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http://hdl.handle.net/2445/34398
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DC Field | Value | Language |
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dc.contributor.author | Bolancé Losilla, Catalina | - |
dc.contributor.author | Guillén, Montserrat | - |
dc.contributor.author | Nielsen, Jens Perch | - |
dc.date.accessioned | 2013-04-02T10:48:19Z | - |
dc.date.available | 2013-04-02T10:48:19Z | - |
dc.date.issued | 2009 | - |
dc.identifier.issn | 1136-8365 | - |
dc.identifier.uri | http://hdl.handle.net/2445/34398 | - |
dc.description.abstract | [cat] Es presenta un estimador nucli transformat que és adequat per a distribucions de cua pesada. Utilitzant una transformació basada en la distribució de probabilitat Beta l’elecció del paràmetre de finestra és molt directa. Es presenta una aplicació a dades d’assegurances i es mostra com calcular el Valor en Risc. | - |
dc.description.abstract | [eng] A transformation kernel density estimator that is suitable for heavy-tailed distributions is discussed. Using a truncated Beta transformation, the choice of the bandwidth parameter becomes straightforward. An application to insurance data and the calculation of the value-at-risk are presented. | - |
dc.format.extent | 18 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Universitat de Barcelona. Facultat d'Economia i Empresa | - |
dc.relation.isformatof | Reproducció del document publicat a: http://www.ere.ub.es/dtreball/E09219.rdf/view | - |
dc.relation.ispartof | Documents de treball (Facultat d'Economia i Empresa. Espai de Recerca en Economia), 2009, E09/219 | - |
dc.relation.ispartofseries | [WP E-Eco09/219] | - |
dc.rights | cc-by-nc-nd, (c) Bolancé Losilla et al., 2009 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/ | - |
dc.source | UB Economics – Working Papers [ERE] | - |
dc.subject.classification | Econometria | - |
dc.subject.classification | Geometria algebraica | - |
dc.subject.classification | Teoria d'operadors | - |
dc.subject.classification | Equacions diferencials | - |
dc.subject.classification | Algorismes | - |
dc.subject.classification | Teoria de mòduls | - |
dc.subject.other | Econometrics | - |
dc.subject.other | Algebraic geometry | - |
dc.subject.other | Operator theory | - |
dc.subject.other | Differencial equations | - |
dc.subject.other | Algorithms | - |
dc.subject.other | Moduli theory | - |
dc.title | Transformation kernel density estimation of actuarial loss functions | - |
dc.type | info:eu-repo/semantics/workingPaper | - |
dc.date.updated | 2013-04-02T10:48:19Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | UB Economics – Working Papers [ERE] Documents de treball / Informes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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E09-219_Bolance.pdf | 150.5 kB | Adobe PDF | View/Open |
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