Search Results - subject:"probability: distribution"

Estimating copula-based extension of tail value-at-risk and its application in insurance claim

Syuhada, Khreshna; Neswan, Oki; Parulian, Josaphat, Bony - 2022

Dependent Tail Value-at-Risk, abbreviated as DTVaR, is a copula-based extension of Tail Value-at-Risk (TVaR). This risk measure is an expectation of a target loss once the loss and its associated loss are above their respective quantiles but bounded above by their respective larger quantiles. In...

Persistent link: https://www.econbiz.de/10013363132

Recovering subjective probability distributions

Yamazaki, Akira - In: The journal of futures markets 42 (2022) 7, pp. 1234-1263

Persistent link: https://www.econbiz.de/10013287943

Technical note: on matrix exponential differentiation with application to weighted sum distributions

Das, Milan Kumar; Tsai, Henghsiu; Kyriakou, Ioannis; … - In: Operations research 70 (2022) 4, pp. 1984-1995

Persistent link: https://www.econbiz.de/10013366400

Fat tails due to variable renewables and insufficient flexibility : evidence from Germany

Huisman, Ronald; Kyritsis, Evangelos; Stet, Cristian - In: The energy journal 43 (2022) 5, pp. 231-247

Persistent link: https://www.econbiz.de/10013412932

Statistical laws observed in earthquakes using mesh statistics : an econophysical point of view

Ishikawa, Atushi; Fujimoto, Shouji; Mizuno, Takayuki - In: Evolutionary and institutional economics review 21 (2024) 2, pp. 203-216

Persistent link: https://www.econbiz.de/10015191755

Mixtures of log-normal distributions in the mid-scale range of firm-size variables

Ramos, Arturo; Massing, Till Philipp Georg; Ishikawa, Atushi - In: Evolutionary and institutional economics review 21 (2024) 2, pp. 249-260

Persistent link: https://www.econbiz.de/10015191763

Self-exciting negative binomial distribution process and critical properties of intensity distribution

Sakuraba, Kotaro; Kurebayashi, Wataru; Hisakado, Masato; … - In: Evolutionary and institutional economics review 21 (2024) 2, pp. 277-299

Persistent link: https://www.econbiz.de/10015191766

Short option maturity term structures of skewness and excess kurtosis

Madan, Dilip B.; Wang, King - In: Applied mathematical finance 31 (2024) 1, pp. 37-56

Persistent link: https://www.econbiz.de/10015194418

Tail recovery

Xu, Teng Andrea - In: The journal of financial data science 6 (2024) 3, pp. 115-146

Persistent link: https://www.econbiz.de/10015195623

Using the Bayesian sampling method to estimate corporate loss given default distribution

Zhang, Xiaofei; Zhao, Xinlei - In: Journal of empirical finance 79 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015179516