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Density estimation using inverse and reciprocal inverse Gaussian kernels

Scaillet, Olivier (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001700034

Nonparametric estimation and sensitivity analysis of expected shortfall

Scaillet, Olivier - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 115-129

Persistent link: https://www.econbiz.de/10001917791

Nonparametric estimation of conditional expected shortfall

Scaillet, Olivier (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002436384

Local transformation kernel density estimation of loss distributions

Gustafsson, J.; Hagmann, Matthias; Nielsen, Jens Perch; … - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 161-175

Persistent link: https://www.econbiz.de/10003885747

Local transformation kernel density estimation of loss

Gustafsson, J.; Hagmann, Matthias; Nielsen, Jens Perch; … - 2006

Persistent link: https://www.econbiz.de/10003459159

Local multiplicative bias correction for asymmetric kernel density estimators

Hagmann, Matthias; Scaillet, Olivier - In: Journal of econometrics 141 (2007) 1, pp. 213-249

Persistent link: https://www.econbiz.de/10003571280

Local transformation kernel density estimation of loss distributions

Gustafsson, Jim; Hagmann, Matthias; Nielsen, Jens Perch; … - 2006

We develop a tailor made semiparametric asymmetric kernel density estimator for the estimation of actuarial loss distributions. The estimator is obtained by transforming the data with the generalized Champernowne distribution initially fitted to the data. Then the density of the transformed data...

Persistent link: https://www.econbiz.de/10003394377

Density estimation using inverse and reciprocal inverse Gaussian kernels

Scaillet, Olivier (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001661020

Local multiplicative bias correction for asymmetric kernel density estimators

Hagmann, Matthias (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001863914

Local multiplicative bias correction for asymmetric kernel density estimators

Hagmann, Matthias; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001825715