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The elasticity of a random variable as a tool for measuring and assessing risks

Veres-Ferrer, Ernesto-Jesús; Pavia, José Manuel - In: Risks : open access journal 10 (2022) 3, pp. 1-38

Elasticity is a very popular concept in economics and physics, recently exported and reinterpreted in the statistical field, where it has given form to the so-called elasticity function. This function has proved to be a very useful tool for quantifying and evaluating risks, with applications in...

Persistent link: https://www.econbiz.de/10013161568

A simple way of computing the inverse moments of a non-central chi-square random variable

Xie, Wen Zhi - In: Journal of econometrics 37 (1988) 3, pp. 389-393

Persistent link: https://www.econbiz.de/10003712704

Sampling from linear multivariate densities

Hörmann, Wolfgang; Leydold, Josef - In: Advancing the frontiers of simulation : a Festschrift …, (pp. 143-151). 2009

Persistent link: https://www.econbiz.de/10003918943

Economic models based on Pareto and Gamma random variables

Nadarajah, Saralees - In: Spanish economic review : SER 9 (2007) 4, pp. 309-317

Persistent link: https://www.econbiz.de/10003592538

Distributional shapes and validity transport : a comparison of lower bounds

Kisamore, Jennifer L. - In: International journal of selection and assessment 16 (2008) 1, pp. 27-29

Persistent link: https://www.econbiz.de/10003683715

Uniformly efficient importance sampling for the tail distribution of sums of random variables

Glasserman, Paul; Juneja, Sandeep - In: Mathematics of operations research 33 (2008) 1, pp. 36-50

Persistent link: https://www.econbiz.de/10003687581

Inverse Gaussian random variables with application to price indices

Nadarajah, Saralees; Kotz, Samuel - In: Applied economics letters 14 (2007) 7/9, pp. 673-677

Persistent link: https://www.econbiz.de/10003512306

Comparison of conditional distributions in portfolios of dependent risks

Sordo, Miguel A.; Suárez-Llorens, Alfonso; Bello, … - In: Insurance / Mathematics & economics 61 (2015), pp. 62-69

Persistent link: https://www.econbiz.de/10010515927

Approximations of value-at-risk as an extreme quantile of a random sum of heavy-tailed random variables

Hannah, Lincoln; Puza, Borek - In: The journal of operational risk 10 (2015) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10011298869

Generating tempered stable random variates from mixture representation

Jelonek, Piotr - 2012

Persistent link: https://www.econbiz.de/10009620536

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