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PORTFOLIO RETURN DISTRIBUTIONS: SAMPLE STATISTICS WITH STOCHASTIC CORRELATIONS

CHETALOVA, DESISLAVA; SCHMITT, THILO A.; SCHÄFER, RUDI; … - In: International Journal of Theoretical and Applied … 18 (2015) 02, pp. 1550012-1

We consider random vectors drawn from a multivariate normal distribution and compute the sample statistics in the presence of stochastic correlations. For this purpose, we construct an ensemble of random correlation matrices and average the normal distribution over this ensemble. The resulting...

Persistent link: https://www.econbiz.de/10011279125

Hidden semi-Markov models for rainfall-related insurance claims

Shi, Yue; Punzo, Antonio; Otneim, Håkon; Maruotti, … - 2023

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A quantitative comparison of the Lee-Carter Model under different types of non-Gaussian innovations

Wang, Chou-wen; Huang, Hong-chih; Liu, I-chien - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 4, pp. 675-696

Persistent link: https://www.econbiz.de/10009503485

Modeling multi-country mortality dependence and its application in pricing survivor index swaps : a dynamic copula approach

Wang, Chou-Wen; Yang, Sharon S.; Huang, Hong-Chih - In: Insurance / Mathematics & economics 63 (2015), pp. 30-39

Persistent link: https://www.econbiz.de/10011349859

Credit contagion in the presence of non-normal shocks

Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: International review of financial analysis 37 (2015), pp. 129-139

Persistent link: https://www.econbiz.de/10011317232

Portfolio return distributions : sample statistics with stochastic correlations

Chetalova, Desislava; Schmitt, Thilo A.; Schäfer, Rudi; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011403228

Modeling loss data using mixtures of distributions

Miljkovic, Tatjana; Grün, Bettina - In: Insurance / Mathematics & economics 70 (2016), pp. 387-396

Persistent link: https://www.econbiz.de/10011597334

Identification of mixed causal-noncausal models in finite samples

Hecq, Alain W. J.; Lieb, Lenard; Telg, Sean - In: Annals of economics and statistics 123/124 (2016), pp. 307-331

Persistent link: https://www.econbiz.de/10011592754

A decomposition of labor earnings growth : recovering gaussianity?

Pora, Pierre; Wilner, Lionel - 2019

Persistent link: https://www.econbiz.de/10012237266

A decomposition of labor earnings growth : recovering Gaussianity?

Pora, Pierre; Wilner, Lionel - In: Labour economics : official journal of the European … 63 (2020), pp. 189-205

Persistent link: https://www.econbiz.de/10012239033