Similar Search Results

Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks

Lauer, Alexandra; Zähle, Henryk - In: Insurance / Mathematics & economics 74 (2017), pp. 99-108

Persistent link: https://www.econbiz.de/10011712409

Measuring expected shortfall under semi-parametric expected shortfall approaches : a case study of selected Southern European/Mediterranean countries

Radivojević, Nikola; Bojić, Borislav; Lakićević, Marija - In: The journal of operational risk 14 (2019) 4, pp. 43-76

Persistent link: https://www.econbiz.de/10012157429

Bias reduction of long memory parameter estimators via the pre-filtered Sieve bootstrap

Poskitt, Donald Stephen; Martin, Gael M.; Grose, Simone D. - 2014 - Rev. Ed.

Persistent link: https://www.econbiz.de/10010349989

Bias correctoin of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap

Poskitt, Donald Stephen; Martin, M.; Grose, Simone D. - In: Econometric theory 33 (2017) 3, pp. 578-609

Persistent link: https://www.econbiz.de/10011810039

Simar and Wilson two-stage efficiency analysis for Stata

Badunenko, Oleg; Tauchmann, Harald - 2018

When analyzing what determines the efficiency of production, regressing efficiency scores estimated by DEA on explanatory variables has much intuitive appeal. Simar and Wilson (2007) show that this nai͏̈ve two-stage estimation procedure suffers from severe flaws, that render its results, and...

Persistent link: https://www.econbiz.de/10011854094

Nonparametric estimation of systemic risk via conditional value-at-risk

Belhad, Ahmed; Lauria, Davide; Trindade, A. Alexandre - In: Journal of risk 25 (2022) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10013549675

Conditional Value-at-Risk : semiparametric estimation and inference

Wang, Chuan-Sheng; Zhao, Zhibiao - In: Journal of econometrics 195 (2016) 1, pp. 86-103

Persistent link: https://www.econbiz.de/10011705234

An approach to capital allocation based on mean conditional value-at-risk

Han, Yuecai; Zhang, Fengtong; Liu, Xinyu - In: Journal of risk 25 (2023) 6, pp. 53-71

Persistent link: https://www.econbiz.de/10014546366

An approach to capital allocation based on mean conditional value-at-risk

Han, Yuecai; Zhang, Fengtong; Liu, Xinyu - In: Journal of risk : JOR 25 (2023) 6, pp. 53-71

Persistent link: https://www.econbiz.de/10014487234

Kernel type estimator of the reinsurance premium for heavy-tailed loss distributions

Benkhelifa, Lazhar - In: Insurance / Mathematics & economics 59 (2014), pp. 65-70

Persistent link: https://www.econbiz.de/10010469183