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Computing the value-at-risk of aggregate severities
Gzyl, Henryk - In: The journal of operational risk 6 (2011/12) 4, pp. 59-63
Persistent link: https://www.econbiz.de/10009911472
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Bayesian Inference for General Gaussian Graphical Models With Application to Multivariate Lattice Data
Dobra, Adrian; Lenkoski, Alex; Rodriguez, Abel - In: Journal of the American Statistical Association : JASA 106 (2011) 496, pp. 1418-1434
Persistent link: https://www.econbiz.de/10009840349
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Learning and heterogeneity in GDP and inflation forecasts
Rodriguez, Abel; Puggioni, Gavino - In: International journal of forecasting 26 (2010) 2, pp. 265-293
Persistent link: https://www.econbiz.de/10008391795
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Posterior model probabilities via path-based pairwise priors
Berger, James O.; Molina, German - In: Statistica Neerlandica : journal of the Netherlands … 59 (2005) 1, pp. 3-15
Persistent link: https://www.econbiz.de/10006426466
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Review Article - Mixtures of g Priors for Bayesian Variable Selection
Liang, Feng; Paulo, Rui; Molina, German; Clyde, Merlise A. - In: Journal of the American Statistical Association : JASA 103 (2008) 481, pp. 410-423
Persistent link: https://www.econbiz.de/10007987187
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Maxentropic construction of risk neutral measures: discrete market models
Gzyl, Henryk - In: Applied mathematical finance 7 (2000) 4, pp. 229-240
Persistent link: https://www.econbiz.de/10008217265
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A method for determining risk aversion functions from uncertain market prices of risk
Gzyl, Henryk; Mayoral, Silvia - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 84-90
Persistent link: https://www.econbiz.de/10008422775
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Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments
Gzyl, Henryk; Novi-Inverardi, Pier-Luigi; Tagliani, Aldo - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 457-463
Persistent link: https://www.econbiz.de/10010175078
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Determination of risk pricing measures from market prices of risk
Gzyl, Henryk; Mayoral, Silvia - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 437-443
Persistent link: https://www.econbiz.de/10008149204
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Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean
Gzyl, Henryk; Mayoral, Silvia - In: Applied mathematical finance 19 (2012) 4, pp. 299-313
Persistent link: https://www.econbiz.de/10009998599