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pro vyhledávání: '"Bignozzi, Valeria"'
This paper introduces inter-order formulas for partial and complete moments of a Student $t$ distribution with $n$ degrees of freedom. We show how the partial moment of order $n - j$ about any real value $m$ can be expressed in terms of the partial m
Externí odkaz:
http://arxiv.org/abs/2209.12855
Publikováno v:
In Insurance Mathematics and Economics May 2024 116:44-50
Publikováno v:
ASTIN Bull. 52 (2022) 211-245
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the preferences repr
Externí odkaz:
http://arxiv.org/abs/2012.04364
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is evaluated on the
Externí odkaz:
http://arxiv.org/abs/1710.03252
Akademický článek
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Publikováno v:
The Journal of Risk and Insurance, 2020 Jun 01. 87(2), 437-475.
Externí odkaz:
https://www.jstor.org/stable/45380788
We consider method-of-quantiles estimators of unknown parameters, namely the analogue of method-of-moments estimators obtained by matching empirical and theoretical quantiles at some probability level lambda in (0,1). The aim is to present large devi
Externí odkaz:
http://arxiv.org/abs/1611.04765
L_p-quantiles represent an important class of generalised quantiles and are defined as the minimisers of an expected asymmetric power function, see Chen (1996). For p=1 and p=2 they correspond respectively to the quantiles and the expectiles. In his
Externí odkaz:
http://arxiv.org/abs/1605.07947
Autor:
Bignozzi, Valeria
The thesis focuses on risk measures used to calculate solvency capital requirements. It consists of three independent papers. The first paper (Chapter 2) investigates time-consistency, the relation that should hold across risk measurements of the sam
Externí odkaz:
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.564041
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (2006), we show that these risk measures can be identified with a class of
Externí odkaz:
http://arxiv.org/abs/1411.0426