Zobrazeno 1 - 10
of 924
pro vyhledávání: '"62p05"'
Statistical modeling of claim severity distributions is essential in insurance and risk management, where achieving a balance between robustness and efficiency in parameter estimation is critical against model contaminations. Two \( L \)-estimators,
Externí odkaz:
http://arxiv.org/abs/2412.09830
While the market impact of aggressive orders has been extensively studied, the impact of passive orders, those executed through limit orders, remains less understood. The goal of this paper is to investigate passive market impact by developing a micr
Externí odkaz:
http://arxiv.org/abs/2412.07461
Autor:
Atsiwo, Abraham, Sarantsev, Andrey
The Capital Asset Pricing Model (CAPM) relates a well-diversified stock portfolio to a benchmark portfolio. We insert size effect in CAPM, capturing the observation that small stocks have higher risk and return than large stocks, on average. Dividing
Externí odkaz:
http://arxiv.org/abs/2411.19444
Stochastic dominance of a random variable by a convex combination of its independent copies has recently been shown to hold within the relatively narrow class of distributions with concave odds function, and later extended to broader families of dist
Externí odkaz:
http://arxiv.org/abs/2411.14926
Autor:
Ansari, Jonathan, Lütkebohmert, Eva
This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor. We provide
Externí odkaz:
http://arxiv.org/abs/2411.11522
Autor:
Park, Jihyun, Sarantsev, Andrey
We model time series of VIX (monthly average) and monthly stock index returns. We use log-Heston model: logarithm of VIX is modeled as an autoregression of order 1. Our main insight is that normalizing monthly stock index returns (dividing them by VI
Externí odkaz:
http://arxiv.org/abs/2410.22471
Autor:
Costa, Helder Gomes, Shimoda, Eduardo, Costa, José Fabiano da Serra, Shimoya, Aldo, Eufrazio, Edilvando Pereira
The question that drives this research is: "How to discover the number of respondents that are necessary to validate items of a questionnaire as actually essential to reach the questionnaire's proposal?" Among the efforts in this subject, \cite{Lawsh
Externí odkaz:
http://arxiv.org/abs/2410.11151
We propose a quantitative direct method of proving the local stability for the trivial solution of a rough differential equation and of its regular discretization scheme. Using Doss-Sussmann technique and stopping time analysis, we prove that the tri
Externí odkaz:
http://arxiv.org/abs/2410.07842
When making treatment selection decisions, it is essential to include a causal effect estimation analysis to compare potential outcomes under different treatments or controls, assisting in optimal selection. However, merely estimating individual trea
Externí odkaz:
http://arxiv.org/abs/2410.05177
In this article, we establish a general covariance identity for infinitely divisible distributions (IDD). Using this result, we derive Cacoullos type variance bounds for the IDD. Applications to some important distributions are discussed, in addition
Externí odkaz:
http://arxiv.org/abs/2408.01237