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Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing

Leung, Melvern; Li, Youwei; Pantelous, Athanasios; … - 2019

We propose a new Unconditional Coverage backtest for VaR-forecasts under a Bayesian framework that significantly minimise the direct and indirect effects of p-hacking or other biased outcomes in decision-making, in general. Especially, after the global financial crisis of 2007-09, regulatory...

Persistent link: https://www.econbiz.de/10015212754

Bayes reliability measures of Lognormal and inverse Gaussian distributions under ML-II ε-contaminated class of prior distributions

Sinha, Pankaj; Jayaraman, Prabha - 2009

In this paper we employ ML-II ε-contaminated class of priors to study the sensitivity of Bayes Reliability measures for an Inverse Gaussian (IG) distribution and Lognormal (LN) distribution to misspecification in the prior. The numerical illustrations suggest that reliability measures of both...

Persistent link: https://www.econbiz.de/10015217746

A new approach to the credibility formula

Payandeh Najafabadi, Amir T. - 2010

The usual credibility formula holds whenever, (i) claim size distribution is a member of the exponential family of distributions, (ii) prior distribution conjugates with claim size distribution, and (iii) square error loss has been considered. As long as, one of these conditions is violent, the...

Persistent link: https://www.econbiz.de/10015220955

Evaluating alternative estimators for optimal order quantities in the newsvendor model with skewed demand

Halkos, George; Kevork, Ilias - 2012

This paper considers the classical Newsvendor model, also known as the Newsboy problem, with the demand to be fully observed and to follow in successive inventory cycles one of the Exponential, Rayleigh, and Log-Normal distributions. For each distribution, appropriate estimators for the optimal...

Persistent link: https://www.econbiz.de/10015230264

Validity and precision of estimates in the classical newsvendor model with exponential and rayleigh demand

Halkos, George; Kevork, Ilias - 2012

In this paper we consider the classical newsvendor model with profit maximization. When demand is fully observed in each period and follows either the Rayleigh or the exponential distribution, appropriate estimators for the optimal order quantity and the maximum expected profit are established...

Persistent link: https://www.econbiz.de/10015230417

Evaluating alternative frequentist inferential approaches for optimal order quantities in the newsvendor model under exponential demand

Halkos, George; Kevork, Ilias - 2012

Three estimation policies for the optimal order quantity of the classical newsvendor model under exponential demand are … evaluated in the current paper. According to the principle of the first estimation policy, the corresponding estimator is … with its maximum likelihood estimator. The estimator of the second estimation policy is derived in such a way as to ensure …

Persistent link: https://www.econbiz.de/10015232607

Unbiased estimation of maximum expected profits in the Newsvendor Model: a case study analysis

Halkos, George; Kevork, Ilias - 2012

In the current paper we study a real life inventory problem whose operating conditions match to the principles of the classical newsvendor model. Applying appropriate tests to the available sample of historical demand data, we get the sufficient statistical evidences to support that daily demand...

Persistent link: https://www.econbiz.de/10015233376

Monotonic Estimation for the Survival Probability over a Risk-Rated Portfolio by Discrete-Time Hazard Rate Models

Yang, Bill Huajian - 2019

Monotonic estimation for the survival probability of a loan in a risk-rated portfolio is based on the observation … level factors can be included. Parameter estimation algorithms are also proposed. The models and algorithms proposed in this … paper can be used for loan pricing, stress testing, expected credit loss estimation, and modeling of the probability of …

Persistent link: https://www.econbiz.de/10015263813

Monotonic Estimation for Probability Distribution and Multivariate Risk Scales by Constrained Minimum Generalized Cross-Entropy

Yang, Bill Huajian - 2019

Minimum cross-entropy estimation is an extension to the maximum likelihood estimation for multinomial probabilities … consecutive indexes. Results extend to the monotonic estimation for multivariate outcomes by generalized cross-entropy. These … adjacent violators” algorithm in least squares case for the isotonic regression problem. Applications to monotonic estimation …

Persistent link: https://www.econbiz.de/10015263815

Growth Effects of European Monetary Union: A Synthetic Control Approach

Lucke, Bernd - 2022

After more than 20 years of European Monetary Union (EMU), surprisingly few scientific studies exist which study the growth effects of introducing a common currency in large parts of the European Union. I do so using a large panel (NUTS3 data) of regional data for the EU-15. Some 800 (treated)...

Persistent link: https://www.econbiz.de/10015213349