Results 11 to 20 of about 135 (110)
The Hachemeister Regression Model [PDF]
Informatică economică, 2008 In this article we will obtain, just like in the case of classical credibility model, a credibility solution in the form of a linear combination of the individual estimate (based on the data of a particular state) and the collective estimate (based on ...
Carmen Lenuta TRICA
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Explicit Description of the Input Data for the Program CRAC 2.0 Used in the Applications of the Credibility Theory [PDF]
Informatică economică, 2008 In this paper a brief overview of the structure and the possibilities of the program CRAC 2.0 is given. It will be shown how sectors can be determined in order to use the hierarchical model that is built into the software. Furthermore a general structure
Virginia ATANASIU
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aXBRL: Search of fraudulent XBRL instance documents with an Android app
SoftwareX, 2019 To apply the fuzzy support vector machines algorithm to the audit of XBRL (eXtensible Business Reporting Language) documents, sufficient data is unavailable. Thus, the objective of this study is coding a smartphone app named by aXBRL to provide such data.
G.Y. Sheu
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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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InPrime, 2023 In this research, we delve into the realm of pension plan programs, essential for securing a robust livelihood post-retirement through the provision of pension benefits to retired employees.
Ardella Maharani +2 more
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The Pólya‐Aeppli process and ruin problems
International Journal of Stochastic Analysis, Volume 2004, Issue 3, Page 221-234, 2004., 2004 The Pólya‐Aeppli process as a generalization of the homogeneous Poisson process is defined. We consider the risk model in which the counting process is the Pólya‐Aeppli process. It is called a Pólya‐Aeppli risk model. The problem of finding the ruin probability and the Cramér‐Lundberg approximation is studied.
Leda D. Minkova
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Fractional virus epidemic model on financial networks
Open Mathematics, 2016 In this study, we present an epidemic model that characterizes the behavior of a financial network of globally operating stock markets. Since the long time series have a global memory effect, we represent our model by using the fractional calculus.
Balci Mehmet Ali
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Conditional value‐at‐risk bounds for compound Poisson risks and a normal approximation
Journal of Applied Mathematics, Volume 2003, Issue 3, Page 141-153, 2003., 2003 A considerable number of equivalent formulas defining conditional value‐at‐risk and expected shortfall are gathered together. Then we present a simple method to bound the conditional value‐at‐risk of compound Poisson loss distributions under incomplete information about its severity distribution, which is assumed to have a known finite range, mean, and
Werner Hürlimann
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Nonparametric estimation for a stochastic volatility model [PDF]
, 2010 Diffusion coefficient, Drift, Mean square estimator, Model selection, Nonparametric estimation, Penalized contrast, Stochastic volatility, 62G08, 62M05, 62P05, C14, C87,
Comte, Fabienne +5 more
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A two-component copula with links to insurance
Dependence Modeling, 2017 This paper presents a new copula to model dependencies between insurance entities, by considering how insurance entities are affected by both macro and micro factors.
Ismail S., Yu G., Reinert G., Maynard T.
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