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Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model

Dębicki, Krzysztof; Ji, Lanpeng; Rolski, Tomasz - In: Risks : open access journal 7 (2019) 3/83, pp. 1-21

We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two …-dimensional correlated Brownian motion with drift. We study the ruin function P(u) for the component-wise ruin (that is both business lines …

Persistent link: https://www.econbiz.de/10012127541

The equivalence of two tax processes

Al Ghanim, Dalal; Loeffen, Ronnie; Watson, Alexander R. - In: Insurance / Mathematics & economics 90 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012169491

How much we gain by surplus-dependent premiums : asymptotic analysis of ruin probability

Wang, Jing; Palmowski, Zbigniew; Constantinescu, Corina - In: Risks : open access journal 9 (2021) 9, pp. 1-17

In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes …. Applying the approximation theory of solutions of linear ordinary differential equations, we derive the asymptotics of the ruin … can further determine their asymptotics. This allows us to recover the ruin probabilities obtained for general premiums …

Persistent link: https://www.econbiz.de/10012612558

Opening the black box: structural factor models with large cross-sections

Forni, Mario; Giannone, Domenico; Lippi, Marco; … - 2007

This paper shows how large-dimensional dynamic factor models are suitable for structural analysis. We establish sufficient conditions for identification of the structural shocks and the associated impulse response functions. In particular, we argue that, if the data follow an approximate factor...

Persistent link: https://www.econbiz.de/10011604758

Bio-Ecological Diversity vs. Socio-Economic Diversity: A Comparison of Existing Measures

Maignan, Carole; Ottaviano, Gianmarco; Pinelli, Dino; … - 2003

This paper aims to enrich the standard toolbox for measuring diversity in economics. In so doing, we compare the indicators of diversity used by economists with those used by biologists and ecologists. Ecologists and biologists are concerned about biodiversity: the diversity of organisms that...

Persistent link: https://www.econbiz.de/10011325042

Iatrogenic Specification Error : A Cautionary Tale of Cleaning Data

Bollinger, Christopher R.; Chandra, Amitabh - 2004

In empirical research it is common practice to use sensible rules of thumb for cleaning data. Measurement error is often the justification for removing (trimming) or recoding (winsorizing) observations whose values lie outside a specified range. We consider a general measurement error process...

Persistent link: https://www.econbiz.de/10010261852

Estimation in a Duration Model for Evaluating Educational Programs

Brännäs, Kurt - 2000

The paper proposes two estimation approaches for duration models that are subject to right censored observations and selection effects. Main focus is on accelerated duration models and the estimators that are of the limited information type, i.e. they are not based on a fully specified selection...

Persistent link: https://www.econbiz.de/10010262324

The distinction between dictatorial and incentive policy interventions and its implication for IV estimation

Belzil, Christian; Hansen, Jörgen - 2010

We investigate if, and under which conditions, the distinction between dictatorial and incentive-based policy interventions affects the capacity of Instrument Variable (IV) methods to estimate the relevant treatment effect parameter of an outcome equation. The analysis is set in a non-trivial...

Persistent link: https://www.econbiz.de/10010269878

Identification and estimation of distributional impacts of interventions using changes in inequality measures

Firpo, Sergio - 2010

This paper presents semiparametric estimators of distributional impacts of interventions (treatment) when selection to the program is based on observable characteristics. Distributional impacts of a treatment are calculated as differences in inequality measures of the potential outcomes of...

Persistent link: https://www.econbiz.de/10010269881

The 'Pre-Eminence of Theory' versus the 'General-to-Specific' Cointegrated VAR Perspectives in Macro-Econometric Modeling

Spanos, Aris - 2008

The primary aim of the paper is to place current methodological discussions on empirical modeling contrasting the 'theory first' versus the 'data first' perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper focuses...

Persistent link: https://www.econbiz.de/10010295282

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