NEYMAN-PEARSON THEORY AND ITS APPLICATION TO SHORTFALL RISK IN FINANCE

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DOI10.7468/jksmeb.2012.19.4.363zbMath1418.62063OpenAlexW2075025025MaRDI QIDQ4916592

Ju Hong Kim

Publication date: 25 April 2013

Published in: The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7468/jksmeb.2012.19.4.363

zbMATH Keywords

hypothesis testing optimal hedging shortfall risk Neyman-Pearson theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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