Approximating the distribution function of risk

DOI10.1016/J.CSDA.2004.07.025MaRDI QIDQ957280zbMATH OpenOpenAlexFDO

Authors Costas A. Christophi, Reza Modarres

Publication date 26 November 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2004.07.025

zbMATH Keywords

Edgeworth expansionMonte Carlo simulationsaddlepoint methodseries approximationsmultiplicative risk modeltwo-dimensional Monte Carlo

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20)

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Cites work

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Cited in

(10)

• Improved methods of hazard rate function calculation using saddlepoint approximations
• A Functional Approach to Approximations for the Individual Risk Model
• MLE solution research for a certain kind of two-dimensional lognormal distribution function
• On multiple imputation for unbalanced ranked set samples with applications in quantile estimation
• Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications
• Quasi-optimal Bayesian procedures of many hypotheses testing
• High level quantile approximations of sums of risks
• scientific article; zbMATH DE number 2144393 (Why is no real title available?)
• scientific article; zbMATH DE number 3894252 (Why is no real title available?)
• Measuring distribution model risk

Describes a project that uses

Uses Software

• Maple

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