Essays on Non-Gaussian Time Series Analysis
This thesis is a compilation of essays on the extension of financial econometric techniques to various fields of financial and non-financial risk management-- namely, longevity risk, disaster risk and food security risk. First, longevity risk is quantified by proposing a mortality forecasting methodology based on a modified survival function and nonparametric residual-based bootstrapping. The parameters of the survival function are estimated through time...[Show more]
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