This article proposes a neural-network approach to predict and simulate human mortality
rates. This semi-parametric model is capable to detect and duplicate non-linearities observed …

We propose a model for short-term rates driven by a self-exciting jump process to reproduce
the clustering of shocks on the Euro overnight index average (EONIA). The key element of …

This paper addresses the modelling of human mortality by the aid of doubly stochastic
processes with an intensity driven by a positive Lévy process. We focus on intensities having a …

This paper studies a switching regime version of Merton's structural model for the pricing of
default risk. The default event depends on the total value of the firm's asset modeled by a …

Wavelet theory is known to be a powerful tool for compressing and processing time series
or images. It consists in projecting a signal on an orthonormal basis of functions that are …

This paper proposes a multidimensional Lee–Carter model, in which the time dependent
components are ruled by switching regime processes. The main feature of this model is its …

This study analyzes the impact of contagion between financial and non-life insurance
markets on the asset–liability management policy of an insurance company. The indirect …

Affine Volterra processes have gained more and more interest in recent years. In particular,
this class of processes generalizes the classical Heston model and the more recent rough …

Quantitative finance no longer needs an introduction. Mathematical modeling has opened
new perspectives both for trading and for risk management. Sometimes seen as a thread …

This article establishes the moment generating function (mgf) of self-excited claim processes
with memory functions that admit a Fourier's transform representation. In this case, the claim …