Search Results - subject_exact:"Probability theory"

A quantile probability model for sectoral corporate defaults in Europe

Konietschke, Paul; Metzler, Julian; Marques, Aurea Ponte - 2026

Conventional credit risk models understate tail risk by centering on mean default probabilities and neglecting distributional and sectoral heterogeneity. We propose a Quantile Probability of Default (QPD) framework based on unconditional quantile regressions estimated on flow default rates from...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618110

Equivalent logit choice probabilities from optimization and randomization

Mestieri, Martí; Norris, Jordan J. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015655483

Show one more version 1

Equivalent logit choice probabilities from optimization and randomization

Mestieri, Martí; Norris, Jordan - 2026

Book / Working Paper

Do eco-labels pay off? : causal evidence from Japanese firms

Okajima, Shigeharu; Okajima, Hiroko; Shirao, Naohiro; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562103

Non-random assignment of individual identifiers and selection into linked data : implications for research

Raze, Kyle; Perales, Nicole; Landivar, Liana Christin - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609696

Exiting Unawareness of Kohsetsushi among SMEs in Japan

Fukugawa, Nobuya - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614215

Estimating OD matrices from social connectivity : a perorigin probabilistic attractiveness model

Khalvandi, Reza; Sansò, Brunilde - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015589898

Asymptotics of ruin probabilities in a subordinated Cramér-Lundberg model

Klinge, Jonathan; Schmeck, Maren Diane - 2026

We study a dynamic model of a non-life insurance portfolio. The foundation of the model is a compound Poisson process that represents the claims side of the insurer. To introduce clusters of claims appearing, e.g. with catastrophic events, this process is time-changed by a Lévy subordinator....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606080

When will the next shock happen? : a dynamic framework for event probability estimation

Pantelidis, Konstantinos; Karakostas, Ioannis; … - 2026

Extreme movements in financial time series pose challenges for risk management and forecasting, particularly when their timing is irregular and difficult to anticipate. This study aims to develop a probabilistic framework for detecting and predicting such events using daily Bitcoin returns as a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628652

On return probabilities of adverse events under dependence and lessons to learn for decision-making

Hofert, Marius - 2026

Considering achieving a goal in each of several time intervals when, in every time interval, an adverse event may lead to a failure raises the question of the return probability of adverse events, so the probability of at least one failure to happen during the time period of interest. Through...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639025

Mixed size-biased log-normal distribution with truncated normal prior and its application in insurance ratemaking

Bae, Taehan; Kim, Jieun; Ahn, Jae Youn - 2026

In the insurance literature, accurately predicting extreme losses has been a persistent and important problem. Recently, under the modelling framework of weighted distributions, several finite-mixture size-biased distributions, including size-biased Weibull and size-biased truncated log-normal...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639105

Stationary distributions in monotone Markov models : theory and applications

Kamihigashi, Takashi; Stachurski, John - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639238

Posterior probabilities of dominance for wealth distributions

Griffiths, William E.; Duangkamon Chotikapanich - 2026

Probability distributions, which are typically used to describe income distributions, are not suitable to describe a population's distribution of wealth because of the existence of negative observations and a large concentration of values close to zero. To overcome these problems, we describe...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640527

Application of resolution regression and resolution graphs in evaluating probability forecasts generated using binary choice models

Dharmasena, Senarath; Bessler, David A.; Capps, Oral - 2026

Binary choice models are widely used in econometric modeling when the dependent variable corresponds to discrete outcomes. With appropriate decision rules, these models provide predictions of binary choices generated from predicted probabilities. The accuracy of these predictions in terms of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640541

Quantile selection in the gender pay gap

Batbayar, Egshiglen; Breunig, Christoph; Haan, Peter; … - 2026

We propose a new approach to estimate selection-corrected quantiles of the gender wage gap. Our method employs instrumental variables that explain variation in the latent variable but, conditional on the latent process, do not directly affect selection. We provide semiparametric identification...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640929

Modeling the probability of default term structure using different methodologies under IFRS 9

Moremoholo, Kgotso Rudolf; Shongwe, Sandile Charles; … - 2026

To mitigate credit risk, banks are required to set aside a specific amount as a safety net to absorb the expected loss on a banks' loan portfolio called loan loss provisions (LLPs) or provisions for bad debts. All banks worldwide had to adopt International Financial Reporting Standard 9 (IFRS 9)...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643351

Leveraging probability distortion to target prevention : a cardiovascular screening experiment in the Philippines

Baillon, Aurélien; Capuno, Joseph J.; Kraft, Aleli; … - 2026

We test whether a conditional cash lottery targets prevention on those doing too little because of inverse-S probability distortion that also causes overvaluation of a lottery. Consistent with theory, Filipinos perceiving their cardiovascular disease (CVD) risk in a wide intermediate interval...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644858

Replication report: on the robustness and provenance of the gambler's fallacy by Xiang, Dorst, and Gershman (2025)

Berg, Anthony van den; Doroc, Karlo; Fu, Changfa; … - 2026

Xiang et al. (2025) investigate whether the gambler's fallacy-the false belief that a random event is less likely to occur if it has occurred recently-is robust to using probabilistic (versus point) predictions and independently and identically distributed (versus non-IID) sequences. In five...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650666

Multivariate probabilistic forecasting of electricity prices with trading applications

Agakishiev, Ilyas; Härdle, Wolfgang; Kopa, Milos; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015546805

Estimation with probability edited survey data under nonresponse

Ilves, Maiki - 2025

Probabilistic editing has been introduced to enable valid inference using established survey sampling theory in situations when some of the collected data points may have measurement errors and are therefore submitted to an editing process. To reduce the editing effort and avoid over-editing, in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015207175

Scalable probabilistic forecasting in retail with gradient boosted trees : a practitioner's approach

Long, Xueying; Bui, Quang; Oktavian, Grady; Schmidt, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371355

Ratio bias across cultures and disciplines : how academic background shapes statistical decision-making

Baumeister, Jochen; Streicher, Bernhard; Lermer, Eva - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372165

Subjective probability distributions of nonlinear payoffs : Recovering option payoff, agent’s utility, and pricing kernel distributions

Yamazaki, Akira - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372650

Taming data-driven probability distributions

Baruník, Jozef; Hanus, Luboš - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374076

Improving momentum returns using generalized linear models

Zeng, Hui; Marshall, Ben R.; Nguyen, Nhut; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374825

Subjective probabilities under behavioral heuristics

Rahman, Oriana; Semenov, Andrei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331645

A model-based algorithm for the Probabilistic Orienteering Problem

Montemanni, Roberto; Smith, Derek H. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331685

Semiparametric estimation of probability weighting functions implicit in option prices

Boswijk, Herman Peter; Dalderop, Jeroen; Laeven, Roger J. A. - 2025 - This version: March 19, 2025

This paper develops a semiparametric estimation method that jointly identifies the probability weighting and utility functions implicit in option prices. Our econometric method avoids direct specification of the objective conditional return distributions, which are instead obtained by...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333127

Stocks as lotteries? : an experimental test of expected utility vs behavioral models

Corgnet, Brice; Kpegli, Yao Thibaut; Magnani, Jacopo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015337453

On survival estimation of Lomax distribution under adaptive progressive type-II censoring

Sharma, Hemani; Kumar, Parmil - 2025

The main objective of the research described in the article is to study the maximum likelihood (ML) estimation and the Bayesian approach for parameter estimation of the Lomax distribution. Additionally, the study aims to determine the approximate intervals for the parameters and the survival...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338333

Random Forest estimation of the ordered choice model

Lechner, Michael; Okasa, Gabriel - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193729

Show one more version 1

Random forest estimation of the ordered choice model

Lechner, Michael; Okasa, Gabriel - 2019

Book / Working Paper

Ordered correlation forest

Di Francesco, Riccardo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196610

Show one more version 1

Ordered correlation forest

Di Francesco, Riccardo - 2024

Book / Working Paper

Quantum measurement trees, I : two preliminary examples of induced contextual Boolean algebras

Hammond, Peter J. - 2025 - This version: 2025 February 12th

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015198582

Modeling financial bubbles with optional semimartingales in nonstandard probability spaces

Abdelghani, Mohamed; Melnikov, Alexander - 2025

Deviation of an asset price from its fundamental value, commonly referred to as a price bubble, is a well-known phenomenon in financial markets. Mathematically, a bubble arises when the deflated price process transitions from a martingale to a strict local martingale. This paper explores price...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358908

The disjunction effect does not violate the Law of Total Probability

Gelastopoulos, Alexandros; Le Mens, Gaël - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329122

Stochastic cooperation model for measuring firms' default probabilities

Ip, Ho-Yan; Lo, Chi-Fai; Hui, Cho H. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330001

Forecasting population in an uncertain world : approaches, new uses, and troubling limitations

Lee, Ronald Demos - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394772

Managed Expectations Theory : ex ante likelihoods influence ex post utilities

Zeckhauser, Richard; Viscusi, W. Kip - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591701

Show one more version 1

Managed expectations theory : ex ante likelihoods influence ex post utilities

Zeckhauser, Richard; Viscusi, W. Kip - 2025

Book / Working Paper

Numerical calculation of finite-time ruin probabilities in the dual risk model

Cardoso, Rui M. R.; Melo, Andressa C. O. - 2025

In the dual risk model, while the ultimate ruin probability has an exact and straightforward formula, the mathematics becomes significantly more complex when considering a finite time horizon, and the literature on this topic is scarce. As a result, there is a need for numerical approximations....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467466

Predictive density combination using Bayesian machine learning

Chernis, Tony; Hauzenberger, Niko; Huber, Florian; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472998

Concavity of order statistics in sample size : implications for auction design

Watt, Mitchell - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015473047

Order statistics as finite mixtures

Espín-Sánchez, José-Antonio; Hodgson, Charles; … - 2025

We propose a new way to obtain identification results using order statistics as finite mixtures with two key properties: i) the weights are known integer numbers; and ii) the elements of the mixture are the distributions of the maximum over a subset of the original random variables. We leverage...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448081

Survival analysis for credit risk : a dynamic approach for Basel IRB compliance

Dala, Fernando L.; Esquível, Manuel L.; Gaspar, Raquel M. - 2025

This paper uses survival analysis as a tool to assess credit risk in loan portfolios within the framework of the Basel Internal Ratings-Based (IRB) approach. By modeling the time to default using survival functions, the methodology allows for the estimation of default probabilities and the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448887

Conditional expectations given the sum of independent random variables with regularly varying densities

Denuit, Michel; Ortega-Jiménez, Patricia; Robert, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015450049

An optional semimartingales approach to risk theory

Shahrokhabadi, Mahdieh Aminian; Melnikov, Alexander; … - 2025

This paper aims to develop optional semimartingale methods in risk theory to allow for a larger class of risk models. Optional semimartingales are left-continuous with right-limit stochastic processes defined on a probability space where the usual conditions - completeness and right-continuity...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408385

New bounds for tail risk measures

Carnero, M. Angeles; León, Ángel; Ñíguez, Trino-Manuel - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408528

Deep learning of transition probability densities for stochastic asset models with applications in option pricing

Su, Haozhe; Tretyakov, M. V.; Newton, David P. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015413694

Credit risk assessment using fuzzy inhomogeneous Markov Chains within a fuzzy market

Vassiliou, Panos C. G. - 2025

In the present study, we model the migration process and the changes in the market environment. The migration process is being modeled as an F -inhomogeneous semi-Markov process with fuzzy states. The evolution of the migration process takes place within a stochastic market environment with...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015436971

Soft landing or stagflation? : a framework for estimating the probabilities of macro scenarios

Engstrom, Eric - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015438094

Covariate balancing and the equivalence of weighting and doubly robust estimators of average treatment effects

Słoczyński, Tymon; Uysal, Selver Derya; Wooldridge, … - 2025

How should researchers adjust for covariates? We show that if the propensity score is estimated using a specific covariate balancing approach, inverse probability weighting (IPW), augmented inverse probability weighting (AIPW), and inverse probability weighted regression adjustment (IPWRA)...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015459676

Show one more version 1

Covariate balancing and the equivalence of weighting and doubly robust estimators of average treatment effects

Słoczyński, Tymon; Uysal, Selver Derya; Wooldridge, … - 2025

Book / Working Paper

Dynamically forecasting airline departure delay probability distributions for individual flights using supervised learning

Beltman, Maarten; Ribeiro, Marta; Wilde, Jasper de; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015442357