Davi Michel Valladão, Álvaro Veigas e Alexandre Street
The literature of portfolio optimization is extensive and covers several important aspects of the asset allocation problem. However, previous works consider simplified linear Read More →
Econometrics, Finance
César Neves, Cristiano Fernandes e Henrique Hoeltgebaum
This paper extends the well-known Lee-Carter model used for forecasting mortality rates by utilizing a new class of time series models, known as Generalized Autoregressive Score (GAS) Read More →
Econometrics, Insurance
Mariana Arozo, Cristiano Fernandes e Eduardo Melo
In the insurance industry, premium estimation and ruin probability valuation depend fundamentally on the aggregate claims distribution. From the mathematical point of view, the aggregated Read More →
Econometrics, Energy, Finance
César Neves, Cristiano Fernandes e Álvaro Veiga
In this article, a multivariate structural time series model with common stochastic trends is proposed to forecast longevity gains of a population with a short time series of observed Read More →
Econometrics, Machine Learning, Time Series
