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Optimal funding and asset allocation rules for defined-benefit pension plans

Harrison, J. Michael; Sharpe, William F. - In: Financial aspects of the United States pension system, (pp. 91-105). 1983

Persistent link: https://www.econbiz.de/10002653682

Exploiting continuity : maximum entropy estimation of continuous distributions

Theil, Henri; Fiebig, Denzil G. - 1984

Persistent link: https://www.econbiz.de/10004717184

Shortfall-risk-basierte Portfolio-Strategien : Grundlagen, Anwendungen, Algorithmen

Kaduff, Jochen Volker - 1996

Persistent link: https://www.econbiz.de/10004310203

Relating quantiles and expectiles under weighted-symmetry

Abdous, Belkacem; Remillard, Bruno - In: Annals of the Institute of Statistical Mathematics 47 (1995) 2, pp. 371-384

Persistent link: https://www.econbiz.de/10005395756

Geoadditive expectile regression

Sobotka, Fabian; Kneib, Thomas - In: Computational Statistics & Data Analysis 56 (2012) 4, pp. 755-767

Quantile regression has emerged as one of the standard tools for regression analysis that enables a proper assessment of the complete conditional distribution of responses even in the presence of heteroscedastic errors. Quantile regression estimates are obtained by minimising an asymmetrically...

Persistent link: https://www.econbiz.de/10010574456

Haezendonck–Goovaerts risk measures and Orlicz quantiles

Bellini, Fabio; Rosazza Gianin, Emanuela - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 107-114

Haezendonck–Goovaerts risk measure. Since Orlicz quantiles fail to satisfy an internality property, bilateral Orlicz quantiles are …In this paper, we study the well-known Haezendonck–Goovaerts risk measures on their natural domain, that is on Orlicz …

Persistent link: https://www.econbiz.de/10011046606