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

Related Items (3)

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

Cites Work

• Unnamed Item
• When can expected utility handle first-order risk aversion?
• The demand for a risky asset in the presence of a background risk
• Grüss-type bounds for covariances and the notion of quadrant dependence in expectation
• Correlation order, merging and diversification
• Convex combinations of quadrant dependent copulas
• First order versus second order risk aversion
• Almost expectation and excess dependence notions
• Modelling dependence
• Expectation dependence of random variables, with an application in portfolio theory
• Observing different orders of risk aversion
• Hedging and the competitive firm under correlated price and background risk
• Production and hedging in futures markets with multiple delivery specifications
• Validation of positive quadrant dependence
• Positive quadrant dependence testing and constrained copula estimation
• Positive quadrant dependence tests for copulas
• Probability Inequalities for Sums of Bounded Random Variables
• Some Concepts of Dependence
• A kolmogorov-smirnov type test for positive quadrant dependence
• Testing for positive expectation dependence

This page was built for publication: Confidence band for expectation dependence with applications