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The term structures of expected loss and gain uncertainty

Feunou, Bruno; Lopez Aliouchkin, Ricardo; Tédongap, Roméo - In: Journal of financial econometrics 18 (2020) 3, pp. 473-501

Persistent link: https://www.econbiz.de/10012316691

A general optimal approach to Bühlmann credibility theory

Yan, Yujie; Song, Kai-Sheng - In: Insurance / Mathematics & economics 104 (2022), pp. 262-282

Persistent link: https://www.econbiz.de/10013264957

Assessing point forecast accuracy by stochastic loss distance

Diebold, Francis X.; Shin, Minchul - In: Economics letters 130 (2015), pp. 37-38

Persistent link: https://www.econbiz.de/10011422366

The asymptotic minimax risk for the estimation of constrained binomial and multinomial probabilities

Braess, Dietrich; Dette, Holger - 2004

In this note we present a direct and simple approach to obtain bounds on the asymptotic minimax risk for the estimation …

Persistent link: https://www.econbiz.de/10010516921

Robust asset allocation for long-term target-based investing

Forsyth, Peter; Vetzal, Kenneth R. - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10011686943

Information recovery in a dynamic statistical Markov model

Miller, Douglas J.; Judge, George G. - In: Econometrics : open access journal 3 (2015) 2, pp. 187-198

Although economic processes and systems are in general simple in nature, the underlying dynamics are complicated and seldom understood. Recognizing this, in this paper we use a nonstationary-conditional Markov process model of observed aggregate data to learn about and recover causal influence...

Persistent link: https://www.econbiz.de/10011290690