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CreditRisk Model with Dependent Risk Factors
CreditRisk + model conditional independence dependent risk factors Panjer’s recursion multivariate copulas
2016/1/26
The CreditRisk + model is widely used in industry for computing the loss of a credit port-folio. The standard CreditRisk + model assumes independence among a set of common risk factors, a simplified a...
Jackknife Empirical Likelihood Method for Some Risk Measures and Related Quantities
Confidence interval jackknife empirical likelihood risk measure
2016/1/20
Quantifying risks is of importance in insurance. In this paper, we employ the jackknife empirical likelihood method to construct confidence intervals for some risk measures and related quantities stud...
Minimax Risk: Pinsker Bound
COMMUNICATION THEORY, STATISTICAL DENSITY ESTIMATION FISHER INFORMATION KERNEL ESTIMATORS LINEAR ESTIMATORS, BAYES LOCAL ASYMPTOTIC NORMALITY METHOD OF SIEVES MINIMAX ESTIMATION NOISE (SIGNAL PROCESSING IN THE PRESENCE OF ) PREDICTION AND FILTERING LINEAR SIEVES, METHOD OF SPECTRAL ANALYSIS SHRINKAGE ESTIMATORS SMOOTHNESS PRIORS SOBOLEV SPACES SPLINE FUNCTIONS STATIONARY PROCESSES STEIN EFFECT
2015/8/25
We give an account of the Pinsker bound describing the exact asymptotics of the minimax risk in a class of nonparametric smoothing problems. The parameter spaces are Sobolev classes or ellipsoids, and...
Consider estimating the mean vector from data Nn(; 2I ) with lq norm loss,
q 1, when is known to lie in an n-dimensional lp ball, p 2 (0; 1). For large
n, the ratio of minimax linear risk to...
Wavelets have motivated development of a host of new ideas in nonparametric
regression smoothing. Here we apply the tool of exact risk analysis, to understand the
small sample behavior of wavelet es...
Ordinal Discriminant Analysis: A new approach to the construction of optimal linear scores for ordinal risk categories
Ordinal Discriminant Analysis optimal linear scores ordinal risk categories
2011/1/4
Most classification methods provide either a prediction of group membership or an assessment of class membership probability. In the case of two-group classification the predicted probability can be d...