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Decision uncertainty in multi-attribute stated preference studies

Dekker, Thijs; Hess, Stephane; Brouwer, Roy; Hofkes, … - In: Resource and energy economics 43 (2016), pp. 57-73

Persistent link: https://www.econbiz.de/10011776132

Identification of a class of index models : a topological approach

Fosgerau, Mogens; Kristensen, Dennis - 2019

We establish nonparametric identification in a class of so-called index models using a novel approach that relies on general topological results. Our proof strategy imposes very weak smoothness conditions on the functions to be identified and does not require any large support conditions on the...

Persistent link: https://www.econbiz.de/10012109838

Identification of a class of index models : a topological approach

Fosgerau, Mogens; Kristensen, Dennis - In: The econometrics journal 24 (2021) 1, pp. 121-133

Persistent link: https://www.econbiz.de/10012504454

Combining risk attitudes in a lottery game and flood risk protection decisions in a discrete choice experiment

Glatt, Markus; Brouwer, Roy; Logar, Ivana - In: Environmental & resource economics : the official … 74 (2019) 4, pp. 1533-1562

Persistent link: https://www.econbiz.de/10012385001

Bayesian Analysis of Risk for Data Mining Based on Empirical Likelihood

Liao, Yuan; Jiang, Wenxin - 2011

We consider an approximate posterior approach to making joint probabilistic inference on the action and the associated risk in data mining. The posterior probability is based on a profile empirical likelihood, which imposes a moment restriction relating the action to the resulting risk, but does...

Persistent link: https://www.econbiz.de/10014186158

Real-Time Bayesian Nonparametric Prediction of Solvency Risk

Hong, Liang - 2017

Insurance regulation often dictates that insurers monitor their solvency risk in real time and take appropriate actions whenever the risk exceeds their tolerance level. Bayesian methods are appealing for prediction problems thanks to their ability to naturally incorporate both sample variability...

Persistent link: https://www.econbiz.de/10012954411

Risk Margin Quantile Function via Parametric and Non-Parametric Bayesian Quantile Regression

Dong, Alice - 2014

We develop quantile regression models in order to derive risk margin and to evaluate capital in non-life insurance applications. By utilizing the entire range of conditional quantile functions, especially higher quantile levels, we detail how quantile regression is capable of providing an...

Persistent link: https://www.econbiz.de/10013059008

Risk, return, and volatility feedback : a Bayesian nonparametric analysis

Jensen, Mark J.; Maheu, John M. - 2014

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess...

Persistent link: https://www.econbiz.de/10010365633

Risk margin quantile function via parametric and non-parametric Bayesian approaches

Dong, Alice X. D.; Chan, Jennifer S. K.; Peters, Gareth W. - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 503-550

Persistent link: https://www.econbiz.de/10011397246

Variable selection and functional form uncertainty in cross-country growth regressions

Salimans, Tim - 2011

this joint treatment by extending the linear model to allow for multiple-regime parameter heterogeneity of the type … suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …

Persistent link: https://www.econbiz.de/10011382708