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Essays on risk measures and stochastic dependence : with applications to insurance and finance

Laeven, Roger Jean Auguste - 2005

Persistent link: https://www.econbiz.de/10003158080

Central limit theorems for local emprical processes near boundaries of sets

Einmahl, John H. J. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003661444

Risk aggregation in the presence of discrete causally connected random variables

Lin, Peng; Neil, Martin; Fenton, Norman E. - In: Annals of actuarial science : publ. by the Institute of … 8 (2014) 2, pp. 298-319

Persistent link: https://www.econbiz.de/10010422173

Bayesian optimization allowing for common random numbers

Pearce, Michael Arthur Leopold; Poloczek, Matthias; … - In: Operations research 70 (2022) 6, pp. 3457-3472

Persistent link: https://www.econbiz.de/10014307875

Randomizing Law

Abramowicz, Michael; Ayres, Ian; Listokin, Yair - 2010

Governments should embrace randomized trials to estimate the efficacy of different laws and regulations. Just as random assignment of treatments is the most powerful method of testing for the causal impact of pharmaceuticals, randomly assigning individuals or firms to different legal rules can...

Persistent link: https://www.econbiz.de/10014191559

Prediction of Reliable Load for Thin Plates with Random Geometrical Imperfections Using Pseudo Random Numbers

A. V., Raviprakash; B., Prabu; Sidharth A., Adhithya Plato - 2010

The initial geometrical imperfections present in the thin plate structures play a vital role in determining the load carrying capacity, especially when they are subjected under axial compression. Moreover, it is impossible to manufacture thin plates without geometrical imperfections. Prediction...

Persistent link: https://www.econbiz.de/10014197165

A comment on the bias of probabilities derived from betting odds and their use in measuring outcome uncertainty

Štrumbelj, Erik - In: Journal of sports economics 17 (2016) 1, pp. 12-26

Persistent link: https://www.econbiz.de/10011422895

How noise affects effort in tournaments

Drugov, Mikhail; Ryvkin, Dmitry - 2020

Persistent link: https://www.econbiz.de/10012213218

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25

Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast …

Persistent link: https://www.econbiz.de/10013375264

Probabilistic aspects of arbitrage

Fernholz, Daniel; Karatzas, Ioannis - In: Contemporary quantitative finance : essays in honour of …, (pp. 1-17). 2010

Persistent link: https://www.econbiz.de/10008749323