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A nonlinear structural errors-in-variables model is investigated,
where the response variable has a density belonging to an
exponential family and the error-prone covariate follows a Gaussian
distribution. Assuming the error variance to be known, we...
We investigate a stationary random cofficient autoregressive
process. Using renewal type arguments tailor-made for such
processes we show that the stationary distribution has a power-law
tail. When the model is normal, we show that the model is in
di...
With the introduction of compulsory long term care (LTC) insurance
in Germany in 1995, a large claims portfolio with a significant
proportion of censored observations became available. In first part
of this paper we present an analysis of part of thi...
In this paper we analyse data originating from the German Deep
Drill Program. We model the amount of 'cataclastic rocks' in a
series of measurements taken from deep drill samples ranging from
1000 up to 5000 meters depth. The measurements thereby des...
01.01.2002
In this paper we review certain aspects around the Value-at-Risk,
which is nowadays the industry benchmark risk measure. As a small
quantile (usually 1%) Value-at-Risk is closely related to extreme
value theory. We explain an estimation method based...
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