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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - Tinbergen Instituut - 2013
sets a series of non-parametric based tests utilising entropy based metrics. These suggest that the PDFs and CDFs of these … two return distributions change shape in various subsample periods. The entropy and MI statistics suggest that the degree … most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the two distributions …
Persistent link: https://www.econbiz.de/10011256625
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Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts
Christiansen, Marcus C.; Denuit, Michel M.; Dhaene, Jan - Tinbergen Instituut - 2014
Premiums and benefits associated with traditional life insurance contracts are usually specified as fixed amounts in policy conditions. However, reserve-dependent surrender values and reserve-dependent expenses are common in insurance practice. The famous Cantelli theorem in life insurance...
Persistent link: https://www.econbiz.de/10011272598
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Stochastic Orders of Proposing Players in Bargaining
Houba, Harold - Tinbergen Instituut - 2005
The bargaining model with stochastic order of proposing players is properly embedded in continuous time and it is strategically equivalent to the alternating offers model. For all parameter values, the pair of equilibrium proposals corresponds to the Nash bargaining solution of a modified...
Persistent link: https://www.econbiz.de/10011255513