4 papers
Searching for, and quantifying, non-convexity of functions
Youri Davydov, Elina Moldavskaya, Ričardas Zitikis
Convexity plays a prominent role in a number of problems, but practical considerations frequently give rise to non-convex functions. We suggest a method for determining convex regi…
Statistical foundations for assessing the difference between the classical and weighted-Gini betas
Nadezhda Gribkova, Ričardas Zitikis
The `beta' is one of the key quantities in the capital asset pricing model (CAPM). In statistical language, the beta can be viewed as the slope of the regression line fitted to fin…
Coupled risk measures and their empirical estimation when losses follow heavy-tailed distributions
Abdelhakim Necir, Ričardas Zitikis
Considerable literature has been devoted to developing statistical inferential results for risk measures, especially for those that are of the form of L-functionals. However, pract…
Aggregate claims when their sizes and arrival times are dependent and governed by a general point process
Kristina P. Sendova, Ričardas Zitikis
We suggest a general method for analyzing aggregate insurance claims that arrive according to a very general point process, known in the literature as the order statistic point pro…