Search Results - subject:"Multivariate Model"

Beyond the business cycle - factors driving aggregate mortality rates

Hanewald, Katja - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

other indicators such as weather conditions exert lagged effects. By combining variables in a multivariate model the share … conditions exert lagged effects. By combining variables in a multivariate model the share of explained data volatility can be … substantially increased. Keywords: Aggregate mortality, business cycle, socio-economic factors, multivariate model. JEL …

Persistent link: https://www.econbiz.de/10005784850

Multivariate negative binomial models for insurance claim counts

Shi, Peng; Valdez, Emiliano A. - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 18-29

It is no longer uncommon these days to find the need in actuarial practice to model claim counts from multiple types of coverage, such as the ratemaking process for bundled insurance contracts. Since different types of claims are conceivably correlated with each other, the multivariate count...

Persistent link: https://www.econbiz.de/10010753204

Multivariate negative binomial models for insurance claim counts

Shi, Peng; Valdez, Emiliano - In: Insurance / Mathematics & economics 55 (2014), pp. 18-29

Persistent link: https://www.econbiz.de/10010366213

Determinants of long-term interest rates in the United States and the euro area: A multivariate approach.

De Loubens, A.; Idier, J.; Jardet, C. - Banque de France - 2007

This article looks at the factors explaining the level of US and European long-term interest rates between 1986 and 2005. We begin by selecting the structural determinants of long-term interest rates, dealing with the US and European cases separately. However, a univariate framework cannot...

Persistent link: https://www.econbiz.de/10004998814

A parsimonious multivariate poisson model for market basket analysis

Dippold, Katrin; Hruschka, Haralad - In: Review of managerial science 7 (2013) 4, pp. 393-415

Persistent link: https://www.econbiz.de/10010196980

Fusing aggregate and disaggregate data with an application to multiplatform media consumption

Feit, Elea McDonnell; Wang, Pengyuan; Bradlow, Eric T.; … - In: Journal of marketing research : JMR 50 (2013) 3, pp. 348-364

Persistent link: https://www.econbiz.de/10009755700

Bankcruptcy prediction model used in credit risk management

Rankov, Siniša; Kotlica, Slobodan - In: Megatrend revija 10 (2013) 4, pp. 37-58

Persistent link: https://www.econbiz.de/10010345422

Optimal designs under a multivariate linear model with additional nuisance parameters

Filipiak, Katarzyna; Markiewicz, Augustyn; … - In: Statistical Papers 50 (2009) 4, pp. 761-778

Persistent link: https://www.econbiz.de/10008566219

Expectational Stability in Multivariate Models

Cho, Seonghoon; Moreno, Antonio - School of Economics and Business Administration, … - 2006

This paper shows that the concept of Expectational stability (E-stability) in a multivariate framework is inherently model-dependent. Whereas a Rational Expectations equilibrium (REE) is subject to model-specific parameter restrictions from the economic model at hand, a perceived law of motion...

Persistent link: https://www.econbiz.de/10005583157

Dependance Structure and Risk Measure

Kharoubi, Cécile; Ané, Thierry - Université Paris-Dauphine (Paris IX) - 2003

‐dimensional margins. The resulting multivariate model could be used in a wide range of financial applications. Focusing on risk management …

Persistent link: https://www.econbiz.de/10011166406