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Involving copula functions in Conditional Tail Expectation
Conditional tail expectation Copulas Dependence concepts Risk measure Capital requirement Heavy-tailed distributions
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2012/6/5
We discuss a new notion of risk measures that preserve the property of coherence called Copula Conditional Tail Expectation (CCTE). This measure describes the expected amount of risk that can be exper...
One-yea reserve risk including a tail factor : closed formula and bootstrap approaches
Non‐life insurance Reserve risk Claims Development Result Bootstrap method Tail factor Prediction error Solvency II
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2011/7/19
In this paper, we detail the main simulation methods used in practice to measure one‐year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development ...
One-yea reserve risk including a tail factor : closed formula and bootstrap approaches
Non‐life insurance, Reserve risk, Claims Development Result, Bootstrap method, Tail factor, Prediction
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2011/7/19
In this paper, we detail the main simulation methods used in practice to measure one‐year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development ...
Tail Behaviour of the Euro
Extreme Value Theory Tail Behaviour GARCH The Euro
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2011/3/31
This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub per...
Tail Behavior of the Central European Stock Markets during the Financial Crisis
Financial crisis tail behavior stock markets
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2010/12/6
In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the be...
A Short Tale of Long Tail Integration
numerical integration Fourier transform Laplace transform
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2010/10/20
Integration of the form $\int_a^\infty {f(x)w(x)dx} $, where $w(x)$ is either $\sin (\omega {\kern 1pt} x)$ or $\cos (\omega {\kern 1pt} x)$, is widely encountered in many engineering and scientific ...
Shaping tail dependencies by nesting box copulas
Shaping tail dependencies box copulas
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2010/11/1
We introduce a family of copulas which are locally piecewise uniform in the interior of the unit cube of any given dimension. Within that family,the simultaneous control of tail dependencies of all pr...
Scaling conditional tail probability and quantile estimators
distria relatively high frequency quantile estimates
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2011/3/31
We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distria.
Consumer Expenditure Distribution in India, 1983-2007: Evidence of a Long Pareto Tail
Consumer Expenditure Lognormal distribution Pareto distribution Gini coefficient
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2010/11/3
This work presents a comprehensive study of the evolution of the expenditure distribution in In-dia. The consumption process is theoretically modeled based on certain physical assumptions. The propose...
Mathematical analysis of long tail economy using stochastic ranking processes
Mathematical analysis long tail economy stochastic ranking processes
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2010/12/17
We present a new method of estimating the distribution of sales rates of, e.g., book titles at an online bookstore, from the time evolution of ranking data found at websites of the store. The method i...
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
limit orders market orders tail risks
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2011/3/31
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system b...