The assumption in standard expected utility model formulations that the coefficient of risk aversion is a constant is potentially unrealistic. This study takes the standard linear expected meanvariance problem and replaces the coefficient of risk aversion with a function of risk aversion,...

As a phenomenon, risk represents a latent quantity of money or equivalent values needed as a guarantee. We would like to model in some essential way the approach to potential loss caused by various agents. If the interest focuses on security, it is necessary to determine a limit. The aim of this...

The Anderson-Darling goodness-of-fit test has a highly skewed and non-standard limit distribution. Various attempts have been made to tabulate the associated critical points, using both theoretical approximations and simulation methods. We show that a standard saddlepoint approximation performs...

In this paper, we consider a simple preliminary-test estimation problem where the analyst's loss structure is represented by a ‘reflected Normal' penalty function. In particular we consider the estimation of the location parameter in a Normal sampling problem, where a preliminary test is...