The Statistics and Risk Management group activity covers a wide range of subjects that are encompassed in three main research lines: Statistical Inference, Distribution Theory and Actuarial and Financial Mathematics. Within Statistical Inference we study various extensions of linear models with special focus in analysis of variance for models with a random number of observations. Concerning Distribution Theory there are two main research areas: near-exact distributions for likelihood ratio test statistics and extreme value theory. In Actuarial and Financial Mathematics we spread over the classical actuarial problems in risk theory, to new models for pricing and hedging derivative products, passing through Markov chain models applications to credit scoring and insurance bonus-malus models.
- Sá Ferreira M, Bispo R (2023). RWgraph: Random Walks on Graphs Representing a Transactional Network. R package version 1.0.0, https://CRAN.R-project.org/package=RWgraph
- Caeiro F, Mateus A (2022). randtests: Testing Randomness in R. R package version 1.0.1, https://CRAN.R-project.org/package=randtests
- a computational module with the implementation of the exact distribution and approximations for the Bartels randomness test statistic: see Appendix
- a package with the implementation of the main threshold selection methods: see here