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Neumann series on the recursive moments of copula-dependent aggregate discounted claims

Ramli, Siti Norafidah Mohd; Jang, Jiwook - In: Risks : open access journal 2 (2014) 2, pp. 195-210

We study the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and … of successive approximation to derive the Neumann series of the recursive moments. We then compute the first two moments …

Persistent link: https://www.econbiz.de/10010399755

Skewness term structure tests

Lin, Yuehao; Lehnert, Thorsten - 2014

Persistent link: https://www.econbiz.de/10010502924

Asymmetric reaction is rational behavior

Horvath, Philip A.; Sinha, Amit K. - In: Journal of economics and finance 41 (2017) 1, pp. 160-179

Persistent link: https://www.econbiz.de/10011795611

Fiscal policy under long-run stagnation : a new interpretation of the multiplier effect

Murota, Ryu-ichiro; Ono, Yoshiyasu - 2015

We develop a Keynesian cross analysis with a dynamic optimization setting that explains long-run stagnation caused by aggregate demand deficiency. We show that an increase in government purchases boosts GDP through a multiplier process, but the implication is quite different from the...

Persistent link: https://www.econbiz.de/10010519974