相关论文: Higher moments under dependence uncertainty with a…

Here, we analyse the behaviour of the higher order standardised moments of financial time series when we truncate a large data set into smaller and smaller subsets, referred to below as time windows. We look at the effect of the economic…

Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…

Linear mixed models with large imbalanced crossed random effects structures pose severe computational problems for maximum likelihood estimation and for Bayesian analysis. The costs can grow as fast as $N^{3/2}$ when there are N…

We expand upon the simulation study of Setodji et al. (2017) which compared three promising balancing methods when assessing the average treatment effect on the treated for binary treatments: generalized boosted models (GBM),…

In this paper, different approaches to portfolio optimization having higher moments such as skewness and kurtosis are classified so that the reader can observe different paradigms and approaches in this field of research which is essential…

Stochastic dominance has been studied extensively, particularly in the finance and economics literature. In this paper, we obtain two results. First, necessary conditions for higher-order inverse stochastic dominance are developed. These…

We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…

The impact of the third (skewness) and fourth (kurtosis) reduced centered moments on the statistical modeling of E1 lines in complex atomic spectra is investigated through the use of Gram-Charlier, Normal Inverse Gaussian and Generalized…

Healthcare cost prediction is a challenging task due to the high-dimensionality and high correlation among covariates. Additionally, the skewed, heavy-tailed, and often multi-modal nature of cost data can complicate matters further due to…

We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put more emphasis on the tail the…

We study statistics dependence of the probability distributions and the means of measured moments of conserved quantities, respectively. The required statistics of all interested moments and their products are estimated based on a simple…

General formulas are presented for higher order cumulants of the conserved charge statistical fluctuations inside the mixed phase. As a particular example the van der Waals model in the grand canonical ensemble is used. The higher order…

It is well-known that combining life annuities and death benefits introduce opposite effects in payments with respect to the mortality risk on the lifetime of the insured. In a general multi-state framework with multiple product types, such…

We study the impact of dependence uncertainty on the expectation of the product of $d$ random variables, $\mathbb{E}(X_1X_2\cdots X_d)$ when $X_i \sim F_i$ for all~$i$. Under some conditions on the $F_i$, explicit sharp bounds are obtained…

For probabilistic programs, it is usually not possible to automatically derive exact information about their properties, such as the distribution of states at a given program point. Instead, one can attempt to derive approximations, such as…

The first moment and second central moments of the portfolio return, a.k.a. mean and variance, have been widely employed to assess the expected profit and risk of the portfolio. Investors pursue higher mean and lower variance when designing…

We propose to verify relations between quantities which characterize scaling properties of high energy density fluctuations in terms of factorial moments and newly introduced associated frequency moments. Typical examples are presented in…

Large crossed data sets, described by generalized linear mixed models, have become increasingly common and provide challenges for statistical analysis. At very large sizes it becomes desirable to have the computational costs of estimation,…

Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…

Central moments and cumulants are often employed to characterize the distribution of data. The skewness and kurtosis are particularly useful for the detection of outliers, the assessment of departures from normally distributed data,…