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Robust-Efficient Credibility Models with Heavy-Tailed Claims : A Mixed Linear Models Perspective
Dornheim, Harald - 2014
successfully adopted to credibility theory in the actuarial literature. The objective of this work is to develop robust and … ratemaking. In this paper, we consider classical credibility models that can be embedded within the framework of mixed linear … efficient methods for credibility when heavy-tailed claims are approximately log-location-scale distributed. To accomplish that …
Persistent link: https://www.econbiz.de/10013054067
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Robust-efficient credibility models with heavy-tailed claims : a mixed linear models perspective
Dornheim, Harald; Brazauskas, Vytaras - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 72-84
Persistent link: https://www.econbiz.de/10008839759
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Credibilistic programming : an introduction to models and applications
Li, Xiang - 2013
Persistent link: https://www.econbiz.de/10009737892
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Credibilistic Programming : An Introduction to Models and Applications
Li, Xiang - 2013
Preface -- Credibility Theory -- Credibilistic Programming -- Mathematical Programming -- Expected Value Model … of credibility theory, it provides a self-contained, comprehensive and up-to-date presentation of fuzzy programming …
Persistent link: https://www.econbiz.de/10014552595
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Technical analysis and central bank intervention
Neely, Christopher J.; Weller, Paul A. - In: Journal of international money and finance 20 (2001) 7, pp. 949-970
Persistent link: https://www.econbiz.de/10001637058
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Optimal portfolio liquidation in target zone models and catalytic superprocesses
Neuman, Eyal; Schied, Alexander - In: Finance and stochastics 20 (2016) 2, pp. 495-509
Persistent link: https://www.econbiz.de/10011471483
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Bootstap Lr Tests of Sign and Amplitude Asymmetry
Fuertes, Ana-Maria; Coakley, Jerry - 2000
Using threshold autoregressive specifications, this paper extends the Enders and Granger (1998) framework for parametric tests of level asymmetry. In particular it develops bootstrap likelihood ratio statistics to test the symmetry null against sign and amplitude asymmetries or a combination of...
Persistent link: https://www.econbiz.de/10014160955
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Discrete Fourier Transforms of Fractional Processes
Phillips, Peter C. B. - 2000
theory to log periodogram regression and local Whittle estimation of the memory parameter are discussed and some modified …
Persistent link: https://www.econbiz.de/10014164678
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Closed-form portfolio optimization under GARCH models
Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13
This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...
Persistent link: https://www.econbiz.de/10012880259
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Currency Hedging Strategies Using Dynamic Multivariate GARCH
Chang, Chia-Lin - 2012
This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...
Persistent link: https://www.econbiz.de/10013113663