June 2020 - 35 articles
The cornerstone of the capital asset pricing model (CAPM) lies with its beta. The question of whether or not beta is dead has attracted great attention from academics and practitioners in the last 50 years or so, and the debate is still ongoing. Many...
We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time....
Cryptocurrencies have recently captured the interest of the econometric literature, with several works trying to address the existence of bubbles in the price dynamics of Bitcoins and other cryptoassets. Extremely rapid price accelerations, often ref...
The goal of this paper is to develop regression models and postulate distributions which can be used in practice to describe the joint development process of individual claim payments and claim incurred. We apply neural networks to estimate our regre...
This note revisits the ideas of the so-called semiparametric methods that we consider to be very useful when applying machine learning in insurance. To this aim, we first recall the main essence of semiparametrics like the mixing of global and local...
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