Predictive stop-loss premiums and Student's t-distribution
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Kon, Stanley J, 1984. "Models of Stock Returns-A Comparison," Journal of Finance, American Finance Association, vol. 39(1), pages 147-165, March.
- Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-280, April.
- Mack, Thomas, 1993. "Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 213-225, November.
- Hesselager, Ole, 1993. "A Class of Conjugate Priors with Applications to Excess-of-Loss Reinsurance," ASTIN Bulletin, Cambridge University Press, vol. 23(1), pages 77-93, May.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
- Benktander, Gunnar, 1977. "On the Rating of a Special Stop Loss Cover," ASTIN Bulletin, Cambridge University Press, vol. 9(1-2), pages 33-41, January.
- Heilmann, Wolf-Rudiger, 1989. "Decision theoretic foundations of credibility theory," Insurance: Mathematics and Economics, Elsevier, vol. 8(1), pages 77-95, March.
- Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Jensen, Mark J. & Maheu, John M., 2010.
"Bayesian semiparametric stochastic volatility modeling,"
Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
- Mark J Jensen & John M Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Papers tecipa-314, University of Toronto, Department of Economics.
- Mark J. Jensen & John M. Maheu, 2009. "Bayesian Semiparametric Stochastic Volatility Modeling," Working Paper series 23_09, Rimini Centre for Economic Analysis.
- Mark J. Jensen & John M. Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," FRB Atlanta Working Paper 2008-15, Federal Reserve Bank of Atlanta.
- Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
- Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas & Samartzis, Panagiotis, 2015.
"Factor Models as "Explanatory UniÖers" versus "Explanatory Ideals" of Empirical Regularities of Stock Returns,"
MPRA Paper
122254, University Library of Munich, Germany.
- Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
- Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2016.
"Statistical Modeling Of Stock Returns: Explanatory Or Descriptive? A Historical Survey With Some Methodological Reflections,"
Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 149-164, February.
- Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2014. "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1410, Athens University of Economics and Business.
- Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas, 2016. "Statistical modeling of stock returns: explanatory ordescriptive? A historical survey with some methodologicalreflections," LSE Research Online Documents on Economics 65549, London School of Economics and Political Science, LSE Library.
- Liu, Yi & Liu, Huifang & Zhang, Lei, 2019. "Modeling and forecasting return jumps using realized variation measures," Economic Modelling, Elsevier, vol. 76(C), pages 63-80.
- Eom, Cheoljun & Kaizoji, Taisei & Scalas, Enrico, 2019.
"Fat tails in financial return distributions revisited: Evidence from the Korean stock market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
- Cheoljun Eom & Taisei Kaizoji & Enrico Scalas, 2019. "Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market," Papers 1904.02567, arXiv.org.
- López Martín, María del Mar & García, Catalina García & García Pérez, José, 2012. "Treatment of kurtosis in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(5), pages 2032-2045.
- Ha, Daesung & Chang, S. J., 1998. "The distribution of transaction intervals in common stock trading," International Review of Economics & Finance, Elsevier, vol. 7(1), pages 103-115.
- Chang, Carolyn W. & S.K. Chang, Jack & Lim, Kian-Guan, 1998. "Information-time option pricing: theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 48(2), pages 211-242, May.
- Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, "undated". "Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections," DEOS Working Papers 1331, Athens University of Economics and Business.
- Wai Mun Fong, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, John Wiley & Sons, vol. 6(2), pages 167-186.
- Richard Harris & C. Coskun Kucukozmen, 2001. "The empirical distribution of stock returns: evidence from an emerging European market," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 367-371.
- Felipe Aparicio & Javier Estrada, 2001. "Empirical distributions of stock returns: European securities markets, 1990-95," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 1-21.
- Mahmood Ul Hassan & Pär Stockhammar, 2016. "Fitting probability distributions to economic growth: a maximum likelihood approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(9), pages 1583-1603, July.
- Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
- Kevin Fergusson & Eckhard Platen, 2006.
"On the Distributional Characterization of Daily Log-Returns of a World Stock Index,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 19-38.
- Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney.
- Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008.
"Rolling-sampled parameters of ARCH and Levy-stable models,"
Applied Economics, Taylor & Francis Journals, vol. 40(23), pages 3051-3067.
- Degiannakis, Stavros & Livada, Alexandra & Panas, Epaminondas, 2008. "Rolling-sampled parameters of ARCH and Levy-stable models," MPRA Paper 80464, University Library of Munich, Germany.
- GUORUI BIAN & MICHAEL McALEER & WING-KEUNG WONG, 2013.
"Robust Estimation And Forecasting Of The Capital Asset Pricing Model,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-18.
- Bian, G. & McAleer, M.J. & Wong, W.-K., 2010. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Econometric Institute Research Papers 21722, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2010. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Working Papers in Economics 10/66, University of Canterbury, Department of Economics and Finance.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2010. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," KIER Working Papers 735, Kyoto University, Institute of Economic Research.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2013. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Tinbergen Institute Discussion Papers 13-036/III, Tinbergen Institute.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2012. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Documentos de Trabajo del ICAE 2012-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2012.
- Bian, G. & McAleer, M.J. & Wong, W.-K., 2010. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Econometric Institute Research Papers EI 2010-62, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23, July-Dece.
- Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas, 2012. "Statistical Modeling of Stock Returns: A Historical Survey with Some Methodological Reflections," MPRA Paper 122422, University Library of Munich, Germany.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:16:y:1995:i:2:p:151-159. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.