial terminology, credibility plays a special role of diversification of risk. For each model, regression credibility models are established  and  the robustness of these models is investigated. Applications to Fama/French financial portfolio data are also presented.

Thursday, June 15, 2017 — 4:00 PM EDT

Change point detection in functional time series models for yield curves


Yield curves are functions defined on  time to maturity with corresponding values equal to yield (interest) on a bond, typically a standardized government issued instrument. Yield curves are commonly used to predict future states of the economy on the basis of the interest investors demand for government debt of various maturities. These curves form a time series of functions, one function per day. The talk will discuss methods of detecting a change point in the mean function of such a  functional time series. After reviewing related  research, we will present two methods: one which uses a factor representation of the yield curves, the other a fully nonparametric method. Both methods permit the second order structure to change independently of the changes in the mean structure. Based on the asymptotic theory, two numerical approaches to the implementation of the tests will be presented and compared. The methodology will be illustrated by a simulation study and an application to US Federal Reserve yield curves. 

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