Search Results - subject:"Positive Quadrant Dependence"

Dependence Measures in Bivariate Gamma Frailty Models

van den Berg, Gerard J.; Effraimidis, Georgios - 2014

Bivariate duration data frequently arise in economics, biostatistics and other areas. In bivariate frailty models, dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...

Persistent link: https://www.econbiz.de/10010352325

Aumann and Serrano's economic index of risk for sums of gambles

Li, Minqiang - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-5

We study Aumann and Serrano's (2008) risk index for sums of gambles that are not dependent. If the dependent parts are similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For negative dependence, the risk index of the sum is...

Persistent link: https://www.econbiz.de/10011559115

Aumann and Serrano's Economic Index of Risk for Sums of Gambles

Li, Minqiang - Volkswirtschaftliche Fakultät, … - 2014

We study Aumann and Serrano's (2008) risk index for sums of gambles that are not necessarily independent. We show that if the dependent parts of two gambles are similarly ordered, or more generally positively quadrant dependent, then the risk index of the sum of two gambles is always larger than...

Persistent link: https://www.econbiz.de/10011111560

Dependence Measures in Bivariate Gamma Frailty Models

den Berg, Gerard J. van; Effraimidis, Georgios - Institute for the Study of Labor (IZA) - 2014

Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...

Persistent link: https://www.econbiz.de/10010757340

Aumann and Serrano’s economic index of risk for sums of gambles

Li, Minqiang - In: Cogent economics & finance 2 (2014) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10010469296

Dependence measures in bivariate gamma frailty models

Berg, Gerard J. van den; Effraimidis, Georgios - 2014

Persistent link: https://www.econbiz.de/10010339585

A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence

Scaillet, Olivier - Swiss Finance Institute - 2005

relate to the copula representation of positive quadrant dependence. For such a test we propose and justify inference relying … examines the presence of positive quadrant dependence in life expectancies at birth of males and females among countries. …

Persistent link: https://www.econbiz.de/10005612063

Nonparametric Tests Dependence For Positive Quadrant

DENUIT, Michel; SCAILLET, Olivier - Swiss Finance Institute - 2002

We consider distributional free inference to test for positive quadrant dependence, i.e.for the probability that two …, association and positive quadrant dependence (and its multivariate extensions) are of prime importance and should correctly be … in finance and insurance. This clustering behaviour can be described by a useful concept known as positive quadrant …

Persistent link: https://www.econbiz.de/10005771788

Nonparametric Tests for Positive Quadrant Dependence

DENUIT, Michel; SAILLET, Olivier - Institut de Recherche Économique et Sociale (IRES), … - 2001

We consider distributional free inference to test for positive quadrant dependence, i.e. for the probability that two …

Persistent link: https://www.econbiz.de/10004984938