Kevin Fergusson

Fast maximum likelihood estimation of parameters for square root and Bessel processes

Kevin Fergusson

Journal article  |  2021  |  Studies in Nonlinear Dynamics & Econometrics

Explicit formulae for maximum likelihood estimates of the parameters of square root processes and Bessel processes and first and s..

Forecasting inflation using univariate continuous‐time stochastic models

K Fergusson

Journal article  |  2020  |  Journal of Forecasting

In this paper we investigate the applicability of several continuous‐time stochastic models to forecasting inflation rates with ho..

LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC

Kevin Fergusson

Journal article  |  2020  |  ASTIN Bulletin

Variable annuities are products offered by pension funds and life offices that provide periodic future payments to the investor an..

Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure

K Fergusson

Journal article  |  2019  |  Scandinavian Actuarial Journal

The Cox–Ingersoll–Ross CIR short rate model is a mean-reverting model of the short rate which, for suitably chosen parameters, per..

The profit-and-loss attribution test

Peter Thompson, Hayden Luo, Kevin Fergusson

Journal article  |  2017  |  Journal of Risk Model Validation

An EM Algorithm for Double-Pareto-Lognormal Generalized Linear Model Applied to Heavy-Tailed Insurance Claims

Enrique Calderin-Ojeda, Kevin Fergusson, Xueyuan Wu

Journal article  |  2017  |  Risks

ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE

K FERGUSSON

Journal article  |  2017  |  Annals of Financial Economics

Vasicek's short rate model is a mean reverting model of the short rate which permits closed-form pricing formulae of zero coupon b..

Extreme Weather: Why the Impact Will Be Felt More Widely

Kevin Fergusson

Original Creative Work - Textual Work  |  2017

Properties in areas at high-risk of extreme weather such as flooding will necessarily incur a higher premium, so more disaster mit..

EXPLICIT FORMULAE FOR PARAMETERS OF STOCHASTIC MODELS OF A DISCOUNTED EQUITY INDEX USING MAXIMUM LIKELIHOOD ESTIMATION WITH APPLICATIONS

K FERGUSSON

Journal article  |  2017  |  Annals of Financial Economics

A discounted equity index is computed as the ratio of an equity index to the accumulated savings account denominated in the same c..

Hard and Difficult Debate on Super Will Not Go Away

K Fergusson

Original Creative Work - Textual Work  |  2016

The superannuation policies of the major parties heading into this election were never going to address the elephant in the room, ..