Confidence band for expectation dependence with applications
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Publication:320286
DOI10.1016/j.insmatheco.2015.09.012zbMath1373.62518OpenAlexW1896849568WikidataQ59356372 ScholiaQ59356372MaRDI QIDQ320286
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
expectation dependenceconfidence band estimationdemand for a risky assetfirst-order risk aversionHoeffding's inequality
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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