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Model uncertainty and selection of risk models for left-truncated and right-censored loss data

Zhao, Qian; Upretee, Sahadeb; Yu, Daoping - In: Risks : open access journal 11 (2023) 11, pp. 1-17

Insurance loss data are usually in the form of left-truncation and right-censoring due to deductibles and policy limits, respectively. This paper investigates the model uncertainty and selection procedure when various parametric models are constructed to accommodate such left-truncated and...

Persistent link: https://www.econbiz.de/10014435618

Maximum likelihood estimation error an operational value-at-risk stability

Larsen, Paul - In: The journal of operational risk 14 (2019) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10012052373

An asymptotic analysis of likelihood-based diffusion model selection using high frequency data

Choi, Hwan-sik; Jeong, Minsoo; Park, Joon Y. - In: Journal of econometrics 178 (2014) 1, pp. 539-557

Persistent link: https://www.econbiz.de/10010256867

Cities and clusters : economy-wide and sector-specific effects in corporate location

Bottazzi, Giulio; Gragnolati, Ugo - In: Regional studies 49 (2015) 1, pp. 113-129

Persistent link: https://www.econbiz.de/10010494887

On the finite sample properties of pre-test estimators of spatial models

Piras, Gianfranco; Prucha, Ingmar R. - In: Regional science & urban economics 46 (2014), pp. 103-115

Persistent link: https://www.econbiz.de/10010475664

Marginal likelihood estimation with the cross-entropy method

Chan, Joshua; Eisenstat, Eric - In: Econometric reviews 34 (2015) 1/5, pp. 256-285

Persistent link: https://www.econbiz.de/10011373293

Single-index-based CoVaR with very high-dimensional covariates

Fan, Yan; Härdle, Wolfgang; Wang, Weining; Zhu, Lixing - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 212-226

Persistent link: https://www.econbiz.de/10011894611

Adaptive LASSO-type estimation for ergodic diffusion processes

Iacus, Stefano Maria; De Gregorio, Alessandro - 2010

Persistent link: https://www.econbiz.de/10011752309

Fixed-effects dynamic spatial panel data models and impulse response analysis

Li, Kunpeng - In: Journal of econometrics 198 (2017) 1, pp. 102-121

Persistent link: https://www.econbiz.de/10011818371

A likelihood ratio test for spatial model selection

Liu, Tuo; Lee, Lung-fei - In: Journal of econometrics 213 (2019) 2, pp. 434-458

Persistent link: https://www.econbiz.de/10012304571

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