Results 21 to 30 of about 100 (95)
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
, 2010 Credit derivatives, Nonlinear filtering, Marked point processes, 91B28, 93E11, 60G55, G13, C11,
RUNGGALDIER, WOLFGANG JOHANN +2 more
core +1 more source
Survival analysis in Johnson–Mehl Tessellation
, 2008 Crystallization process, Johnson–Mehl tessellations, Nelson–Aalen estimator, Kaplan–Meier estimator, Primary 62N02, Secondary 62P30, Secondary 60G55,
Giacomo Aletti +3 more
core +1 more source
Convergence to scale-invariant Poisson processes and applications in Dickman approximation [PDF]
, 2020 We study weak convergence of a sequence of point processes to a scale-invariant simple point process. For a deterministic sequence (zn)n∈N of positive real numbers increasing to infinity as n→∞ and a sequence (Xk)k∈N of independent non-negative integer ...
Bhattacharjee, Chinmoy, Molchanov, Ilya
core +2 more sources
, 1995 Primary 60G40, 60G70; secondary 60F05, 60F15, 60G55, 90B50.A Fulbright Grant and National Science Foundation Grant DMS 92 ...
Kertz, Robert P., Boshuizen, Frans A.
core +1 more source
Information reduction via level crossings in a credit risk model
Reduced form models, Structural models, Credit risk, Information reduction, Diffusion, Level-crossings, Brownian motion with drift, 60G55, 60G60, G13, D82,
A. Sezer, Philip Protter, Robert Jarrow
core +1 more source
Spatial Point Process Models of Defensive Strategies: Detecting Changes
Poisson point process, kernel smoothing, intensity function, Monte Carlo testing, conditional power, geopolitical tendencies, Primary: 62M30, Secondary: 60G55,
John Kornak, Mark Irwin, Noel Cressie
core +1 more source
Central Limit Theorems For Local Emprical Processes Near Boundaries of Sets [PDF]
AMS 2000 subject classifications. 60F05, 60F17, 60G55, 62G30.
Einmahl, J.H.J., Khmaladze, E.V.
core
Goodness-of-fit tests for compound distributions with applications in insurance
, 2022 Goodness-of-fit procedures are provided to test the validity of compound models for the total claims, involving specific laws for the constituent components, namely the claim frequency distribution and the distribution of individual claim sizes.
Goffard, Pierre-Olivier +2 more
core
MDP algorithms for portfolio optimization problems in pure jump markets
Portfolio optimization, Piecewise deterministic Markov processes, Markov decision process, Operator fixed points, Approximation algorithms, 91B28, 93E20, 90C39, 60G55, G11, C61,
Nicole Bäuerle, Ulrich Rieder
core +1 more source
The Sample ACF of a Simple Bilinear Process [PDF]
, 1998 We consider a simple bilinear process X t = aX t\Gamma1 +bX t\Gamma1 Z t\Gamma1 +Z t , where (Z t ) is a sequence of iid N(0; 1) random variables. It follows from a result by Kesten (1973) that X t has a distribution with regularly varying tails of index
Mikosch, Thomas +8 more
core +1 more source