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Parisian ruin with exponential claims
Dassios, Angelos; Wu, Shanle - London School of Economics (LSE) - 2008
In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this to occur, the … classical surplus process with exponential jump size, we obtain the Laplace transform of the time of ruin and the probability of … ruin in the infinite horizon. We also consider a diffusion approximation and use it to obtain similar results for the …
Persistent link: https://www.econbiz.de/10010745397
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Subject specific and population average models for binary longitudinal data: a tutorial
Szmaragd, Camille; Clarke, Paul; Steele, Fiona - London School of Economics (LSE) - 2013
Using data from the British Household Panel Survey, we illustrate how longitudinal repeated measures of binary outcomes are analysed using population average and subject specific logistic regression models. We show how the autocorrelation found in longitudinal data is accounted for by both...
Persistent link: https://www.econbiz.de/10010744807
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Quantiles of Lévy processes and applications in finance
Dassios, Angelos - London School of Economics (LSE) - 2006
This paper provides a survey of results on the quantiles of a Brownian motion with drift as well as a general Lévy process. The motivation is to calculate the price of related financial options. At the end of the paper some new results on variability orderings between various quantities...
Persistent link: https://www.econbiz.de/10010744808
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Zero returns to compulsory schooling in Germany: evidence and interpretation
Pischke, Jorn-Steffen; Wachter, Till von - London School of Economics (LSE) - 2008
We estimate the impact of compulsory schooling on earnings using changes in compulsory schooling laws in West Germany after World War II. Most estimates in the literature indicate returns in the range of 10% to 15%. While our research design is very similar to studies for various other...
Persistent link: https://www.econbiz.de/10010744833
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Testing for multivariate volatility functions using minimum volume sets and inverse regression
Polonik, Wolfgang; Yao, Qiwei - London School of Economics (LSE) - 2008
We propose two new types of nonparametric tests for investigating multivariate regression functions. The tests are based on cumulative sums coupled with either minimum volume sets or inverse regression ideas; involving no multivariate nonparametric regression estimation. The methods proposed...
Persistent link: https://www.econbiz.de/10010744929
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Parametric modelling of thresholds across scales in wavelet regression
Antoniadis, Anestis; Fryzlewicz, Piotr - London School of Economics (LSE) - 2006
We propose a parametric wavelet thresholding procedure for estimation in the ‘function plus independent, identically distributed Gaussian noise’ model. To reflect the decreasing sparsity of wavelet coefficients from finer to coarser scales, our thresholds also decrease. They retain the...
Persistent link: https://www.econbiz.de/10010744958
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‘The frightful inadequacy of most of the statistics’: a critique of Collier and Hoeffler on causes of civil war
Nathan, Laurie - London School of Economics (LSE) - 2005
Over the past five years numerous cross-national statistical studies have been conducted on the causes of civil war. The most influential studies have been those by Paul Collier and Anke Hoeffler.Their work has been widely cited in international reports on security and stability. This paper...
Persistent link: https://www.econbiz.de/10010744997
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Inverse probability weighting for clustered nonresponse
Skinner, Chris J.; D'Arrigo, Julia - London School of Economics (LSE) - 2011
Correlated nonresponse within clusters arises in certain survey settings. It is often represented by a random effects model and assumed to be cluster-specific nonignorable, in the sense that survey and nonresponse outcomes are conditionally independent given cluster-level random effects. Two...
Persistent link: https://www.econbiz.de/10010744998
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Country of birth in the 2011 Census: a view of migration in London and English local authorities
Paccoud, Antoine - London School of Economics (LSE) - 2013
This working paper presents a series of preliminary results of an investigation into the spatial distribution of migrant populations across England and Wales and within London's Extended Metropolitan Region.
Persistent link: https://www.econbiz.de/10010745010
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The Dantzig selector in Cox's proportional hazards model
Antoniadis, Anestis; Fryzlewicz, Piotr; Letué, Frédérique - London School of Economics (LSE) - 2010
The Dantzig selector (DS) is a recent approach of estimation in high-dimensional linear regression models with a large number of explanatory variables and a relatively small number of observations. As in the least absolute shrinkage and selection operator (LASSO), this approach sets certain...
Persistent link: https://www.econbiz.de/10010745019