Similar Search Results

Bayesian mode inference for discrete distributions in economics and finance

Cross, Jamie; Hoogerheide, Lennart; Labonne, Paul; … - 2023

Detecting heterogeneity within a population is crucial in many economic and financial applications. Econometrically, this requires a credible determination of multimodality in a given data distribution. We propose a straightforward yet effective technique for mode inference in discrete data...

Persistent link: https://www.econbiz.de/10014313693

Bayesian mode inference for discrete distributions in economics and finance

Cross, Jamie; Hoogerheide, Lennart; Labonne, Paul; … - 2023

Persistent link: https://www.econbiz.de/10014431644

Selected topics on nonparametric conditional quantiles and risk theory

Cheng, Yebin - 2007

Persistent link: https://www.econbiz.de/10003532286

Moral hazard and dynamic insurance data

Abbring, Jaap H.; Chiappori, Pierre-André; Pinquet, Jean - In: Journal of the European Economic Association 1 (2003) 4, pp. 767-820

Persistent link: https://www.econbiz.de/10001801878

Nonparametric estimation of conditional expected shortfall

Scaillet, Olivier (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002436384

Nonparametric estimation and sensitivity analysis of expected shortfall

Scaillet, Olivier - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 115-129

Persistent link: https://www.econbiz.de/10001917791

Non-parametric models

Taylor, Greg - 1999

Persistent link: https://www.econbiz.de/10001459611

Estimation of Operational Risks Using Non-Parametric Approaches with an Application to US Business Losses

Silvapulle, Param - 2011

internationally active banks and other financial institutions. The OR is the unexpected loss, which is the difference between the 99 …:9 per cent quantile and the mean of the loss distribution. This paper adapts non-parametric methods based on heavy … nonparametric methods is that there are no assumptions made about the shape of loss distributions and that data determines their …

Persistent link: https://www.econbiz.de/10013121428

Modeling the Dependence between Extreme Operational Losses and Economic Factors : A Conditional Semi-Parametric Generalized Pareto Approach

Hambuckers, Julien - 2016

We model the severity distribution of operational loss data, conditionally to some covariates. Indeed, previous studies …

Persistent link: https://www.econbiz.de/10013003350

A knowledge based approach to loss severity assessment in financial institutions using Bayesian networks and loss determinants

Häger, David; Andersen, Lasse B. - In: European journal of operational research : EJOR 207 (2010) 3, pp. 1635-1644

Persistent link: https://www.econbiz.de/10008702086