Approximate Confidence Limits for the Relative Risk

Confidence Levels for CVaR Risk Measures and Minimax Limits*

Conditional value at risk (CVaR) has been widely used as a risk measure in finance. When the confidence level of CVaR is set close to 1, the CVaR risk measure approximates the extreme (worst scenario) risk measure. In this paper, we present a quantitative analysis of the relationship between the two risk measures and its impact on optimal decision making when we wish to minimize the respective ...

Confidence intervals for seasonal relative risk with null boundary values.

In evaluating the relative risk of seasonality, the null value is a boundary value. In this case, tests for the null hypothesis exist, but standard methods for confidence intervals are not appropriate. We provide a method for constructing confidence intervals under the circular normal model. The proposed confidence intervals are valid for all values of the underlying seasonal risk if the model ...

Confidence intervals for relative risks.

“the effect of risk aversion on the demand for life insurance: the case of iranian life insurance market”

abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...

Stronger Classical Confidence Limits

A new way of defining limits in classical statistics is presented. This is a natural extension of the original Neyman’s method, and has the desirable property that only information relevant to the problem is used in making statistical inferences. The result is a strong restriction on the allowed confidence bands, excluding in full generality pathologies as empty confidence regions or unstable s...