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Probabilistic bounded relative error property for learning rare event simulation techniques

Ridder, Ad; Tuffin, Bruno - 2012

Persistent link: https://www.econbiz.de/10009722965

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

Risk, entropy, and the transformation of distributions

Reesor, R. Mark; McLeish, Don L. - 2002

Persistent link: https://www.econbiz.de/10001666291

Model performance measures for expected utility maximizing investors

Friedman, Craig; Sandow, Sven - In: International journal of theoretical and applied finance 6 (2003) 4, pp. 355-401

Persistent link: https://www.econbiz.de/10001779822

Reductive inference and the entropy, learning, chaos craze

Bechtold, Brigitte H. - In: Best papers proceedings 3 (1993) 2, pp. 8-15

Persistent link: https://www.econbiz.de/10001153916

Measurement Invariance, Entropy, and Probability

Frank, Steven A. - 2011

distribution of observations taken from that measurement scale. Our approach extends the method of maximum entropy to use … entropy provides a general approach to the relations between measurement, information and probability …

Persistent link: https://www.econbiz.de/10013117534

An entropy divergence, D-distribution and its selected application in multivariate financial time series

Jayakumar, G. S. David Sam; Sulthan, A.; Samuel, W. - In: International journal of financial services management … 11 (2021) 2, pp. 134-148

Persistent link: https://www.econbiz.de/10012940016

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