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In this paper the focus is on characterizing and computing the probabilities of ruin in three mathematical models arising in economics. First, we examine a credit system in which small loans without collaterals are extended to a large number of costumers, and study the probability of collapse due to defaults. Next, we consider a Walrasian model of an exchange economy in which the endowments are random,...
We consider the finite sample performance of a new nonparametric method for bioassay and benchmark analysis in risk assessment, which averages isotonic MLEs based on disjoint subgroups of dosages, and whose asymptotic behavior is essentially optimal (Bhattacharya and Lin, Stat Probab Lett 80:1947–1953, 2010). It is compared with three other methods, including the leading kernel-based method, called...
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