Bas J M Werker
Dados Biográficos
| ID | 5735448 |
|---|---|
| NOME | Bas J M Werker |
| PRENOMES | Bas J M |
| SOBRENOME | Werker |
| ASSINATURA | WERKER B J M |
| AFILIAÇÕES | Tilburg University |
| ORCID | 0000-0001-9007-0755 |
| VERIFICADO | Sim |
| TOTAL DE OBRAS | 4 |
| TOTAL DE CITAÇÕES | 0 |
| TOTAL COMO AUTOR | 4 |
| TOTAL COMO EDITOR | 0 |
| PRIMEIRO ANO DE PUBLICAÇÃO | 1998 |
| ANO MAIS RECENTE DE PUBLICAÇÃO | 2017 |
| ÍNDICE H | 0 |
Health Cost Risk
We find that health cost risk lowers optimal annuity demand at retirement. If medical expenses can be sizeable early in retirement, full annuitisation at retirement is no longer optimal because agents do not have enough time to build a liquid wealth buffer. Furthermore, large deviations from optimal annuitisation levels lead to small utility differences. Our results suggest that health cost risk can explain a large proportion of empirically obser…
An Alternative Asymptotic Analysis of Residual-Based Statistics
This paper presents an alternative method to derive the limiting distribution of residual-based statistics. Our method does not impose an explicit assumption of (asymptotic) smoothness of the statistic of interest with respect to the model's parameters and thus is especially useful in cases where such smoothness is difficult to establish. Instead, we use a locally uniform convergence in distribution condition, which is automatically satisfied by …
Semiparametric Duration Models
In this article we consider semiparametric duration models and efficient estimation of the parameters in a non-iid environment. In contrast to classical time series models where innovations are assumed to be iid we show that in, for example, the often-used autoregressive conditional duration (ACD) model, the assumption of independent innovations is too restrictive to describe financial durations accurately. Therefore, we consider semiparametric e…
Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity
In this article we develop a test for the hypothesis that a series (observed in discrete time) is generated by a diffusion process. This test is based on an overidentifying relation between variance and kurtosis parameters that holds for generalized autoregressive conditional heteroscedastic diffusions. The proposed test is not specific to a particular data frequency and clearly indicates the presence of jumps in dollar exchange rates. To assess …
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Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity
In this article we develop a test for the hypothesis that a series (observed in discrete time) is generated by a diffusion process. This test is based on an overidentifying relation between variance and kurtosis parameters that holds for generalized autoregressive conditional heteroscedastic diffusions. The proposed test is not specific to a particular data frequency and clearly indicates the presence of jumps in dollar exchange rates. To assess …
Semiparametric Duration Models
In this article we consider semiparametric duration models and efficient estimation of the parameters in a non-iid environment. In contrast to classical time series models where innovations are assumed to be iid we show that in, for example, the often-used autoregressive conditional duration (ACD) model, the assumption of independent innovations is too restrictive to describe financial durations accurately. Therefore, we consider semiparametric e…
An Alternative Asymptotic Analysis of Residual-Based Statistics
This paper presents an alternative method to derive the limiting distribution of residual-based statistics. Our method does not impose an explicit assumption of (asymptotic) smoothness of the statistic of interest with respect to the model's parameters and thus is especially useful in cases where such smoothness is difficult to establish. Instead, we use a locally uniform convergence in distribution condition, which is automatically satisfied by …
Health Cost Risk
We find that health cost risk lowers optimal annuity demand at retirement. If medical expenses can be sizeable early in retirement, full annuitisation at retirement is no longer optimal because agents do not have enough time to build a liquid wealth buffer. Furthermore, large deviations from optimal annuitisation levels lead to small utility differences. Our results suggest that health cost risk can explain a large proportion of empirically obser…
Econometrics (3 obras) · Financial Risk and Volatility Modeling (3 obras) · Mathematics (3 obras) · Statistics (3 obras) · Autoregressive model (2 obras) · Economics (2 obras) · Estimator (2 obras) · Insurance, Mortality, Demography, Risk Management (2 obras) · Stochastic processes and financial applications (2 obras) · Actuarial science (1 obras)