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Multiplicative parameters and estimators: applications in economics and finance

Author

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  • Helena Jasiulewicz

    (Wrocław University of Environmental and Life Sciences)

  • Wojciech Kordecki

    (The Witelon State University of Applied Sciences in Legnica)

Abstract

In this paper, we pay our attention to multiplicative parameters of random variables and their estimators. We study multiplicative properties of the multiplicative expectation and multiplicative variation as well as their estimators. For distributions having applications in finance and insurance we provide their multiplicative parameters and their properties. We consider, among others, heavy-tailed distributions such as lognormal and Pareto distributions, applied to the modelling of large losses. We discuss multiplicative models, in which the geometric mean and the geometric standard deviation are more natural than their arithmetic counterparts. We provide two examples from the Warsaw Stock Exchange in 1995–2009 and from a bid of 52-week treasury bills in 1992–2009 in Poland as an illustrative example.

Suggested Citation

  • Helena Jasiulewicz & Wojciech Kordecki, 2016. "Multiplicative parameters and estimators: applications in economics and finance," Annals of Operations Research, Springer, vol. 238(1), pages 299-313, March.
    • Handle: RePEc:spr:annopr:v:238:y:2016:i:1:d:10.1007_s10479-015-2035-x
    DOI: 10.1007/s10479-015-2035-x
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    References listed on IDEAS

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    Cited by:

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    3. Dehez, Pierre, 2023. "Dividing the expected payoff resulting from joint actions," LIDAM Discussion Papers CORE 2023017, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

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