Confidence band for expectation dependence with applications

DOI10.1016/J.INSMATHECO.2015.09.012MaRDI QIDQ320286zbMATH OpenOpenAlexWikidataFDO

Authors 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

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

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Cites work

• scientific article; zbMATH DE number 699423 (Why is no real title available?)
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• Modelling dependence
• Observing different orders of risk aversion
• Positive quadrant dependence testing and constrained copula estimation
• Positive quadrant dependence tests for copulas
• Probability Inequalities for Sums of Bounded Random Variables
• Production and hedging in futures markets with multiple delivery specifications
• Some Concepts of Dependence
• Testing for positive expectation dependence
• The demand for a risky asset in the presence of a background risk
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• When can expected utility handle first-order risk aversion?

Cited in

(9)

• Testing for more positive expectation dependence with application to model comparison
• Two-sided Confidence Bands with the Inferential Sensitivity of One-Sided Bands
• Validation of positive expectation dependence
• Probability inequalities for decomposition integrals
• Distribution-free confidence intervals for measurement of effective bandwidth
• Maximum modulus confidence bands
• The reduction of the average width of confidence bands for an unknown continuous distribution function
• Uniform confidence bands: characterization and optimality
• Recursive confidence band construction for an unknown distribution function

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