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conditional expectation
3.351 documents for conditional expectation
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In this paper we suggest the use of mixtures of Erlang distributions with common scale parameter to model insurance losses. A modified expectation-maximization (EM) algorithm for parameter estimation tailored to this class of distributions is presented, and its computation efficiency is discussed. Goodness-of-fit tests are performed for data generated from some common parametric distributions and for catastrophic loss data in the United States. Formulas for value-at-risk and conditional tail expectation are provided for individual and aggregate losses.
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... purity and safety, and a reasonable expectation of efficacy. Preparation of products under a condi...
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The paper estimates conditional pricing models for 11 international government bonds and shows that, while local instruments capture the change in the bonds' risks, global instruments model the variation in the factor risk premia. Altogether the changes in the factor risk premium capture 78.25% of the bonds' predictability, while the dynamics in the betas account for less than 1%. One cannot conclude however that the conditional models are well-specified as parameter instability and relatively large mean squared errors were uncovered. These results extend for the first time some of the evidence from the equity market of Ferson and Harvey (1993), Harvey (1995) and Ghysels (1998) to the bond market.
...is a conditional expectation on global (G) and/or local (L) information set and...
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...expectation" or "implicit promise" of conditional liberty. Se...
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... do not change as rapidly as people's expectations, such an exchange rate system can ensure price sta...Taking conditional expectation of equation (a2) based on t period yie...
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In this article, the authors show how statistical analysis of the response of both share prices and investor expectations to new information can be used to improve the estimation of damages in shareholder litigation. Perhaps more controversially, they argue that the standard event study is much more limited than is commonly accepted in estimating Rule 10b-5 damages. A second complication is that many shareholder class action complaints allege a pattern of recurring misrepresentations extending over a number of financial reporting periods. In part II, they show how experts have attempted to deal with these problems in the context of relying on an event study of corrective disclosures. Often, there comes a point in the analysis where arbitrary allocations are made. This is followed by par...
...The prediction is a "conditional expectation." It is the expected daily return of t...
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It has been well said that Paul A. Samuelson is the last great general economist -- never again will any one person make such foundational contributions to so many distinct areas of economics. Samuelson's attacks on error are not limited to engagements in the economics arena. He has upon occasion used the life works of other economists to discredit the widely held myth in the history of science that scientific productivity declines after a certain chronological age. Along with his foundational research and important directives on avoiding the paths of error, there are the characteristic Samuelsonian observations in the history of economic science. The extraordinary growth in size and scope of financial markets and financial institutions including the creation of the enormous national mo...
... publication on research in rational expectations, efficient markets, geometric Brownian motion, and... any random variable, Y^sub t^, its conditional expectation as of t - 1,E^sub t-1^[Y^sub t^] and a...
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... practice with the standards and expectations of another, and in the coming discussion, when usi... whether democracy should be made a conditional entry requirement to any revised body), (29) when ...
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..., we assume that it depends on the conditional covariance of expected inflation with selected eco...])] (1) where Et-1 is the conditional expectations operator. Boudoukh, Richardson, and Whitelaw (1994...
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A discussion of the paper "An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets," by Zinoviy Landsman and Michael Sherris, is presented. There are many actuarial and ether reasons to adopt various premium calculation principles. As a result, numerous risk measures have been developed in the literature. The paper by Landsman and Sherris provides a powerful model for actuarial pricing in incomplete markets whose distribution tails might have various degrees of heaviness, ranging from the multivariate Gaussian to multivariate Student-t tails. Furman and Zitikis (2007) suggest using the concept of weighted distributions in an actuarial context. The concept helps to unify and derive desired properties of a number of premium calculation principl...
... then the weighted premium H[X] is the conditional tail expectation (CTE). For statistical inference ...
