Results 11 to 20 of about 454 (77)
On the economic risk capital of portfolio insurance
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 41, Page 2209-2218, 2004., 2004 A formula for the conditional value‐at‐risk of classical portfolio insurance is derived and shown to be constant for sufficiently small loss probabilities. As illustrations, we discuss portfolio insurance for an equity market index using empirical data, and analyze the more general multivariate situation of a portfolio of risky assets.
Werner Hürlimann
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Multivariate Fréchet copulas and conditional value‐at‐risk
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 7, Page 345-364, 2004., 2004 Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas.
Werner Hürlimann
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On extended type I generalized logistic distribution
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 57, Page 3069-3074, 2004., 2004 We consider a form of generalized logistic distribution which is called extended type I generalized logistic distribution. Some theorems that relate the distribution to some other statistical distributions are established. A possible application of one of the theorems is included.
A. K. Olapade
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Extended Fibonacci numbers and polynomials with probability applications
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 50, Page 2681-2693, 2004., 2004 The extended Fibonacci sequence of numbers and polynomials is introduced and studied. The generating function, recurrence relations, an expansion in terms of multinomial coefficients, and several properties of the extended Fibonacci numbers and polynomials are obtained.
Demetrios L. Antzoulakos
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Generalized distributions of order k associated with success runs in Bernoulli trials
International Journal of Mathematics and Mathematical Sciences, Volume 2003, Issue 13, Page 801-815, 2003., 2003 In a sequence of independent Bernoulli trials, by counting multidimensional lattice paths in order to compute the probability of a first‐passage event, we derive and study a generalized negative binomial distribution of order k, type I, which extends to distributions of order k, the generalized negative binomial distribution of Jain and Consul (1971 ...
Gregory A. Tripsiannis +2 more
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Circular Polya distributions of order k
International Journal of Mathematics and Mathematical Sciences, Volume 2003, Issue 25, Page 1563-1575, 2003., 2003 Two circular Polya distributions of order k are derived by means of generalized urn models and by compounding, respectively, the type I and type II circular binomial distributions of order k of Makri and Philippou (1994) with the beta distribution.
Gregory A. Tripsiannis +1 more
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A generalized beta function and associated probability density
International Journal of Mathematics and Mathematical Sciences, Volume 30, Issue 8, Page 467-478, 2002., 2002 We introduce and establish some properties of a generalized form of the beta function. Corresponding generalized incomplete beta functions are also defined. Moreover, we define a new probability density function (pdf) involving this new generalized beta function.
Y. Ben Nakhi, S. L. Kalla
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On hypergeometric generalized negative binomial distribution
International Journal of Mathematics and Mathematical Sciences, Volume 29, Issue 12, Page 727-736, 2002., 2002 It is shown that the hypergeometric generalized negative binomial distribution has moments of all positive orders, is overdispersed, skewed to the right, and leptokurtic. Also, a three‐term recurrence relation for computing probabilities from the considered distribution is given.
M. E. Ghitany +2 more
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Matrix variate Kummer‐Dirichlet distributions
Journal of Applied Mathematics, Volume 1, Issue 3, Page 117-139, 2001., 2001 The multivariate Kummer‐Beta and multivariate Kummer‐Gamma families of distributions have been proposed and studied recently by Ng and Kotz. These distributions are extensions of Kummer‐Beta and Kummer‐Gamma distributions. In this article we propose and study matrix variate generalizations of multivariate Kummer‐Beta and multivariate Kummer‐Gamma ...
Arjun K. Gupta +2 more
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Matrix‐variate beta distribution
International Journal of Mathematics and Mathematical Sciences, Volume 24, Issue 7, Page 449-459, 2000., 2000 We propose matrix‐variate beta type III distribution. Several properties of this distribution including Laplace transform, marginal distribution and its relationship with matrix‐variate beta type I and type II distributions are also studied.
Arjun K. Gupta, Daya K. Nagar
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