Search Results - subject:"Tail probability"

Is empirical granularity high enough to cause aggregate fluctuations? : the closeness to Gaussian

Arata, Yoshiyuki - 2022

Persistent link: https://www.econbiz.de/10014432033

Asymptotic tail probability of the discounted aggregate claims under homogeneous, non-homogeneous and mixed Poisson risk model

Adékambi, Franck; Essiomle, Kokou - In: Risks 9 (2021) 6, pp. 1-22

In this paper, we derive a closed-form expression of the tail probability of the aggregate discounted claims under …

Persistent link: https://www.econbiz.de/10013200788

Asymptotic tail probability of the discounted aggregate claims under homogeneous, non-homogeneous and mixed Poisson risk model

Adékambi, Franck; Essiomle, Kokou - In: Risks : open access journal 9 (2021) 6, pp. 1-22

In this paper, we derive a closed-form expression of the tail probability of the aggregate discounted claims under …

Persistent link: https://www.econbiz.de/10012598905

Carl and his pot: Measuring risks in commodity markets

Algieri, Bernardina; Leccadito, Arturo - In: Risks 8 (2020) 1, pp. 1-15

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil, natural gas, gold and corn for the period 2007-2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of Conditional Auto-Regressive Logit (CARL) models to...

Persistent link: https://www.econbiz.de/10013200562

The role of granularity in the variance and tail probability of aggregate output

Arata, Yoshiyuki - 2020 - Revised: December 2021

Persistent link: https://www.econbiz.de/10014366730

Consistency of full-sample bootstrap for estimating high-quantile, tail probability, and tail index

Litvinova, Svetlana; Silvapulle, Mervyn J. - 2020

Persistent link: https://www.econbiz.de/10012607652

Carl and his pot : measuring risks in commodity markets

Algieri, Bernardina; Leccadito, Arturo - In: Risks : open access journal 8 (2020) 1/27, pp. 1-15

Persistent link: https://www.econbiz.de/10012203657

A renewal shot noise process with subexponential shot marks

Chen, Yiqing - In: Risks 7 (2019) 2, pp. 1-8

precise asymptotic formula for its tail probability. In doing so, some recent results regarding sums of randomly weighted …

Persistent link: https://www.econbiz.de/10013200481

Semiparametric value-at-risk estimation of portfolios : a replication study of dias (Journal of Banking & Finance, 2014)

Xu, Jiahua - In: International Journal for Re-Views in Empirical … 3 (2019) 6, pp. 1-20

This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in estimating tail distribution of portfolios,...

Persistent link: https://www.econbiz.de/10012123197

A renewal shot noise process with subexponential shot marks

Chen, Yiqing - In: Risks : open access journal 7 (2019) 2/63, pp. 1-8

precise asymptotic formula for its tail probability. In doing so, some recent results regarding sums of randomly weighted …

Persistent link: https://www.econbiz.de/10012018965