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Spouses' dependence across generations and pricing impact on reversionary annuities
Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - In: Risks 4 (2016) 2, pp. 1-18
This paper studies the dependence between coupled lives, i.e., the spouses' dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. We find that a...
Persistent link: https://www.econbiz.de/10011709557
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Spouses' dependence across generations and pricing impact on reversionary annuities
Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - In: Risks : open access journal 4 (2016) 2, pp. 1-18
This paper studies the dependence between coupled lives, i.e., the spouses' dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. We find that a...
Persistent link: https://www.econbiz.de/10011507502
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Evolution of Coupled Lives' Dependency Across Generations and Pricing Impact
Luciano, Elisa - 2012
intensity. Dependence is modeled through copula functions. We consider Archimedean single and multi-parameter copulas. We fi nd … also its features - as measured by the copula - change across generations: the best-fi t Archimedean copula is not the same … across generations. Moreover, for all the generations under exam the single-parameter copula is dominated by the two …
Persistent link: https://www.econbiz.de/10013104206
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Improving the Effectiveness of Weather-based Insurance: An Application of Copula Approach
Bokusheva, Raushan - Volkswirtschaftliche Fakultät, … - 2014
The study develops the methodology for a copula-based weather index insurance rating. As the copula approach is better … left tail of the joint distribution of a weather variable and the farm yield, we employ the Gumbel survival copula. Our … results indicate that, given the choice of an appropriate weather index to signal extreme drought occurrence, a copula …
Persistent link: https://www.econbiz.de/10011186476
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Inference with large clustered datasets
MacKinnon, James G. - 2016
Inference using large datasets is not nearly as straightforward as conventional econometric theory suggests when the disturbances are clustered, even with very small intra-cluster correlations. The information contained in such a dataset grows much more slowly with the sample size than it would...
Persistent link: https://www.econbiz.de/10011528432
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The role of hypothesis testing in the molding of econometric models
Hoover, Kevin D. - 2012 - Revised, 18 January 2012
The paper is a keynote lecture from the Tilburg-Madrid Conference on Hypothesis Tests: Foundations and Applications at the Universidad Nacional de Educación a Distancia (UNED) Madrid, Spain, 15-16 December 2011. It addresses the role of tests of statistical hypotheses (specification tests) in...
Persistent link: https://www.econbiz.de/10011708192
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Hypothesis testing for arbitrary bounds
Penney, Jeffrey - 2013
I derive a rigorous method to help determine whether a true parameter takes a value between two arbitrarily chosen points for a given level of confidence via a multiple testing procedure which strongly controls the familywise error rate. For any test size, the distance between the upper and...
Persistent link: https://www.econbiz.de/10010190133
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Backtesting Distributional Forecasts in Counterparty Risk : Theoretical Aspects in Long Horizon Testing and Autocorrelations
Farag, Hany - 2017
In this paper we address a challenging aspect that arises in the regulatory requirement of back-testing the accuracy of distributional forecasts. The latter are core to measurement and capitalization of counterparty risk for banks under the IMM (Internal Models Method). The problem is very...
Persistent link: https://www.econbiz.de/10012961412
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Non-Parametric Testing of U-Shaped Relationships
Kostyshak, Scott - 2017
Many theories in economics predict U-shaped relationships between variables. However, satisfactory tools to examine U-shapes are lacking. After explaining the limitations of the commonly employed quadratic specification, I propose a non-parametric test of U-shaped regression functions based on...
Persistent link: https://www.econbiz.de/10012964665
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Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - 2020
We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference...
Persistent link: https://www.econbiz.de/10012305035