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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness …
Persistent link: https://www.econbiz.de/10010490408
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Properties of hierarchical Archimedean copulas
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - 2009
In this paper we analyse the properties of hierarchical Archimedean copulas. This class is a generalisation of the Archimedean opulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be uniquely recovered from all bivariate margins. We...
Persistent link: https://www.econbiz.de/10010263762
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Dynamic network reliability modeling under nonhomogeneous poisson processes
Zarezadeh, Somayeh; Asadi, Mehdi; Balakrishnan, … - In: European journal of operational research : EJOR 232 (2014) 3, pp. 561-571
Persistent link: https://www.econbiz.de/10010224962
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Properties of a risk measure derived from the expected area in red
Loisel, Stéphane; Trufin, Julien - In: Insurance / Mathematics & economics 55 (2014), pp. 191-199
Persistent link: https://www.econbiz.de/10010366178
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Appointment sequencing : why the smallest-variance-first rule may not be optimal
Kong, Qingxia; Lee, Chung-Yee; Teo, Chung-Piaw; Zheng, … - In: European journal of operational research : EJOR 255 (2016) 3, pp. 809-821
Persistent link: https://www.econbiz.de/10011556157
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Stochastic comparisons of component and system redundancies with dependent components
Gupta, Nitin; Kumar, Somesh - In: Operations research letters 42 (2014) 4, pp. 284-289
Persistent link: https://www.econbiz.de/10010396161
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Stochastic comparisons of residual lifetimes and inactivity times of coherent systems with dependent identically distributed components
Gupta, Nitin; Misra, Neeraj; Kumar, Somesh - In: European journal of operational research : EJOR 240 (2015) 2, pp. 425-430
Persistent link: https://www.econbiz.de/10010486232
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A regression framework for a probabilistic measure of cost-effectiveness
Illenberger, Nicholas; Mitra, Nandita; Spieker, Andrew J. - In: Health economics 31 (2022) 7, pp. 1438-1451
Persistent link: https://www.econbiz.de/10013279360
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A study into mechanisms of attitudinal scale conversion : a randomized stochastic ordering approach
Gilula, Zvi; McCulloch, Robert E.; Ritov, Ya'acov; … - In: Quantitative marketing and economics : QME 17 (2019) 3, pp. 325-357
Persistent link: https://www.econbiz.de/10012098693
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Ordered random variables
Nadarajah, Saralees; Afuecheta, Emmanuel; Chan, Stephen - In: Opsearch : journal of the Operational Research Society … 56 (2019) 1, pp. 344-366
Persistent link: https://www.econbiz.de/10012008493