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Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model

Dębicki, Krzysztof; Ji, Lanpeng; Rolski, Tomasz - In: Risks 7 (2019) 3, pp. 1-21

We consider a two-dimensional ruin problem where the surplus process of business lines is modelled by a two …-dimensional correlated Brownian motion with drift. We study the ruin function P(u) for the component-wise ruin (that is both business lines …

Persistent link: https://www.econbiz.de/10013200501

How much we gain by surplus-dependent premiums: Asymptotic analysis of ruin probability

Wang, Jing; Palmowski, Zbigniew; Constantinescu, Corina - In: Risks 9 (2021) 9, pp. 1-17

In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes …. Applying the approximation theory of solutions of linear ordinary differential equations, we derive the asymptotics of the ruin … can further determine their asymptotics. This allows us to recover the ruin probabilities obtained for general premiums …

Persistent link: https://www.econbiz.de/10013200821

Financial returns, sentiment and market volatility: A dynamic assessment

Borgioli, Stefano; Gallo, Giampiero M.; Ongari, Chiara - 2024

In 1936, John Maynard Keynes proposed that emotions and instincts are pivotal in decision-making, particularly for investors. Both positive and negative moods can influence judgments and decisions, extending to economic and financial choices. Intuitions, emotional states, and biases...

Persistent link: https://www.econbiz.de/10015199487

Comparison of Bayesian and sample theory parametric and semiparametric binary response models

Shen, Xiangjin; Karibzhanov, Iskander; Tsurumi, Hiroki; … - 2022

This study proposes a Bayesian semiparametric binary response model using Markov chain Monte Carlo algorithms since this Bayesian algorithm works when the maximum likelihood estimation fails. Implementing graphic processing unit computing improves the computation time because of its efficiency...

Persistent link: https://www.econbiz.de/10013396514

Cash and COVID-19: What happened in 2021

Chen, Heng; Engert, Walter; Huynh, Kim P.; O'Habib, Daneal - 2022

We provide an update on the impact the COVID-19 pandemic on the demand for cash and the use of methods of payment based on data from the Bank Note Distribution System and from consumer surveys conducted in April and August 2021. Our key findings are as follows: Cash in circulation remained high...

Persistent link: https://www.econbiz.de/10013430326

Approximations and inference for nonparametric production frontiers

Daraio, Cinzia; Simar, Léopold - 2022

Nonparametric methods have been widely used for assessing the performance of organizations in the private and public sector. The most popular ones are based on envelopment estimators, like the FDH or DEA estimators, that estimate the attainable sets and its efficient boundary by enveloping the...

Persistent link: https://www.econbiz.de/10013432930

A Bayesian approach for inference on probabilistic surveys

Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022

We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We...

Persistent link: https://www.econbiz.de/10013432955

Driving factors of growth evidence in the food and textile sectors of Pakistan

Bashir, Zahid; Asif, Muhammad; Khalid, Nusrat - In: Financial Internet Quarterly 16 (2020) 1, pp. 11-19

The aim of this research was determining the factors of growth in the textile and food sector of Pakistan. The research study analyzed data from the financial statements of textile and food sector companies of Pakistan for the period 2013-17. A fixed effect regression model was used for...

Persistent link: https://www.econbiz.de/10013466236

Regional differentiation for life quality of the population in Ukraine under innovative growth

Burkina, Natalia; Furman, Taras; Soboń, Janusz; Sapun, … - In: Financial Internet Quarterly 16 (2020) 2, pp. 73-86

The article focuses on the analysis of economic growth of Ukraine and its regions, using the proposed by the authors indicators of quality and indicators of the population living standards under innovation growth. The main purpose of the research is developing a method of multi-factor assessment...

Persistent link: https://www.econbiz.de/10013466248

Economical situation in Sub-Saharan African countries

Soboń, Dariusz; Soboń, Janusz; Seleznova, Ruslana; … - In: Financial Internet Quarterly 17 (2021) 3, pp. 71-75

What began as a single COVID-19 case in China in late 2019 quickly spread around the globe in the first quarter of 2020. While the impact on the world\'s health systems is unknown, the economic toll remains also remains unknown as the world grapples with an unprecedented global recession. This...

Persistent link: https://www.econbiz.de/10013466285