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A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - Tinbergen Instituut - 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/10011256720

Tail Mutual Exclusivity and Tail-Var Lower Bounds

Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan - Tinbergen Instituut - 2015

In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...

Persistent link: https://www.econbiz.de/10011257334

Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - Tinbergen Instituut - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benets. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10011257582

Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data

Gooijer, Jan G. de; Yuan, Ao - Tinbergen Instituut - 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/10011255547

On Distributions of Ratios

Broda, Simon A.; Kan, Raymond - Tinbergen Instituut - 2014

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

Persistent link: https://www.econbiz.de/10011255898

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

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

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

Persistent link: https://www.econbiz.de/10011256602

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 Instituut - 1997

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

Persistent link: https://www.econbiz.de/10011257229

Tests for Serial Independence and Linearity based on Correlation Integrals

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

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

Persistent link: https://www.econbiz.de/10011257371

Endogenous Technological Change under Uncertainty

Hek, Paul A. de - Tinbergen Instituut - 2002

How does risk or uncertainty in the productivity of research affect the growth rate of the economy? To answer this …&D from profit-maximizing firms. The uncertainty arises from the productivity of these investments in R&D. The main result of … this analysis is that the relationship between long-run growth and uncertainty (on the productivity of knowledge creation …

Persistent link: https://www.econbiz.de/10011255608

The Impact of Uncertainty on Investment: A Meta-Analysis

Koetse, Mark J.; Groot, Henri L.F. de; Florax, Raymond … - Tinbergen Instituut - 2006

In this paper we perform a meta-analysis on empirical estimates of the impact between investment and uncertainty. Since … can explain to a large extent why empirical estimates of the investment-uncertainty relationship differ. …

Persistent link: https://www.econbiz.de/10011255622