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A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - Tinbergen Institute - 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...

Persistent link: https://www.econbiz.de/10005450808

How to Implement the Bootstrap in Static or Stable Dynamic Regression Models

Giersbergen, Noud P.A. van; Kiviet, Jan F. - Tinbergen Institute - 2001

different bootstrap tests. In the context of static linear regression models two of these are shown to have serious size and …

Persistent link: https://www.econbiz.de/10005137131

Tests for Serial Independence and Linearity based on Correlation Integrals

Diks, Cees; Manzan, Sebastiano - Tinbergen Institute - 2001

determined with a permutation procedure and a parametric bootstrap in the tests for serial independence and linearity …

Persistent link: https://www.econbiz.de/10005504907

Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation

Danielsson, J.; Haan, L. de; Peng, L.; Vries, C.G. de - Tinbergen Institute - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the sample …

Persistent link: https://www.econbiz.de/10005504945

Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data

Gooijer, Jan G. de; Yuan, Ao - Tinbergen Institute - 2011

Often socio-economic variables are measured on a discrete scale or rounded to protect confidentiality. Nevertheless, when exploring the effect of a relevant covariate on the whole outcome distribution of a discrete response variable, virtually all common quantile regression methods require the...

Persistent link: https://www.econbiz.de/10008838604

An Environmental-Economic Assessment of Genetic Modification of Agricultural Crops

Bergh, Jeroen C.J.M. van den; Holley, Justin M. - Tinbergen Institute - 2001

countries. An overall evaluation requires that attention is given to the perception and endogeneity of uncertainty …

Persistent link: https://www.econbiz.de/10005209509

Valuation of Travel Time and TravelIer Information

Rietveld, Piet - Tinbergen Institute - 2003

The value of travel time plays an important role in cost benefit analysis of infrastructure

Persistent link: https://www.econbiz.de/10005144423

Mapping the Minds of Retirement Planners

Hershey, Douglas A.; Henkens, Kène; Dalen, Hendrik P. van - Tinbergen Institute - 2006

This study explored the psychological mechanisms that underlie the retirement planning and saving tendencies of Dutch and American workers. Participants were 988 Dutch and 429 Americans, 25-64 years of age. Analyses were designed to: (a) examine the extent to which structural variables were...

Persistent link: https://www.econbiz.de/10005144426

Compensation of On-call and Fixed-term Employment: the Role of Uncertainty

Graaf-Zijl, Marloes de - Tinbergen Institute - 2005

use an analytical framework in which wage differentials result from two types of uncertainty. Quantity uncertainty … originates from imperfect foresight in future product demand. I argue that workers who take over part of the quantity uncertainty … from the employer get higher payments. Quality uncertainty on the other hand originates from the fact that employers are ex …

Persistent link: https://www.econbiz.de/10005136865

Policy Makers, Advisors, and Reputation

Wrasai, Phongthorn; Swank, Otto H. - Tinbergen Institute - 2004

When hiring an adviser (he), a policy maker (she) often faces the problem that she has incomplete information about his preferences. Some advisers are good, in the sense that their preferences are closely aligned to the policy maker's preferences, and some advisers are bad. Recently, some...

Persistent link: https://www.econbiz.de/10005137032