J
Jens Perch Nielsen
Researcher at City University London
Publications - 197
Citations - 4874
Jens Perch Nielsen is an academic researcher from City University London. The author has contributed to research in topics: Estimator & Kernel density estimation. The author has an hindex of 37, co-authored 195 publications receiving 4574 citations. Previous affiliations of Jens Perch Nielsen include Codan & University of Copenhagen.
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The geometric chain-ladder
TL;DR: In this paper, the authors derived explicit expressions for the maximum likelihood estimators in terms of development factors which are geometric averages, and derived the distribution of the estimators, which is invariant to traditional measures for exposure.
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Multiplicative Hazard Models for Studying the Evolution of Mortality
TL;DR: In this article, the authors describe some of the pitfalls which can result from the use of the standardised mortality ratio (SMR) while evaluating the development of mortality over time, in particular when SMRs are applied to insurance portfolios varying dramatically over time.
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Conditional Variance Forecasts for Long-Term Stock Returns
TL;DR: The authors applied machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short-term interest rate, the earnings-by-price ratio, and the inflation rate.
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Credibility weighted hazard estimation
TL;DR: In this article, a credibility estimator is found through a Hilbert space projection formulation of Bfihlmann-Straub's credibility approach, where a credibility weighting principle is used locally, so that areas of sparse data for one subgroup can be alleviated by available information from other subgroups.
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Implementing individual savings decisions for retirement with bounds on wealth
TL;DR: In this paper, the authors present a savings plan for retirement that removes risk by fixing a constraint on a life-long pension so that it has an upper and a lower bound, which corresponds to the ideas of Nobel laureate R.C. Merton whose implementation has never been published.