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A Class of Mixture of Experts Models for General Insurance : Application to Correlated Claim Frequencies

Fung, Tsz Chai; Badescu, Andrei; Lin, X. Sheldon - 2019

This paper focuses on the estimation and application aspects of the Erlang Count Logit-weighted Reduced Mixture of Experts model (EC-LRMoE), which is a fully flexible multivariate insurance claim frequency regression model proposed in Fung et al. (2018a). We first prove the identifiability...

Persistent link: https://www.econbiz.de/10014108894

Exploiting Partial Correlations in Distributionally Robust Optimization

Padmanabhan, Divya; Natarajan, Karthik; Murthy, Karthyek - 2018

In this paper, we identify partial correlation information structures that allow for simpler reformulations in … programming reformulation which explicitly captures partially known correlation information between uncertain processing times of …

Persistent link: https://www.econbiz.de/10014110557

Fast Copula-Based Fusion of Correlated Decisions for Distributed Radar Detection

Ni, Lihua; Zhang, Di; Wang, Ziqiang; Liang, Jing; … - 2022

nodes. In this paper, we propose a fast copula-based fusion (F-CBF) algorithm for a multi-node radar system. The correlation …

Persistent link: https://www.econbiz.de/10013301951

Infinite Markov pooling of predictive distributions

Jin, Xin; Maheu, John M.; Yang, Qiao - In: Journal of econometrics 228 (2022) 2, pp. 302-321

Persistent link: https://www.econbiz.de/10013441752

Modeling and forecasting realized portfolio weights

Golosnoy, Vasyl; Gribisch, Bastian - In: Journal of banking & finance 138 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013461907

Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio

Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409

Persistent link: https://www.econbiz.de/10014311645

A new tail-based correlation measure and its application in global equity markets

Liu, Jinjing - In: Journal of financial econometrics 21 (2023) 3, pp. 959-987

Persistent link: https://www.econbiz.de/10014314844

Correlation matrix of equi-correlated normal population : fluctuation of the largest eigenvalue, scaling of the bulk eigenvalues, and stock market

Akama, Yohji - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-27

Persistent link: https://www.econbiz.de/10014365670

Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis

Afuecheta, Emmanuel; Okorie, Idika E.; Nadarajah, Saralees - In: Computational economics 63 (2024) 1, pp. 271-304

Persistent link: https://www.econbiz.de/10014472109

Modeling realized covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model

Gribisch, Bastian; Hartkopf, Jan Patrick - In: Journal of econometrics 235 (2023) 1, pp. 43-64

Persistent link: https://www.econbiz.de/10014434377