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Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/34398
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dc.contributor.authorBolancé Losilla, Catalina-
dc.contributor.authorGuillén, Montserrat-
dc.contributor.authorNielsen, Jens Perch-
dc.date.accessioned2013-04-02T10:48:19Z-
dc.date.available2013-04-02T10:48:19Z-
dc.date.issued2009-
dc.identifier.issn1136-8365-
dc.identifier.urihttp://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.extent18 p.-
dc.format.mimetypeapplication/pdf-
dc.language.isoeng-
dc.publisherUniversitat de Barcelona. Facultat d'Economia i Empresa-
dc.relation.isformatofReproducció del document publicat a: http://www.ere.ub.es/dtreball/E09219.rdf/view-
dc.relation.ispartofDocuments de treball (Facultat d'Economia i Empresa. Espai de Recerca en Economia), 2009, E09/219-
dc.relation.ispartofseries[WP E-Eco09/219]-
dc.rightscc-by-nc-nd, (c) Bolancé Losilla et al., 2009-
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/-
dc.sourceUB Economics – Working Papers [ERE]-
dc.subject.classificationEconometria-
dc.subject.classificationGeometria algebraica-
dc.subject.classificationTeoria d'operadors-
dc.subject.classificationEquacions diferencials-
dc.subject.classificationAlgorismes-
dc.subject.classificationTeoria de mòduls-
dc.subject.otherEconometrics-
dc.subject.otherAlgebraic geometry-
dc.subject.otherOperator theory-
dc.subject.otherDifferencial equations-
dc.subject.otherAlgorithms-
dc.subject.otherModuli theory-
dc.titleTransformation kernel density estimation of actuarial loss functions-
dc.typeinfo:eu-repo/semantics/workingPaper-
dc.date.updated2013-04-02T10:48:19Z-
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
Appears in Collections:UB Economics – Working Papers [ERE]
Documents de treball / Informes (Econometria, Estadística i Economia Aplicada)

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