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In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures...

In both corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms and across time, and OLS standard errors can ...

Materias / palabras clave: Grading (engineering); Quality of evidence; Evidence-based medicine; Quality (philosophy); Evidence-based practice; Systematic review; Medicine; MEDLINE; Actuarial science; Meta-analysis; Alternative medicine; Business

Presented at the American Finance Association Meeting, New York, December 1973.

T. S. Breusch, A. R. Pagan; The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics, The Review of Economic Studies, Volume 47,

If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. Using this principle, a theoretical...

A previously described coefficient of agreement for nominal scales, kappa, treats all disagreements equally. A generalization to weighted kappa (Kw) is presented. The Kw provides for the incorpation of ratio-scaled degre...

Materias / palabras clave: mathematics, statistics, data analysis, operational research, actuarial statistics, simulation; Social Sciences: Statistics; Science: Mathematics; Technology: Electrical engineering. Electronics. Nuclear engineering: Ele...

Materias / palabras clave: mathematics, applied mathematics, statistics, actuarial science, physics, computer science; Science: Mathematics: Probabilities. Mathematical statistics

Materias / palabras clave: accountancy, controllership, actuarial science, finance; Social Sciences: Commerce: Business: Accounting. Bookkeeping

Materias / palabras clave: accountancy, controllership, actuarial science, finance; Social Sciences: Commerce: Business; Social Sciences: Finance

Materias / palabras clave: financial mathematics, mathematical physics, applied probability and statistics, actuarial, machine learning and artificial intelligence, stochastic process; Science: Mathematics

Materias / palabras clave: actuarial computations methodology, insurance, demography, insurance management; Social Sciences: Finance: Insurance

Materias / palabras clave: big data, bayesian statistics, financial statistics, actuarial studies, survival analysis, reliability engineering; Science: Mathematics: Probabilities. Mathematical statistics