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On a family of risk measures based on proportional hazards models and tail probabilities

Psarrakos, Georgios; Sordo, Miguel A. - In: Insurance / Mathematics & economics 86 (2019), pp. 232-240

Persistent link: https://www.econbiz.de/10012058865

(Generalized) maximum cumulative direct, paired, and residual π entropy principle

Klein, Ingo - 2017

Jaynes (1957a,b) formulates the maximum entropy (ME) principle as the search for a distribution maximizing a given … entropy under some given constraints. Kapur (1984) and Kesavan & Kapur (1989) introduce the generalized maximum entropy … principle as the derivation of an entropy for which a given distribution has the maximum entropy property under some given …

Persistent link: https://www.econbiz.de/10011761132

Large deviations for risk measures in finite mixture models

Bignozzi, Valeria; Macci, Claudio; Petrella, Lea - In: Insurance / Mathematics & economics 80 (2018), pp. 84-92

Persistent link: https://www.econbiz.de/10011872915

Probability Forecast Combination Via Entropy Regularized Wasserstein Distance

Cumings-Menon, Ryan; Shin, Minchul - 2020

We propose probability and density forecast combination methods that are defined using the entropy regularized … how the entropy regularization can improve the quality of predictive density relative to its unregularized counterpart …

Persistent link: https://www.econbiz.de/10014094578

Probabilistic linguistic decision-making based on the hybrid entropy and cross-entropy measures

Fang, Bing - In: Fuzzy optimization and decision making : a journal of … 22 (2023) 3, pp. 415-445

Persistent link: https://www.econbiz.de/10014321891

Capturing information in extreme events

Ardakani, Omid M. - In: Economics letters 231 (2023), pp. 1-5

Persistent link: https://www.econbiz.de/10014461218

Sum-of-the-parts revised : economic regimes and flexible probabilities

Haase, Felix - 2024 - First Draft: September 9, 2024

conditional and mixture densities as view generators. We use entropy pooling to re-weight the historical distribution to derive …

Persistent link: https://www.econbiz.de/10015062491

Asymptotic arbitrage and numéraire portfolios in large financial markets

Rochlin, Dmitri B. - In: Finance and stochastics 12 (2008) 2, pp. 173-194

Persistent link: https://www.econbiz.de/10003716254

A statistical equilibrium model of competitive firms

Alfarano, Simone; Milaković, Mishael; Irle, Albrecht; … - 2008

We argue that the complex interactions of competitive heterogeneous firms lead to a statistical equilibrium distribution of firms' profit rates, which turns out to be an exponential power (or Subbotin) distribution. Moreover, we construct a diffusion process that has the Subbotin distribution as...

Persistent link: https://www.econbiz.de/10003728708

Minimal q-entropy martingale measures for exponential time-changed Lévy processes

Kassberger, Stefan; Liebmann, Thomas - In: Finance and stochastics 15 (2011) 1, pp. 117-140

Persistent link: https://www.econbiz.de/10008824130