Confidence band for expectation dependence with applications

DOI10.1016/j.insmatheco.2015.09.012zbMath1373.62518OpenAlexW1896849568WikidataQ59356372 ScholiaQ59356372MaRDI QIDQ320286

Jingyuan Li, Xu Guo

Publication date: 6 October 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://commons.ln.edu.hk/sw_master/3570

zbMATH Keywords

expectation dependenceconfidence band estimationdemand for a risky assetfirst-order risk aversionHoeffding's inequality

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Nonparametric tolerance and confidence regions (62G15)

Related Items

Validation of positive expectation dependence, Testing for more positive expectation dependence with application to model comparison, Probability inequalities for decomposition integrals

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