Publications/Finance

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2013

  • Grønneberg, S; Hjort, NL. The Copula Information Criterion. Accepted for publication in Scandinavian Journal of Statistics.
  • Günther, C-C; Tvete, IF; Aas, K; Hagen, JA; Kvifte, L; Borgan, Ø. Predicting Future Claims Among High Risk Policyholders Using Random Effects. Accepted for publication in Dmitrii Silvestrov and Professor Anders Martin-Löf (eds.): Modern Problems in Insurance Mathematics (International Cramér Symposium on Insurance Mathematics), Springer, 2014.


2012


Reports:

  • Aas, K; Holden, M. Importance Sampling from DNB's Credit Risk Model. NR-Note, SAMBA/31/12, 2012.
  • Aas, K; Kwong Yew Low, R. Portfolio optimization using pair-copula constructions. NR-Note, SAMBA/62/12, 2012.
  • Günther, CC; Aas, K. Model for prediction of client churn. NR-Note, SAMBA/58/12, 2012.


2011

  • Aas, Kjersti; Berg, Daniel: Modelling dependence between financial returns using pair-copula constructions. In DEPENDENCE MODELING: Handbook on Vine Copulae, D. Kurowicka and Harry Joe (eds.), World Scientific Publishing Co., February 2011.
  • Cooke, Roger M; Joe, Harry; Aas, Kjersti: Vines Arise. In DEPENDENCE MODELING: Handbook on Vine Copulae, D. Kurowicka and Harry Joe (eds.), World Scientific Publishing Co., February 2011.
  • Grønneberg, Steffen: The Copula Information Criterion and its implications for the Maximum Pseudo Likelihood Estimator. In DEPENDENCE MODELING: Handbook on Vine Copulae, D. Kurowicka and Harry Joe (eds.), World Scientific Publishing Co., February 2011.


Reports:

  • Aas, Kjersti: Sammenligning av metoder for risikoaggregering. NR-Note, SAMBA/06/11, 2011.
  • Holden, Marit; Aas, Kjersti: Parallellisering av Totalrisiko-programmet ved hjelp av GPU. NR-Note, SAMBA/13/11, 2011.
  • Holden, Marit; Aas, Kjersti: Parallellisering av simulering fra vines. NR-Note, SAMBA/18/11, 2011.


2010

  • Reitan, Trond; Aas, Kjersti: A New Robust Importance Sampling Method for measuring VaR and ES allocations for Credit Portfolios. Journal of Credit Risk, 2010/11; Vol 6(4): 1-37.
  • Wilhelmsen, Mathilde; Dimakos, Xeni K.; Husebø, Tore A.; Fiskaaen, Marit: Bayesian modelling of credit risk using Integrated Nested Laplace Approximations. In: Rethinking Risk Management and Reporting: Measurement, Uncertainty, Bayesian Analysis and Expert Judgement, Risk Books, London, 2010.


Reports:

  • Ferkingstad, Egil; Wilhelmsen, Mathilde; Løland, Anders: Classification model for the net capacity utilisation. NR-Note, SAMBA/61/10, 2010.
  • Günther, Clara-Cecilie; Tvete, Ingunn Fride; Aas, Kjersti; Borgan, Ørnulf: Modellering av kundeavgang. NR-Note, SAMBA/10/10, 2010.
  • Holden, Marit; Aas, Kjersti: Parallellisering av Totalrisiko-programmet, NR-Note, SAMBA43/10, 2010.
  • Orskaug, Elisabeth: Storskader. NR-Note, SAMBA/59/10, 2010.
  • Storvik, Bård; Løland, Anders: Negative prices in the electricity market. NR-Note, SAMBA/08/10, 2010.


2009


Reports:

  • Aas, Kjersti: Validering av modell for finansielle indikatorer. NR-Note, SAMBA/25/09, 2009.
  • Dimakos, Xeni; Storvik, Bård; Vårdal, Jofrid: Kundelojalitet i PVK/BIL NL. NR-Note, SAMBA/51/08, 2009.
  • Holden, Lars; Løland, Anders; Lindqvist, Ola: Valuation of long term, flexible gas contracts. NR-Note, SAMBA/06/09, 2009.
  • Orskaug, Elisabeth; Haug, Ola: Skadeprediksjoner basert på ECHAM4 klimamodelldata. NR-Note, SAMBA/29/09, 2009.


2008


Reports:

  • Dimakos, Xeni Kristine; Løland, Anders: Modelling the NO1 area price. NR-Note, SAMBA/44/08, 2008.
  • Hobæk Haff, Ingrid; Vårdal, Jofrid; Aas, Kjersti: Modellering av finansielle indikatorer. NR-Note, SAMBA/48/08, 2008.
  • Hobæk Haff, Ingrid; Wilhelmsen, Mathilde; Dimakos, Xeni: Uførhet. NR-Note, SAMBA/01/08, 2008.
  • Løland, Anders; Aas, Kjersti: Volatilitet og avkastning. NR-Note, SAMBA/06/08, 2008.
  • Reitan, Trond; Aas, Kjersti: A new robust IS method for measuring VaR and ES allocations for credit portfolios. NR-Note, SAMBA/46/08, 2008.


2007


Reports:

  • Dimakos, X. & Storvik, B.: Priselastisitet i forsikring, NR-Note, SAMBA/36/07, 2007.
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