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Estimation of agent-based models using sequential Monte Carlo methods

Lux, Thomas - 2017

Estimation of agent-based models is currently an intense area of research. Recent contributions have to a large extent … resorted to simulation-based methods mostly using some form of simulated method of moments estimation (SMM). There is, however … inference. Here we resort to Sequential Monte Carlo (SMC) estimation based on a particle filter. This approach is used here to …

Persistent link: https://www.econbiz.de/10011748807

Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus

Shimizu, Yasutaka; Zhang, Zhimin - In: Insurance / Mathematics & economics 74 (2017), pp. 84-98

Persistent link: https://www.econbiz.de/10011712403

Capital valuation, what is it and why does it matter? : insights from Austrian capital theory

Lewin, Peter - In: Journal of business valuation and economic loss analysis 12 (2017) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011758869

Freight derivatives pricing for decoupled mean-reverting diffusion and jumps

Kyriakou, Ioannis; Pouliasis, Panos K.; Papapostolou, … - In: Transportation research / E : an international journal 108 (2017), pp. 80-96

Persistent link: https://www.econbiz.de/10011781992

A class of random field memory models for mortality forecasting

Doukhan, P.; Pommeret, D.; Rynkiewicz, J.; Salhi, Y. - In: Insurance / Mathematics & economics 77 (2017), pp. 97-110

Persistent link: https://www.econbiz.de/10011783924

Quantal response and nonequilibrium beliefs explain overbidding in maximum-value auctions

Camerer, Colin; Nunnari, Salvatore; Palfrey, Thomas R. - In: Games and economic behavior 98 (2016), pp. 243-263

Persistent link: https://www.econbiz.de/10011771444

Nonparametric estimation of the finite time ruin probability in the classical risk model

Zhang, Zhimin - In: Scandinavian actuarial journal (2017) 5, pp. 452-469

Persistent link: https://www.econbiz.de/10011772222

On the iterated estimation of dynamic discrete choice games

Bugni, Federico A.; Bunting, Jackson - 2018

estimation. This class nests several estimators proposed in the literature. By considering a "maximum likelihood" criterion …

Persistent link: https://www.econbiz.de/10011797607

On some new dependence models derived from multivariate collective models in insurance applications

Hashorva, Enkelejd; Ratovomirija, Gildas; Tamraz, Maissa - In: Scandinavian actuarial journal (2017) 8, pp. 730-750

Persistent link: https://www.econbiz.de/10011848626

A new generalization of the pareto distribution and its application to insurance data

Ghitany, Mohamed E.; Gómez-Déniz, Emilio; Nadarajah, … - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-14

The Pareto classical distribution is one of the most attractive in statistics and particularly in the scenario of actuarial statistics and finance. For example, it is widely used when calculating reinsurance premiums. In the last years, many alternative distributions have been proposed to obtain...

Persistent link: https://www.econbiz.de/10011855145