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

A novel estimation method in generalized single index models

Zhang, Dixin; Wang, Yulin; Liang, Hua - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 399-413

Persistent link: https://www.econbiz.de/10014448193

Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations

Pan, Jiazhu; He, Yali - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 3, pp. 377-395

Persistent link: https://www.econbiz.de/10014372884

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