Search for dissertations about: "Bootstrap"

Showing result 1 - 5 of 113 swedish dissertations containing the word Bootstrap.

  1. 1. Stochastic claims reserving in non-life insurance : Bootstrap and smoothing models

    Author : Susanna Björkwall; Ola Hössjer; Esbjörn Ohlsson; Peter England; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Bootstrap; Chain-ladder; Generalized linear model; Separation method; Smoothing; Stochastic claims reserving; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

    Abstract : In practice there is a long tradition of actuaries calculating reserve estimates according to deterministic methods without explicit reference to a stochastic model. For instance, the chain-ladder was originally a deterministic reserving method. READ MORE

  2. 2. Evaluating Asset-Pricing Models in International Financial Markets

    Author : Fadi Zaher; Högskolan i Skövde; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; financial science; economic policy; economic theory; economic systems; econometrics; Hansen-Jagannathan boundsequity premium puzzle; Forecasting methods; asset-pricing models; Economics; bootstrap; short-sales constraint; ekonomisk politik; finansiering; ekonomiska system; nationalekonomi; ekonometri; Hansen-Jagannathan bounds; ekonomisk teori; Business and economics; Ekonomi; Humanities and Social sciences; Humaniora-samhällsvetenskap; ekonomisk politik; Financial science; Finansiering; ekonomiska system; economic policy; Nationalekonomi; ekonometri; economic theory; economic systems; econometrics; Hansen-Jagannathan bounds; equity premium puzzle; Forecasting methods; asset-pricing models; ekonomisk teori; Economics; bootstrap.; short-sales constraint;

    Abstract : This thesis consists of three empirical studies on asset-prices in international financial markets. The purpose is three-fold. First, to evaluate whether good predictions of economic variables may be obtained by pooling information from a broad group of financial variables. READ MORE

  3. 3. Event Prediction and Bootstrap in Time Series

    Author : Anders Svensson; Matematisk statistik; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Statistics; bootstrap control.; statistical bootstrap; catastrophe; level-crossings; ARMAX process; Optimal alarm system; time series; optimal event predictor; operations research; programming; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik;

    Abstract : Alarm systems are used in many situations, and should be as efficient as possible. In this thesis optimal predictive alarm systems, event predictors, are presented for general linear time series models with external signals. This family of process models include e.g. READ MORE

  4. 4. On Bootstrap Evaluation of Tests for Unit Root and Cointegration

    Author : Jianxin Wei; Rolf Larsson; Thomas Holgersson; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; non-stationary time series; unit root test; bootstrap; asymptotic refinement; cointegration; panel unit root test; cross-sectional dependence;

    Abstract : This thesis is comprised of five papers that all relate to bootstrap methodology in analysis of non-stationary time series.The first paper starts with the fact that the Dickey-Fuller unit root test using asymptotic critical value has bad small sample performance. READ MORE

  5. 5. Monte Carlo Results for Bootstrap Tests in Systems with Integrated-Cointegrated Variables

    Author : Panagiotis Mantalos; Statistiska institutionen; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; programming; operations research; Statistics; Granger-causality; Monte Carlo; Cointegration; Bootstrap; Statistik; operationsanalys; programmering; aktuariematematik;

    Abstract : When we study the properties of a test procedure, two aspects are of prime importance. Firstly, we wish to know if the actual size of the test (i.e., the probability of rejecting the null when true) is close to the nominal size (used for calculating the critical values). READ MORE